Table 2 Annualized results of portfolios...

Table 2

Annualized results of portfolios with IBOV, SP500 and BTC

Portfolio	Return	Standard deviation	Sharpe ratio	Beta	Treynor ratio	Omega ratio	Tracking error	Turnover
Market 8%	0.215	0.178	0.773	1.000	0.138	1.251	0.000
Tang_Eq 8%	0.253	0.209	0.832	1.038	0.168	1.255	0.098	0.033
Tang_BL 8%	0.428	0.305	1.107	1.084	0.311	1.293	0.237	0.423
MinV_Eq 8%	0.260	0.198	0.907	1.004	0.179	1.274	0.086	0.010
MinV_BL 8%	0.296	0.208	1.030	0.992	0.216	1.308	0.110	0.040
ParR_Eq 8%	0.294	0.203	1.047	1.021	0.208	1.303	0.090	0.012
ParR_BL 8%	0.482	0.250	1.551	1.034	0.375	1.383	0.169	0.101
VolT_Eq 8%	0.401	0.235	1.328	1.068	0.293	1.327	0.139	0.018
VolT_BL 8%	0.325	0.210	1.148	1.006	0.240	1.332	0.110	0.115
Market 15%	0.287	0.191	1.076	1.000	0.205	1.297	0.000
Tang_Eq 15%	0.292	0.228	0.923	1.075	0.196	1.267	0.101	0.068
Tang_BL 15%	0.418	0.305	1.076	1.177	0.279	1.287	0.209	0.424
MinV_Eq 15%	0.260	0.198	0.907	0.955	0.189	1.274	0.079	0.010
MinV_BL 15%	0.297	0.208	1.032	0.950	0.226	1.308	0.102	0.040
ParR_Eq 15%	0.294	0.203	1.047	0.960	0.221	1.303	0.088	0.012
ParR_BL 15%	0.482	0.250	1.552	1.087	0.357	1.384	0.141	0.101
VolT_Eq 15%	0.401	0.235	1.328	1.117	0.280	1.327	0.102	0.018
VolT_BL 15%	0.326	0.210	1.150	0.950	0.254	1.332	0.107	0.115
Market 20%	0.407	0.229	1.389	1.000	0.318	1.332	0.000
Tang_Eq 20%	0.348	0.269	0.977	1.076	0.244	1.265	0.109	0.121
Tang_BL 20%	0.416	0.305	1.068	1.125	0.290	1.286	0.166	0.424
MinV_Eq 20%	0.260	0.198	0.907	0.766	0.235	1.274	0.107	0.010
MinV_BL 20%	0.297	0.208	1.032	0.774	0.277	1.309	0.120	0.040
ParR_Eq 20%	0.294	0.203	1.047	0.791	0.269	1.303	0.104	0.012
ParR_BL 20%	0.482	0.250	1.551	0.998	0.389	1.383	0.102	0.101
VolT_Eq 20%	0.401	0.235	1.328	1.023	0.305	1.327	0.024	0.018
VolT_BL 20%	0.326	0.210	1.150	0.783	0.309	1.332	0.121	0.115
NP	0.454	0.296	1.225	1.192	0.304	1.298	0.123	0.015

Portfolio	Return	Standard deviation	Sharpe ratio	Beta	Treynor ratio	Omega ratio	Tracking error	Turnover
Market 8%	0.215	0.178	0.773	1.000	0.138	1.251	0.000
Tang_Eq 8%	0.253	0.209	0.832	1.038	0.168	1.255	0.098	0.033
Tang_BL 8%	0.428	0.305	1.107	1.084	0.311	1.293	0.237	0.423
MinV_Eq 8%	0.260	0.198	0.907	1.004	0.179	1.274	0.086	0.010
MinV_BL 8%	0.296	0.208	1.030	0.992	0.216	1.308	0.110	0.040
ParR_Eq 8%	0.294	0.203	1.047	1.021	0.208	1.303	0.090	0.012
ParR_BL 8%	0.482	0.250	1.551	1.034	0.375	1.383	0.169	0.101
VolT_Eq 8%	0.401	0.235	1.328	1.068	0.293	1.327	0.139	0.018
VolT_BL 8%	0.325	0.210	1.148	1.006	0.240	1.332	0.110	0.115
Market 15%	0.287	0.191	1.076	1.000	0.205	1.297	0.000
Tang_Eq 15%	0.292	0.228	0.923	1.075	0.196	1.267	0.101	0.068
Tang_BL 15%	0.418	0.305	1.076	1.177	0.279	1.287	0.209	0.424
MinV_Eq 15%	0.260	0.198	0.907	0.955	0.189	1.274	0.079	0.010
MinV_BL 15%	0.297	0.208	1.032	0.950	0.226	1.308	0.102	0.040
ParR_Eq 15%	0.294	0.203	1.047	0.960	0.221	1.303	0.088	0.012
ParR_BL 15%	0.482	0.250	1.552	1.087	0.357	1.384	0.141	0.101
VolT_Eq 15%	0.401	0.235	1.328	1.117	0.280	1.327	0.102	0.018
VolT_BL 15%	0.326	0.210	1.150	0.950	0.254	1.332	0.107	0.115
Market 20%	0.407	0.229	1.389	1.000	0.318	1.332	0.000
Tang_Eq 20%	0.348	0.269	0.977	1.076	0.244	1.265	0.109	0.121
Tang_BL 20%	0.416	0.305	1.068	1.125	0.290	1.286	0.166	0.424
MinV_Eq 20%	0.260	0.198	0.907	0.766	0.235	1.274	0.107	0.010
MinV_BL 20%	0.297	0.208	1.032	0.774	0.277	1.309	0.120	0.040
ParR_Eq 20%	0.294	0.203	1.047	0.791	0.269	1.303	0.104	0.012
ParR_BL 20%	0.482	0.250	1.551	0.998	0.389	1.383	0.102	0.101
VolT_Eq 20%	0.401	0.235	1.328	1.023	0.305	1.327	0.024	0.018
VolT_BL 20%	0.326	0.210	1.150	0.783	0.309	1.332	0.121	0.115
NP	0.454	0.296	1.225	1.192	0.304	1.298	0.123	0.015

Note(s): Eq: considers historical mean and sample covariance as inputs. BL: considers as inputs returns and covariances using views in the Black-Litterman model; Tang: tangent portfolio; MinV: minimum variance portfolio; ParR: portfolio with equal risk contribution; VolT: volatility timing portfolio; NP: naive weighted portfolio. Market is a portfolio consisting of Ibovespa, S&P500, and BTC. The percentages of 8%, 15% and 20% represent ex-ante market's risk levels. Data refer to the period from 11/18/2016 to 08/30/2022

Source(s): Elaborated by the authors

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