Table 3.
Sharp ratio of optimised portfolios during the COVID-19 and detected change dates.
| Bitcoin | Gold | EUR-USD | CNY-USD | Oil | Soybean | |
|---|---|---|---|---|---|---|
| Panel A: Sharp ratios | ||||||
| MSCI-US | −0.0347 | 0.0711 | −0.0049 | −0.0494 | −0.0347 | 0.0125 |
| MSCI-EU | −0.0652 | 0.0711 | −0.0050 | −0.0494 | −0.0652 | 0.0120 |
| MSCI-CN | −0.0023 | 0.0719 | −0.0050 | −0.0023 | −0.0023 | 0.0125 |
| Panel B: Break dates when τ = 0.05 | ||||||
| MSCI-US | 09-Mar | – | – | – | 09-Mar | – |
| MSCI-EU | – | – | 26-Mar | – | 24-Mar | – |
| MSCI-CN | 24-Mar | – | 26-Mar | 24-Mar | 24-Mar | – |
| τ = 0.10 | ||||||
| MSCI-US | 23-Mar | – | 06-Mar | – | 12-Mar | – |
| MSCI-EU | – | – | 06-Mar | – | 24-Mar | – |
| MSCI-CN | – | – | 06-Mar | 24-Mar | – | – |
| τ = 0.15 | ||||||
| MSCI-US | – | – | 06-Mar | – | 12-Mar | – |
| MSCI-EU | – | – | 06-Mar | – | 25-Mar | – |
| MSCI-CN | – | – | 06-Mar | – | – | – |
| τ = 0.20 | ||||||
| MSCI-US | 12-Mar | – | 06-Mar | – | 12-Mar | – |
| MSCI-EU | – | – | 06-Mar | – | – | – |
| MSCI-CN | – | – | 06-Mar | – | – | – |
Note: The sharp ratio from Panel A is calculated by dividing the standard deviation from the average of portfolio returns. In Panel B, the detection is performed for left-quantiles when τ = 0.05, 0.10, 0.15, 0.20. All change dates in Panel B are in the year 2020.