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I am struggling with multicolumn. What I want is equal spacing between the three columns. Without multicolumn, there is not enough space because of the Panel rows. With multicolumn, it just Looks bad. Does anyone know how I could handle this? I guess the first column just has to move a bit to the right that the table Looks at least decent...

 documentclass[a4paper, 12pt]article
DeclareUnicodeCharacterFB01fi
DeclareUnicodeCharacterFB02fl
%usepackage[space]grffile
usepackageapacite
usepackagemakecell
usepackageafterpage
usepackagedblfloatfix
usepackage[referable]threeparttablex
usepackage[paper=portrait,pagesize]typearea
usepackagemleftright
usepackagelscape
usepackagea4wide
usepackage[T1]fontenc
usepackage[utf8]inputenc
usepackage[onehalfspacing]setspace
usepackagefloat, afterpage, rotating, graphicx
usepackage[dvipsnames]xcolor
usepackagetikz, epstopdf,pgfplots
usepackagelongtable, booktabs, tabularx
usepackagefancyvrb, moreverb, relsize
usepackageeurosym, calc, chngcntr
usepackageamsmath, amssymb, amsfonts, amsthm, bm
usepackagemathtools
DeclareMathOperator*argminarg,min
DeclareMathOperator*argmaxarg,max
usepackage[labelfont=bf, skip=5pt]caption
usepackagemdwlist
usepackagetabularx, booktabs
newcolumntypeC>centeringarraybackslashX
usepackagexfrac
usepackagesetspace,geometry
usepackagexcolor
usepackagelmodern
usepackageupgreek
usepackageafterpage
usepackagewrapfig
usepackagepdflscape
usepackagemultirow, booktabs, makecell, caption
usepackagefancyhdr
usepackage[toc]glossaries
usepackagesubcaption
usepackagelipsum 
usepackageamsmath
usepackageamssymb
usepackageeurosym
usepackageamsfonts
usepackagebooktabs
usepackageabstract
usepackagedcolumn
usepackagegraphicx
usepackage[hyphens]url
usepackageacronym
usepackage[english]babel
usepackage[round, sort&compress]natbib %sort&compress orders in text citation automatically
usepackagepgfplots
usepackagethreeparttable
usepackagesiunitx %setze S in Tabelle, um nach dem Punkt auszurichten
usepackage[export]adjustbox
usepackageetoolbox
usepackage[hyperfootnotes=false]hyperref
usepackagefootnotebackref
usepackageappendix
usepackage[bottom,hang,flushmargin]footmisc %footnotes always appear on bottom and not end of text on single page
geometrya4paper, top=30mm, left=30mm, right=30mm, bottom=30mm,headsep=10mm, footskip=12mm

%try to prevent widows and orphans (single lines on top/bottom of page)
widowpenalty10000 
clubpenalty10000

begindocument

begintable[t!]
 centering
 captionSummary of strategy performances
 labeltab2:summary
 beginthreeparttable
 begintabular*linewidthl@extracolsepfill*3c

toprule
 & makecelltextbfIndividual \ textbfCryptocurrencies & makecelltextbfEqually-weighted \ textbfbenchmark & makecelltextbfRisk-based \ textbfStrategies \

 midrule
 multicolumn2ltextitPanel A: Risk and Return & & \
 Mean & textbf-- & textbf+ & textbf-- \
 SD & textbf-- & textbf-- & textbf+ \
 SR & textbf-- & textbf-- & textbf+ \
 Min & textbf-- & textbf-- & textbf+ \
 Max & textbf-- & textbf-- & textbf+ \
 Skew & textbf-- & textbf-- & textbf+ \
 Kurt & textbf-- & textbf-- & textbf+ \
 midrule
 multicolumn2ltextitPanel B: Tail and Extreme Risk & & \
 VaR (5%) & textbf-- & textbf-- & textbf+ \
 VaR (1%) & textbf-- & textbf-- & textbf+ \
 CVaR(5%) & textbf-- & textbf-- & textbf+ \
 CVaR (1%)& textbf-- & textbf-- & textbf+ \
 DD & textbf-- & textbf-- & textbf+ \
 MD & textbf-- & textbf-- & textbf+ \
 LPM & textbf-- & textbf-- & textbf+ \
 midrule
 multicolumn2ltextitPanel C: Conditional Performance & & \
 Bull market & textbf-- & textbf-- & textbf+ \
 Bear market & textbf-- & textbf-- & textbf+ \
 bottomrule

 endtabular*
 begintablenotes[para,flushleft]
 footnotesize
 itemhspace-2.5ptnoindenttextitNote: The table
 provides xx
 endtablenotes
 endthreeparttable
endtable


enddocument

your question is primary opinion based ... so the main contribution of MWE below is cleanup of your code from all unnecessary repetition of textbf, use thead instead of makecell in column headers and introduction threepartablex package for writing table notes:

documentclass[a4paper, 12pt]article
DeclareUnicodeCharacterFB01fi
DeclareUnicodeCharacterFB02fl
usepackagebooktabs, makecell, multirow, tabularx
renewcommandtheadfontsmallbfseries
usepackage[referable]threeparttablex
usepackagecaption

usepackagesiunitx %setze S in Tabelle, um nach dem Punkt auszurichten
usepackage[a4paper, 
 margin=30mm,headsep=10mm, footskip=12mm]geometry

begindocument
 begintable[ht]
 centering
 captionSummary of strategy performances
 labeltab2:summary
 beginthreeparttable
 begintabularxlinewidthl*3>bfseriescenteringarraybackslashX
 toprule
 & theadIndividual\ Cryptocurrencies
 & theadEqually-weighted\ benchmark
 & theadRisk-based\ Strategies \
 midrule
multicolumn4ctextitPanel A: Risk and Return \
 midrule
 Mean & -- & + & -- \
 SD & -- & -- & + \
 SR & -- & -- & + \
 Min & -- & -- & + \
 Max & -- & -- & + \
 Skew & -- & -- & + \
 Kurt & -- & -- & + \
 addlinespace
multicolumn4ctextitPanel B: Tail and Extreme Risk \
 midrule
 VaR (5%) & -- & -- & + \
 VaR (1%) & -- & -- & + \
 CVaR(5%) & -- & -- & + \
 CVaR (1%)& -- & -- & + \
 DD & -- & -- & + \
 MD & -- & -- & + \
 LPM & -- & -- & + \
 addlinespace
multicolumn4ctextitPanel C: Conditional Performance\
 midrule
 Bull market & -- & -- & + \
 Bear market & -- & -- & + \
 bottomrule
 endtabularx
 begintablenotes[para,flushleft]
 footnotesize
 note The table
 provides xx
 endtablenotes
 endthreeparttable
 endtable
enddocument

Above MWE gives:

Probably you are more satisfied with the following. I have used @quadquad to indent the first column while leaving the entries of the multicolumns unindented. I have also replaced itemhspace-2.5ptnoindenttextitNote: with note.

documentclass[a4paper, 12pt]article
usepackagemakecell
usepackage[referable]threeparttablex
usepackagebooktabs


begindocument

begintable[t!]
 centering
 captionSummary of strategy performances
 labeltab2:summary
 beginthreeparttable
 begintabular*linewidth@quadquadl@extracolsepfill*3c

toprule
 & makecelltextbfIndividual \ textbfCryptocurrencies & makecelltextbfEqually-weighted \ textbfbenchmark & makecelltextbfRisk-based \ textbfStrategies \

 midrule
 multicolumn2ltextitPanel A: Risk and Return & & \
 Mean & textbf-- & textbf+ & textbf-- \
 SD & textbf-- & textbf-- & textbf+ \
 SR & textbf-- & textbf-- & textbf+ \
 Min & textbf-- & textbf-- & textbf+ \
 Max & textbf-- & textbf-- & textbf+ \
 Skew & textbf-- & textbf-- & textbf+ \
 Kurt & textbf-- & textbf-- & textbf+ \
 midrule
 multicolumn2ltextitPanel B: Tail and Extreme Risk & & \
 VaR (5%) & textbf-- & textbf-- & textbf+ \
 VaR (1%) & textbf-- & textbf-- & textbf+ \
 CVaR(5%) & textbf-- & textbf-- & textbf+ \
 CVaR (1%)& textbf-- & textbf-- & textbf+ \
 DD & textbf-- & textbf-- & textbf+ \
 MD & textbf-- & textbf-- & textbf+ \
 LPM & textbf-- & textbf-- & textbf+ \
 midrule
 multicolumn2ltextitPanel C: Conditional Performance & & \
 Bull market & textbf-- & textbf-- & textbf+ \
 Bear market & textbf-- & textbf-- & textbf+ \
 bottomrule

 endtabular*
 begintablenotes[para,flushleft]
 footnotesize
 note The table provides xx
 endtablenotes
 endthreeparttable
endtable


enddocument

I suggest you start by changing all three instances of

multicolumn2ltextitPanel ... & & \

to

multicolumn4ltextitPanel ... \

To spruce up the "look" of the table, I would also replace the interior instances of midrule with addlinespace, and I would replace all instances of textbf+ and textbf-- with $bm+$ and $bm-$, respectively. Furthermore, I can't see any (typographic) justification for rendering the header cells in bold, and using the threeparttable machinery seems pointless since there aren't any tnote directives.

documentclass[a4paper, 12pt]article
%%% I tried to simplify the preamble considerably...
%DeclareUnicodeCharacterFB01fi
%DeclareUnicodeCharacterFB02fl
%usepackage[space]grffile
%usepackageapacite
usepackagemakecell
%usepackageafterpage
%usepackagedblfloatfix
%usepackage[referable]threeparttablex
%usepackage[paper=portrait,pagesize]typearea
%usepackagemleftright
%usepackagelscape
%usepackagea4wide
usepackage[T1]fontenc
usepackage[utf8]inputenc
usepackage[onehalfspacing]setspace
usepackage%float, afterpage, rotating, 
 graphicx
usepackage[dvipsnames]xcolor
usepackagetikz, %epstopdf,
 pgfplots
usepackage%longtable, 
 booktabs, tabularx
%usepackagefancyvrb, moreverb, relsize
%usepackageeurosym, calc, chngcntr
usepackageamsmath, amssymb, %amsfonts, 
 amsthm, bm
%usepackagemathtools
%DeclareMathOperator*argminarg,min
%DeclareMathOperator*argmaxarg,max
usepackage[%labelfont=bf, 
 skip=5pt]caption
%usepackagemdwlist
%usepackagetabularx, booktabs
%newcolumntypeC>centeringarraybackslashX
%usepackagexfrac
usepackage%setspace,
 geometry
%usepackagexcolor
usepackagelmodern
usepackageupgreek
%usepackageafterpage
%usepackagewrapfig
%usepackagepdflscape
%usepackagemultirow, booktabs, makecell, caption
%usepackagefancyhdr
%usepackage[toc]glossaries
%usepackagesubcaption
%usepackagelipsum 
%usepackageamsmath
%usepackageamssymb
%usepackageeurosym
%usepackageamsfonts
%usepackagebooktabs
%usepackageabstract
%usepackagedcolumn
%usepackagegraphicx
usepackage[hyphens]url
%usepackageacronym
usepackage[english]babel
usepackage[round, sort&compress]natbib 
 %sort&compress orders in-text citations automatically
%usepackagepgfplots
%usepackagethreeparttable
usepackagesiunitx %setze S in Tabelle, um nach dem Punkt auszurichten
%usepackage[export]adjustbox
%usepackageetoolbox
%usepackageappendix
usepackage[bottom,hang,flushmargin]footmisc 
 % make footnotes appear on bottom and not end of text on single page
geometrya4paper, margin =30mm, headsep = 10mm, footskip = 12mm

% prevent typographic widows and orphans:
widowpenalty10000 
clubpenalty10000

usepackage[hyperfootnotes=false]hyperref
usepackagefootnotebackref

begindocument

begintable[t!]
 %centering % redundant
 setlengthtabcolsep0pt % <-- new
 captionSummary of strategy performances
 labeltab2:summary
 %beginthreeparttable
begintabular*linewidthl@extracolsepfill*3c
toprule
& makecellIndividual \ Cryptocurrencies 
& makecellEqually-weighted \ benchmark 
& makecellRisk-based \ Strategies \
midrule
multicolumn4ltextitPanel A: Risk and Return \
 Mean & $bm-$ & $bm+$ & $bm-$ \
 SD & $bm-$ & $bm-$ & $bm+$ \
 SR & $bm-$ & $bm-$ & $bm+$ \
 Min & $bm-$ & $bm-$ & $bm+$ \
 Max & $bm-$ & $bm-$ & $bm+$ \
 Skew & $bm-$ & $bm-$ & $bm+$ \
 Kurt & $bm-$ & $bm-$ & $bm+$ \
%midrule
addlinespace
multicolumn4ltextitPanel B: Tail and Extreme Risk \
 VaR (5%) & $bm-$ & $bm-$ & $bm+$ \
 VaR (1%) & $bm-$ & $bm-$ & $bm+$ \
 CVaR(5%) & $bm-$ & $bm-$ & $bm+$ \
 CVaR (1%)& $bm-$ & $bm-$ & $bm+$ \
 DD & $bm-$ & $bm-$ & $bm+$ \
 MD & $bm-$ & $bm-$ & $bm+$ \
 LPM & $bm-$ & $bm-$ & $bm+$ \
%midrule
addlinespace
multicolumn4ltextitPanel C: Conditional Performance \
 Bull market & $bm-$ & $bm-$ & $bm+$ \
 Bear market & $bm-$ & $bm-$ & $bm+$ \
bottomrule
endtabular*

%begintablenotes[para,flushleft]
smallskip
footnotesize
textitNote: The table provides dots
%endtablenotes
%endthreeparttable
endtable
enddocument

Addendum: If you really don't want to let the headers in the first column protrude into the data columns, I suggest you switch from a tabular* to a tabularx environment, with modified forms of the X column type for all four columns:

documentclass[12pt]article

usepackage[T1]fontenc
usepackage[utf8]inputenc
usepackagelmodern, booktabs
usepackagetabularx
%% new: define 2 new column types: L and C
newcolumntypeL[1]%
 >raggedrightarraybackslashhsize=#1hsize%
 hangafter=1hangindent=1.5emX % automatic hanging indentation
newcolumntypeC[1]%
 >centeringarraybackslashhsize=#1hsizeX

usepackageamsmath, amssymb, amsthm, bm
usepackage[skip=0.333baselineskip]caption
usepackagegeometry
geometrya4paper,margin=30mm,headsep=10mm,footskip=12mm

begindocument

begintable[t!]
captionSummary of strategy performances
labeltab:summary
begintabularxlinewidth@ L1.45 *2C0.95 C0.65 @ 
 % 1.45+2*0.95+0.65 = 4 = # of columns of type "X"
toprule
& Individual Cryptocurrencies & Equally-weighted benchmark & Risk-based Strategies \
midrule
textitPanel A: Risk and Return \
 Mean & $bm-$ & $bm+$ & $bm-$ \
 SD & $bm-$ & $bm-$ & $bm+$ \
 SR & $bm-$ & $bm-$ & $bm+$ \
 Min & $bm-$ & $bm-$ & $bm+$ \
 Max & $bm-$ & $bm-$ & $bm+$ \
 Skew & $bm-$ & $bm-$ & $bm+$ \
 Kurt & $bm-$ & $bm-$ & $bm+$ \
addlinespace
textitPanel B: Tail and Extreme Risk \
 VaR (5%) & $bm-$ & $bm-$ & $bm+$ \
 VaR (1%) & $bm-$ & $bm-$ & $bm+$ \
 CVaR(5%) & $bm-$ & $bm-$ & $bm+$ \
 CVaR (1%)& $bm-$ & $bm-$ & $bm+$ \
 DD & $bm-$ & $bm-$ & $bm+$ \
 MD & $bm-$ & $bm-$ & $bm+$ \
 LPM & $bm-$ & $bm-$ & $bm+$ \
addlinespace
textitPanel C: Conditional Performance \
 Bull market & $bm-$ & $bm-$ & $bm+$ \
 Bear market & $bm-$ & $bm-$ & $bm+$ \
bottomrule
endtabularx

smallskip
footnotesize
textitNote: The table provides dots
endtable
enddocument