Sustainable and responsible investment dynamic cross-asset portfolio

Figures & data

Table 1. Descriptive statistics

Daily Data
No	Name	N	Min (%)	Max (%)	Average (%)	SD
1	BTC	634	−23.517	23.350	0.459	0.048
2	ETH	634	−28.112	36.780	0.674	0.059
3	XRP	634	−39.052	84.663	0.435	0.076
4	XAU	634	−5.812	7.449	0.061	0.011
5	SRI-KEHATI	634	−7.862	15.869	0.000	0.017
6	ICBI	634	−2.022	1.644	0.045	0.002

Source: Bloomberg, Processed Data

Table 2. Constant correlation among instruments

	Sri-Kehati	BTC	ETH	XRP	XAU	ICBI
Sri-Kehati	-	−0.006	0.007	0.048	−0.115	0.383
BTC	−.006	-	0.767	0.430	0.054	−0.020
ETH	0.007	0.767	-	0.542	0.040	0.004
XRP	0.048	0.430	0.542	-	−0.007	0.004
XAU	−0.115	0.054	0.040	−0.007	-	−0.103
ICBI	0.382	−0.020	0.004	0.004	−0.103	-

Source: Bloomberg, Processed Data

Table 3. Constant and Dynamic Correlation among Portfolios’ Instruments

	Sri-Kehati	BTC	ETH	XRP	XAU
Sri-Kehati Constant Dynamic Min Max Average	-	−0.006 –0.504 0.518 –0.017	0.007 –0.281 0.310 –0.002	0.048 –0.574 0.131 0.032	−0.115 –0.478 0.368 –0.064
ICBI Constant Dynamic Min Max Average	0.382 –0.004 0.473 0.247	−0.020 –0.454 0.451 0.015	0.004 –0.490 0.421 0.002	0.004 –0.313 0.533 0.044	−0.103 –0.230 0.092 -0.-61

Source: Bloomberg, Processed Data

Table 4. DCC-GARCH summary

Portfolio	Min.	Max.	Average
SRI—BTC	−0.504	0.518	−0.017
SRI—ETH	−0.281	0.310	−0.022
SRI—XRP	−0.574	0.131	0.032
SRI—XAU	−0.475	0.368	−0.064
ICBI—BTC	−0.454	0.451	0.015
ICBI—ETH	−0.490	0.421	0.022
ICBI—XRP	−0.313	0.533	0.044
ICBI—XRP	−0.230	0.092	−0.061
ICBI—SRI	−0.004	0.473	0.247

Sumber: Bloomberg, Processed Data

Figure 1. DCC between Sri-Kehati Index, Cryptocurrencies and Gold with Their Time-Varying Portfolio Weight.

Figure 2. DCC between Bonds and Bitcoin, Ethereum, Ripple, Gold with Their Time-Varying Portfolio Weight.

Table 5. Optimal hedge ratio and hedging effectiveness

Portfolio	Optimal Hedge Ratio (%)	Hedging Effectiveness (%)	Average Return (%)	Standard Deviation
BTC	-	-	0.459	0.048
ETH	-	-	0.675	0.059
XRP	-	-	0.435	0.076
XAU	-	-	0.061	0.011
SRI	-	-	0.000	0.017
SRI-BTC	−1.689	92.991	−0.236	0.025
SRI-ETH	−2.180	92.903	0.339	0.030
SRI-XRP	3.287	48.154	0.230	0.040
SRI-XAU	−6.468	95.559	0.025	0.009
ICBI	-	-	0.000	0.017
ICBI-BTC	1.715	93.778	0.259	0.023
ICBI-ETH	2.455	93.545	0.365	0.029
ICBI-XRP	4.649	54.470	0.224	0.038
ICBI-XAU	−6.071	98.441	0.052	0.006
ICBI-SRI	24.701	−47.206	0.021	0.009
Portfolio With Trading Cost	Optimal Hedge Ratio (%)	Hedging Effectiveness (%)	Average Return (%)	Standard Deviation
BTC	-	-	0.459	0.048
ETH	-	-	0.675	0.059
XRP	-	-	0.435	0.076
XAU	-	-	0.061	0.011
SRI	-	-	0.000	0.017
SRI-BTC	−1.689	92.991	−0.164	0.025
SRI-ETH	−2.180	92.903	−0.061	0.030
SRI-XRP	3.287	48.154	−0.170	0.040
SRI-XAU	−6.468	95.559	−0.374	0.009
ICBI	-	-	0.000	0.017
ICBI-BTC	1.715	93.778	−0.141	0.023
ICBI-ETH	2.455	93.545	−0.035	0.029
ICBI-XRP	4.649	54.470	−0.176	0.038
ICBI-XAU	−6.071	98.441	−0.348	0.006
ICBI-SRI	24.701	−47.206	−0.355	0.009

Source: Bloomberg, Processed Data

Table 6. Portfolios’ performance (Sri-Kehati index/bonds combined with cryptocurrencies/gold)

Portfolio	Sharpe ratio	Sortino ratio	Jensen ratio	Treynor ratio	Omega ratio
BTC	0.094	0.160	0.004	0.039	1.311
ETH	0.113	0.201	0.007	0.062	1.376
XRP	0.056	0.113	0.004	0.011	1.208
XAU	0.044	0.073	0.000	−0.005	1.134
SRI	−0.007	−0.012	0.000	−0.001	0.978
SRI-BTC	0.091	0.155	0.002	0.003	1.294
SRI-ETH	0.108	0.189	0.003	0.005	1.359
SRI-XRP	0.054	0.109	0.002	0.003	1.201
SRI-XAU	0.014	0.026	0.000	0.000	1.041
ICBI	0.135	0.218	0.000	0.004	1.526
ICBI-BTC	0.106	0.185	0.002	0.026	1.354
ICBI-ETH	0.123	0.222	0.004	0.048	1.409
ICBI-XRP	0.056	0.113	0.002	0.010	1.211
ICBI-XAU	0.072	0.116	0.000	−0.073	1.225
ICBI-SRI	0.010	0.017	0.000	0.000	1.033
Portfolio With Trading Cost	Sharpe ratio	Sortino ratio	Jensen ratio	Treynor ratio	Omega ratio
BTC	0.094	0.160	0.004	0.039	1.311
ETH	0.113	0.201	0.007	0.062	1.376
XRP	0.056	0.113	0.004	0.011	1.208
XAU	0.044	0.073	0.000	−0.005	1.134
SRI	−0.007	−0.012	0.000	−0.001	0.978
SRI-BTC	−0.071	0.155	−0.002	−0.003	0.819
SRI-ETH	−0.024	0.188	−0.000	−0.001	0.934
SRI-XRP	−0.045	0.108	−0.002	−0.002	0.861
SRI-XAU	−0.412	0.026	−0.004	−0.007	0.324
ICBI	0.135	0.218	0.000	0.004	1.526
ICBI-BTC	−0.066	0.185	−0.002	−0.016	0.829
ICBI-ETH	−0.016	0.222	0.000	−0.006	0.955
ICBI-XRP	−0.050	0.113	−0.002	−0.009	0.846
ICBI-XAU	−0.649	0.116	−0.004	0.664	0.165
ICBI-SRI	−0.711	0.017	−0.004	0.047	0.814

Source: Bloomberg, Processed Data

Table 7. Summary of portfolios comparison

No	Portfolio	Sharpe ratio	Sortino ratio	Jensen ratio	Treynor ratio	Omega ratio
1.	SRI	−0.007	−0.012	0.000	−0.001	0.978
2.	SRI-Cryptocurrency	0.084	0.151	0.003	0.004	1.284
3.	SRI-XAU	0.014	0.026	0.000	0.000	1.041
4.	SRI-ICBI	0.010	0.017	0.000	0.000	1.033
No	Portfolio (With Trading Cost)	Sharpe ratio	Sortino ratio	Jensen ratio	Treynor ratio	Omega ratio
1.	SRI	−0.007	−0.012	0.000	−0.001	0.978
2.	SRI-Cryptocurrency	0.047	−0.150	0.001	0.002	0.871
3.	SRI-XAU	−0.412	0.026	−0.004	−0.007	0.324
4.	SRI-ICBI	−0.711	0.017	−0.004	0.047	0.814

Source: Bloomberg, Processed Data