Table 1 Basic descriptive statistics of...

Table 1

Basic descriptive statistics of annualized portfolio and index returns

	Mean	Median	Standard deviation	Variation coefficient	Sharpe ratio	Omega ratio
IBOV	0.134	0.276	0.260	1.939	0.264	1,105
SP500	0.223	0.152	0.215	0.967	0.731	1,190
BTC	0.635	0.664	0.725	1.142	0.786	1,261
Market Risk 8%	0.215	0.360	0.178	0.828	0.773	1,251
Market Risk 15%	0.287	0.373	0.191	0.665	1.076	1,297
Market Risk 20%	0.407	0.387	0.229	0.563	1.389	1,332
Ledoit and Wolf's Sharpe Ratio Difference Test Statistics
	IBOV	SP500	BTC	Market Risk 8%	Market Risk 15%	Market Risk 20%
IBOV
SP500	−0.889
BTC	−1.248	−0.564
Market Risk 8%	1.808*	0.877	0.877
Market Risk 15%	2.189**	1.567	0.459	−1.472
Market Risk 20%	2.189**	1.806*	1.439	−1.469	−0.941

	Mean	Median	Standard deviation	Variation coefficient	Sharpe ratio	Omega ratio
IBOV	0.134	0.276	0.260	1.939	0.264	1,105
SP500	0.223	0.152	0.215	0.967	0.731	1,190
BTC	0.635	0.664	0.725	1.142	0.786	1,261
Market Risk 8%	0.215	0.360	0.178	0.828	0.773	1,251
Market Risk 15%	0.287	0.373	0.191	0.665	1.076	1,297
Market Risk 20%	0.407	0.387	0.229	0.563	1.389	1,332
Ledoit and Wolf's Sharpe Ratio Difference Test Statistics
	IBOV	SP500	BTC	Market Risk 8%	Market Risk 15%	Market Risk 20%
IBOV
SP500	−0.889
BTC	−1.248	−0.564
Market Risk 8%	1.808*	0.877	0.877
Market Risk 15%	2.189**	1.567	0.459	−1.472
Market Risk 20%	2.189**	1.806*	1.439	−1.469	−0.941

Note(s): 1: *** indicates significance at 1%, ** indicates significance at 5% and * indicates significance at 10%

2: IBOV: Ibovespa; SP500: IVVB11 an ETF whose benchmark is the S&P500. BTC: Bitcoin. Market is a portfolio made up of Ibovespa, S&P500 and BTC. The percentages of 8%, 15% and 20% represent ex-ante Market risk levels. Data refer to the period between 11/18/2016 and 08/30/2022

Source(s): Elaborated by the authors

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