Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2019-06-30 DOI:10.3905/jai.2019.1.072
Stefan Ehlers, Kolja Gauer
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引用次数: 14

Abstract

Cryptocurrencies have developed very dynamically although their future role is yet unclear. In any event, they are too big to ignore. The purpose of this article is to contribute to the understanding of cryptocurrencies in an individual and in a portfolio context. The study is based on daily closing prices of leading cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, and Dash) and fiat currencies (EUR, GBP, CHF, CAD, and JPY), all measured against USD. The analysis is threefold: First, the authors analyze basic statistical properties, such as correlation and autocorrelation of returns. Second, they perform a Kolmogorov–Smirnov test (KS test) and a variance ratio test (VRT) with heteroscedasticity adjustment. Third, they solve more than 4,800 optimization problems to analyze the impact of individual crypto- and fiat currencies on portfolio diversification. Among other findings, the authors find that Bitcoin, Ethereum, Dash, CAD, JPY, and EUR contribute most to reduce the variance of a mixed portfolio. In a portfolio consisting of cryptocurrencies only, Bitcoin and Ripple have the largest diversification effect. The findings provide insights for investors who focus on minimum variance portfolios or, more generally, for investors who seek to reduce return volatility exposure, as well as for monetary authorities, cryptocurrency issuers, and providers of market infrastructure. TOPICS: Real assets/alternative investments/private equity, statistical methods, portfolio construction
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超越比特币:主要加密货币和法定货币的统计比较及其对投资组合多元化的影响
加密货币的发展非常动态,尽管它们未来的角色尚不清楚。无论如何,它们太大了,不容忽视。本文的目的是有助于在个人和投资组合环境中理解加密货币。这项研究是基于领先的加密货币(比特币、以太坊、瑞波币、莱特币和达世币)和法定货币(欧元、英镑、瑞士法郎、加元和日元)的每日收盘价,所有这些货币都以美元为基准。本文从三个方面进行了分析:首先,分析了收益率的相关和自相关等基本统计性质。其次,采用异方差调整后的Kolmogorov-Smirnov检验(KS检验)和方差比检验(VRT)。第三,他们解决了4800多个优化问题,以分析单个加密货币和法定货币对投资组合多样化的影响。在其他发现中,作者发现比特币、以太坊、达世币、加元、日元和欧元对减少混合投资组合的方差贡献最大。在仅由加密货币组成的投资组合中,比特币和瑞波币具有最大的分散效果。这些发现为专注于最小方差投资组合的投资者,或者更广泛地说,为寻求降低回报波动风险的投资者,以及货币当局、加密货币发行人和市场基础设施提供商提供了见解。主题:实物资产/另类投资/私募股权,统计方法,投资组合构建
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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