Table 5.
Descriptive statistics for the dynamic minimum variance-DCC copula portfolio weights.
| Panel A: 1 day rebalance | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Stat. | Traditional ＋ ESG equities |
Gold ＋ ESG equities |
Crude oil ＋ ESG equities |
Bitcoin ＋ ESG equities |
Treasury bonds ＋ ESG equities |
|||||||||||||||
| Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
|||||||||||
| Equity | ESG | Equity | ESG | Gold | ESG | Gold | ESG | Oil | ESG | Oil | ESG | Bitcoin | ESG | Bitcoin | ESG | T. bonds | ESG | T. bonds | ESG | |
| Mean | 0.81 | 0.19 | 0.88 | 0.12 | 0.68 | 0.32 | 0.68 | 0.32 | 0.22 | 0.78 | 0.22 | 0.78 | 0.03 | 0.97 | 0.02 | 0.98 | 0.93 | 0.07 | 0.97 | 0.03 |
| Std. Dev. | 0.23 | 0.23 | 0.29 | 0.29 | 0.17 | 0.17 | 0.17 | 0.17 | 0.14 | 0.14 | 0.15 | 0.15 | 0.05 | 0.05 | 0.05 | 0.05 | 0.04 | 0.04 | 0.05 | 0.05 |
| Max. | 1.00 | 0.99 | 1.39 | 1.22 | 1.00 | 0.86 | 1.01 | 0.87 | 0.75 | 1.00 | 0.75 | 1.03 | 0.34 | 1.00 | 0.34 | 1.02 | 0.99 | 0.24 | 1.05 | 0.22 |
| Min. | 0.01 | 0.00 | −0.22 | −0.39 | 0.14 | 0.00 | 0.13 | −0.01 | 0.00 | 0.25 | −0.03 | 0.25 | 0.00 | 0.66 | −0.02 | 0.66 | 0.76 | 0.01 | 0.78 | −0.05 |
| Q1 | 0.71 | 0.03 | 0.71 | −0.09 | 0.58 | 0.20 | 0.58 | 0.19 | 0.12 | 0.70 | 0.12 | 0.70 | 0.01 | 0.97 | −0.01 | 0.98 | 0.91 | 0.03 | 0.95 | −0.01 |
| Q2 | 0.90 | 0.10 | 0.95 | 0.05 | 0.69 | 0.31 | 0.70 | 0.30 | 0.19 | 0.81 | 0.19 | 0.81 | 0.01 | 0.99 | 0.00 | 1.00 | 0.94 | 0.06 | 0.98 | 0.02 |
| Q3 | 0.97 | 0.29 | 1.09 | 0.29 | 0.80 | 0.42 | 0.81 | 0.42 | 0.30 | 0.88 | 0.30 | 0.88 | 0.03 | 0.99 | 0.02 | 1.01 | 0.97 | 0.09 | 1.01 | 0.05 |
| Panel B: 5 days rebalance | ||||||||||||||||||||
| Stat. | Traditional ＋ ESG equities |
Gold ＋ ESG equities |
Crude oil ＋ ESG equities |
Bitcoin ＋ ESG equities |
Treasury bonds ＋ ESG equities |
|||||||||||||||
| Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
|||||||||||
| Equity | ESG | Equity | ESG | Gold | ESG | Gold | ESG | Oil | ESG | Oil | ESG | Bitcoin | ESG | Bitcoin | ESG | T. bonds | ESG | T. bonds | ESG | |
| Mean | 0.83 | 0.17 | 0.91 | 0.09 | 0.68 | 0.32 | 0.68 | 0.32 | 0.22 | 0.78 | 0.22 | 0.78 | 0.03 | 0.97 | 0.02 | 0.98 | 0.93 | 0.07 | 0.97 | 0.03 |
| Std. Dev. | 0.20 | 0.20 | 0.26 | 0.26 | 0.17 | 0.17 | 0.18 | 0.18 | 0.15 | 0.15 | 0.15 | 0.15 | 0.04 | 0.04 | 0.05 | 0.05 | 0.04 | 0.04 | 0.05 | 0.05 |
| Max. | 1.00 | 1.00 | 1.39 | 1.19 | 0.99 | 0.86 | 0.99 | 0.87 | 0.75 | 1.00 | 0.75 | 1.01 | 0.32 | 1.00 | 0.32 | 1.02 | 0.99 | 0.24 | 1.05 | 0.23 |
| Min. | 0.00 | 0.00 | −0.19 | −0.39 | 0.14 | 0.01 | 0.13 | 0.01 | 0.00 | 0.25 | −0.01 | 0.25 | 0.00 | 0.68 | −0.02 | 0.68 | 0.76 | 0.01 | 0.77 | −0.05 |
| Q1 | 0.74 | 0.03 | 0.75 | −0.10 | 0.58 | 0.20 | 0.58 | 0.19 | 0.12 | 0.72 | 0.12 | 0.72 | 0.01 | 0.97 | −0.01 | 0.97 | 0.92 | 0.03 | 0.95 | −0.01 |
| Q2 | 0.91 | 0.09 | 0.98 | 0.02 | 0.69 | 0.31 | 0.70 | 0.30 | 0.19 | 0.81 | 0.19 | 0.81 | 0.01 | 0.99 | 0.00 | 1.00 | 0.94 | 0.06 | 0.98 | 0.02 |
| Q3 | 0.97 | 0.26 | 1.10 | 0.25 | 0.80 | 0.42 | 0.81 | 0.42 | 0.28 | 0.88 | 0.28 | 0.88 | 0.03 | 0.99 | 0.03 | 1.01 | 0.97 | 0.08 | 1.01 | 0.05 |
| Panel C: 22 days rebalance | ||||||||||||||||||||
| Stat. | Traditional ＋ ESG equities |
Gold ＋ ESG equities |
Crude oil ＋ ESG equities |
Bitcoin ＋ ESG equities |
Treasury bonds ＋ ESG equities |
|||||||||||||||
| Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
Constrained |
Short selling |
|||||||||||
| Equity | ESG | Equity | ESG | Gold | ESG | Gold | ESG | Oil | ESG | Oil | ESG | Bitcoin | ESG | Bitcoin | ESG | T. bonds | ESG | T. bonds | ESG | |
| Mean | 0.79 | 0.21 | 0.85 | 0.15 | 0.67 | 0.33 | 0.67 | 0.33 | 0.22 | 0.78 | 0.21 | 0.79 | 0.02 | 0.98 | 0.01 | 0.99 | 0.94 | 0.06 | 0.98 | 0.02 |
| Std. Dev. | 0.21 | 0.21 | 0.27 | 0.27 | 0.17 | 0.17 | 0.17 | 0.17 | 0.14 | 0.14 | 0.14 | 0.14 | 0.03 | 0.03 | 0.04 | 0.04 | 0.04 | 0.04 | 0.04 | 0.04 |
| Max. | 0.99 | 0.70 | 1.20 | 0.71 | 0.89 | 0.85 | 0.89 | 0.85 | 0.54 | 0.99 | 0.55 | 1.00 | 0.15 | 0.99 | 0.15 | 1.01 | 0.98 | 0.18 | 1.04 | 0.16 |
| Min. | 0.30 | 0.01 | 0.29 | −0.20 | 0.15 | 0.11 | 0.15 | 0.11 | 0.01 | 0.46 | 0.00 | 0.45 | 0.01 | 0.85 | −0.01 | 0.85 | 0.82 | 0.02 | 0.84 | −0.04 |
| Q1 | 0.67 | 0.03 | 0.67 | −0.08 | 0.58 | 0.23 | 0.58 | 0.22 | 0.11 | 0.65 | 0.10 | 0.65 | 0.01 | 0.98 | −0.01 | 0.98 | 0.92 | 0.03 | 0.96 | −0.01 |
| Q2 | 0.86 | 0.14 | 0.89 | 0.11 | 0.68 | 0.32 | 0.68 | 0.32 | 0.17 | 0.83 | 0.16 | 0.84 | 0.01 | 0.99 | 0.00 | 1.00 | 0.95 | 0.05 | 0.99 | 0.01 |
| Q3 | 0.97 | 0.33 | 1.08 | 0.33 | 0.77 | 0.42 | 0.78 | 0.42 | 0.35 | 0.89 | 0.35 | 0.90 | 0.02 | 0.99 | 0.02 | 1.01 | 0.97 | 0.08 | 1.01 | 0.04 |