SACEMS with Bitcoin?

What happens if we add bitcoin, as proxied by Grayscale Bitcoin Trust ETF (GBTC), to the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS), which each month holds the top one (Top 1), the equal-weighted top two (EW Top 2) or the equal-weighted top three (EW Top 3) asset class proxy ETFs from a diversified set of nine based on total return over recent months? To check, we run the SACEMS model with (w/ GBTC) and without (Base) adding GBTC as a tenth available asset. Using end-of-month dividend-adjusted prices for baseline SACEMS asset class ETFs and GBTC as available during February 2006 through June 2025, we find that:

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