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Diversifying Malaysia Portfolio With Digital Currency: Evidence With Bitcoin

Table 5:

Individual performance Return/Risk Sharpe
Bitcoin, rfrUS =3.25% 0.085 0.084
KLSE Index, rfrMY = 2.2% 0.021 0.012
Emas (gold), rfrMY = 2.2% 0.023 0.017
Oil price, rfrUS =3.25% 0.002 -0.001
Two-asset portfolio R/R (weight ½) R/R(weight 10:90) S(weight ½) S(weight 10:90)
Bitcoin + KLSE Index 0.086 0.087 0.085 0.080
Bitcoin + Emas (gold) 0.087 0.021 0.086 0.019
Bitcoin + Oil 0.084 0.017 0.083 0.016
Three-asset portfolio R/R(weight ⅓) R/R(10:45:45) S(weight ⅓) S(10:45:45)
Bitcoin + KLSE Index + Emas (gold) 0.088 0.074 0.086 0.084
Bitcoin + KLSE Index + Oil, 0.085 0.046 0.083 0.069
Bitcoin + Emas (gold)+ Oil 0.085 0.045 0.085 0.064
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