Table 5 Performance... | Emerald Publishing

Table 5

Performance evaluation-robustness test

Strategies	Coin-type cryptos			Token-type cryptos
Strategies	Sortino	Omega	Sharpe.Annualized	Sortino	Omega	Sharpe.Annualized
GMV	0.0086	1.0215	−0.4956	−0.0483	0.9400	−0.6755
MVP-ADCC	0.0085	1.0215	−0.4957	−0.0169	0.9907	−3.2830
VAR-MVP-ADCC	−0.0059	0.9916	−0.4969	−0.0199	0.9832	−3.2585
MVP-DCC	−0.0059	0.9916	−0.4969	−0.0125	1.0013	−3.2588
VAR-MVP-DCC	0.0095	1.0230	−0.4486	−0.0199	0.9832	−3.2585
ERC-ADCC	0.0094	1.0228	−0.4487	−0.0279	0.9424	−0.7384
VAR-ERC-ADCC	0.0094	1.0228	−0.4487	−0.0263	0.9462	−0.7862
ERC-DCC	0.0095	1.0230	−0.4486	−0.0451	0.9048	−0.7344
VAR-ERC-DCC	0.0048	0.9934	−0.4437	−0.0383	0.9190	−0.7695
MDP-ADCC	0.0048	0.9935	−0.4436	−0.0190	0.9637	−0.6397
VAR-MDP-ADCC	0.0051	0.9928	−0.4409	−0.0250	0.9508	−0.6459
MDP-DCC	0.0051	0.9928	−0.4409	−0.0190	0.9637	−0.6432
VAR-MDP-DCC	0.0086	1.0215	−0.4956	−0.0244	0.9520	−0.6463

Strategies	Coin-type cryptos			Token-type cryptos
Strategies	Sortino	Omega	Sharpe.Annualized	Sortino	Omega	Sharpe.Annualized
GMV	0.0086	1.0215	−0.4956	−0.0483	0.9400	−0.6755
MVP-ADCC	0.0085	1.0215	−0.4957	−0.0169	0.9907	−3.2830
VAR-MVP-ADCC	−0.0059	0.9916	−0.4969	−0.0199	0.9832	−3.2585
MVP-DCC	−0.0059	0.9916	−0.4969	−0.0125	1.0013	−3.2588
VAR-MVP-DCC	0.0095	1.0230	−0.4486	−0.0199	0.9832	−3.2585
ERC-ADCC	0.0094	1.0228	−0.4487	−0.0279	0.9424	−0.7384
VAR-ERC-ADCC	0.0094	1.0228	−0.4487	−0.0263	0.9462	−0.7862
ERC-DCC	0.0095	1.0230	−0.4486	−0.0451	0.9048	−0.7344
VAR-ERC-DCC	0.0048	0.9934	−0.4437	−0.0383	0.9190	−0.7695
MDP-ADCC	0.0048	0.9935	−0.4436	−0.0190	0.9637	−0.6397
VAR-MDP-ADCC	0.0051	0.9928	−0.4409	−0.0250	0.9508	−0.6459
MDP-DCC	0.0051	0.9928	−0.4409	−0.0190	0.9637	−0.6432
VAR-MDP-DCC	0.0086	1.0215	−0.4956	−0.0244	0.9520	−0.6463

Note(s): This table exhibits performance evaluations of dynamic MVP, ERC and MDP portfolio against GMV (Schellinger, 2020). The models applied DCC and ADCC-GARCH(1,1) with multivariate Student t and 40 days of GARCH refits. Following Schellinger (2020), the risk-free rate was 2.28% p.a, The rate was for calculating Sharpe and minimum acceptance return (MAR) of Sortino, while the Omega ratio's target threshold used zero value

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