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Risk–return profiles of the asset classes, for the period from August 2014 to July 2019
| Risk-return measuremets | CRIX | Stocks | Bonds | Commodities | FX | Real estate |
|---|---|---|---|---|---|---|
| Annualised return | 0.0816 | 0.0828 | 0.0017 | –0.0977 | 0.0295 | 0.0373 |
| Annualised standard deviation | 0.6551 | 0.1342 | 0.0323 | 0.1281 | 0.0453 | 0.1408 |
| Annualised Sharpe ratio (Rf=0%) | 0.1245 | 0.6172 | 0.0516 | –0.7625 | 0.6511 | 0.2649 |
| Maximum DD | 0.4519 | 0.0801 | 0.0162 | 0.0573 | 0.0276 | 0.0702 |
Descriptive statistics of the asset's daily returns, for the period from August 2014 to July 2019
| Asset class | Mean | SD | Median | MAD | Maximum | Minimum | Range | Skew | Kurtosis |
|---|---|---|---|---|---|---|---|---|---|
| CRIX | 0.00119 | 0.04127 | 0.00241 | 0.02220 | −0.25334 | 0.19854 | 0.45188 | −0.73932 | 6.06653 |
| Stocks | 0.00035 | 0.00845 | 0.00042 | 0.00544 | −0.04184 | 0.04840 | 0.09025 | −0.44359 | 3.74452 |
| Bonds | 0.00001 | 0.00203 | 0.00012 | 0.00188 | −0.00994 | 0.00693 | 0.01686 | −0.36463 | 1.01629 |
| Commodities | −0.00038 | 0.00807 | −0.00014 | 0.00722 | −0.03945 | 0.02989 | 0.06934 | −0.11117 | 1.02663 |
| FX | 0.00012 | 0.00286 | 0.00013 | 0.00257 | −0.01184 | 0.01743 | 0.02927 | 0.00864 | 2.00035 |
| Real estate | 0.00018 | 0.00887 | 0.00061 | 0.00737 | −0.04703 | 0.03393 | 0.08097 | −0.57110 | 2.05658 |
Asset classes and their proxies
| Asset class | Proxy | Ticker | Details |
|---|---|---|---|
| Stocks | S&P500 | ^GSPC | The index represents stocks of 500 of the largest US companies. |
| Bonds | Vanguard Total Bond Market Index ETF | BND | ETF follows the Bloomberg Barclays US Aggregate Float Adjusted Index, which comprises corporate, government, international bonds, as well as mortgage- and asset-backed securities. |
| Foreign exchange | Dow Jones FXCM Dollar Index | USDOLLAR | The index tracks the performance of foreign exchange (FX) trading activity based on appreciation and depreciation of the dollar relative to EUR, GBP, AUD and JPY. |
| Commodities | Bloomberg Commodity Index | BCOM | The index reflects the changes in commodity futures prices. It contains 27 of the most significant and liquid commodities, including gold, silver, oil, gas, wheat, corn and so on. |
| Real estate | Dow Jones Real Estate Index | DJUSRE | The index reflects the performance of the real estate industry. It captures segments of the US market with large, medium and small capitalisation. |
Transaction fees on top cryptocurrency exchanges
| Exchange | Trading Fees | Funding Fees | Discounts | ||||
|---|---|---|---|---|---|---|---|
| Maker | Taker | Spread | Deposits | Withdrawals | Exchange Token Discount | Volume Discount | |
| Bibox | 0.1% | 0.1% | No | No | Yes | Yes | No |
| Binance | 0.1% | 0.1% | No | No | Yes | Yes | Yes |
| Bitfinex | 0.1% | 0.2% | No | Yes (<$1k) | Yes | No | Yes |
| Bitsane | 0.1% | 0.2% | No | Yes | Yes | No | Yes |
| Bitstamp | 0.25% | 0.25% | No | No | No | No | Yes |
| Bittrex | 0.25% | 0.25% | No | No | No | No | No |
| BTCMarkets | 0.22%–0.85% | 0.22%–0.85% | No | No | Yes (AUD free) | No | Yes |
| CEX.IO | 0.16% | 0.25% | No | No | Yes | No | Yes |
| Coinbase | N/A | 1.49% or fixed fee | 0.5% fiat 1.00% crypto | No | No | No | Yes |
| Coinbase Pro | 0.15% | 0.25% | No | No | No | No | Yes |
| CoinSpot | 0.1% | 0.1% | No | Yes | No | No | No |
| Coss | 0.14% | 0.2% | No | Yes | Yes | Yes | Yes |
| Cryptopia | 0.2% | 0.2% | No | No | No | No | No |
| Gate.io | 0.2% | 0.2% | No | No | Yes | No | Yes |
| Gemini | 1.00% | 1.00% | No | No | No | No | Yes |
| HitBTC | 0.1% | 0.2% | No | No | No | No | No |
| Huboi | 0.2% | 0.2% | No | No | No | Yes | Yes |
| IDEX | 0.1% | 0.2% | No | No | No | Yes | No |
| Kraken | 0.16% | 0.26% | No | No | No | No | Yes |
| Kucoin | 0.1% | 0.1% | No | No | No | No | Yes |
| Livecoin | 0.18% | 0.18% | No | Yes | Yes | No | Yes |
| Liquid | 0.1% | 0.1% | No | No | Yes | Yes | Yes |
| Poloniex | 0.08% | 0.2% | No | No | Yes | No | Yes |
| Shakepay | 0.75% | 0.75% | No | No | Yes | No | No |
| Uphold | 0.65%–1.95% | 0.65%–1.95% | No | No | Yes | No | No |
Spread percentage, turnover and close ratio of the top cryptocurrencies with the highest market capitalisation (average over the period from August 2014 to July 2019)
| Cryptocurrency | Spread percentage [%] | Turnover ratio | Close ratio |
|---|---|---|---|
| BTC | 4.0992 | 0.0952 | 0.5276 |
| ETH | 5.8820 | 0.2185 | 0.4906 |
| XRP | 6.0555 | 0.0577 | 0.4726 |
| LTC | 6.4739 | 0.3513 | 0.4966 |
| BCH | 7.8009 | 0.1525 | 0.4820 |
| BNB | 6.3621 | 0.0548 | 0.5439 |
| EOS | 6.7004 | 0.3292 | 0.5277 |
| BSV | 8.9249 | 0.1136 | 0.4495 |
| TRX | 0.8114 | 0.1802 | 0.4890 |
| Total market | - | 0.1649 | - |
Consolidated results of portfolio optimisation
| Annual return | Annual standard deviation | Annual Sharpe ratio | Maximum DD | Asset allocation (weights) | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| CRIX | Stocks | Bonds | Commodities | FX | Real estate | |||||
| Portfolio without cryptocurrencies, only long position allowed | ||||||||||
| MinVar | 0.0102 | 0.0202 | 0.5057 | 0.1263 | – | 0.0421 | 0.5619 | 0.0534 | 0.3427 | 0.0000 |
| Tangency | 0.0291 | 0.0280 | 1.0372 | 0.1565 | – | 0.1577 | 0.3673 | 0.0000 | 0.4749 | 0.0000 |
| Portfolio without cryptocurrencies, long and short positions allowed | ||||||||||
| MinVar | 0.0108 | 0.0197 | 0.5471 | 0.1320 | – | 0.0694 | 0.5932 | 0.0491 | 0.3286 | –0.0403 |
| Tangency | 0.0632 | 0.0478 | 1.3226 | 0.2300 | – | 0.3343 | 0.5519 | –0.2440 | 0.4459 | –0.0881 |
| Portfolio with inclusion of cryptocurrencies, only long position allowed | ||||||||||
| MinVar | 0.0105 | 0.0202 | 0.5212 | 0.3295 | 0.0010 | 0.0421 | 0.5617 | 0.0530 | 0.3423 | 0.0000 |
| Tangency | 0.0339 | 0.0298 | 1.1371 | 0.3366 | 0.0187 | 0.1528 | 0.3637 | 0.0000 | 0.4648 | 0.0000 |
| Portfolio with inclusion of cryptocurrencies, long and short positions allowed | ||||||||||
| MinVar | 0.0111 | 0.0198 | 0.5624 | 0.3356 | 0.0009 | 0.0694 | 0.5930 | 0.0487 | 0.3283 | –0.0403 |
| Tangency | 0.0707 | 0.0499 | 1.4189 | 0.4163 | 0.0276 | 0.3271 | 0.5453 | –0.2465 | 0.4322 | –0.0858 |
Portfolio performance analysis within the framework of PMPT
| Annual return | Maximum DD | Sharpe ratio | Sortino ratio | Downside volatility (%) | |
|---|---|---|---|---|---|
| Portfolio without cryptocurrencies, only long position allowed | |||||
| MinVar | 0.0102 | 0.1263 | 0.5057 | 0.7910 | 5.63 |
| Tangency | 0.0291 | 0.1565 | 1.0372 | 1.3989 | 5.26 |
| Portfolio without cryptocurrencies, long and short positions allowed | |||||
| MinVar | 0.0108 | 0.1320 | 0.5471 | 0.8761 | 5.78 |
| Tangency | 0.0632 | 0.2300 | 1.3226 | 1.9041 | 6.71 |
| Portfolio with inclusion of cryptocurrencies, only long position allowed | |||||
| MinVar | 0.0105 | 0.3295 | 0.5212 | 0.7916 | 12.92 |
| Tangency | 0.0339 | 0.3366 | 1.1371 | 0.7396 | 12.73 |
| Portfolio with inclusion of cryptocurrencies, long and short positions allowed | |||||
| MinVar | 0.0111 | 0.3356 | 0.5625 | 0.8744 | 13.26 |
| Tangency | 0.0707 | 0.4163 | 1.4189 | 1.0839 | 15.99 |