It's all in the timing again: simple active portfolio strategies that outperform naive diversification in the cryptocurrency market

【Author】 Tavares, Ricardo de Souza; Caldeira, Joao Frois; Raimundo Junior, Gerson de Souza

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】This article analyzes whether cryptocurrencies' inclusion improves stock portfolios' performance and whether the application of portfolio selection methodologies would bring gains to investors in the digital currency market. Volatility Timing and Reward-to-Risk Timing methodologies were applied to a base containing only S&P 100 stocks, another containing only cryptocurrencies, and one mixing the previous two. The results suggest that the inclusion of cryptocurrencies has not brought performance gains to the stock portfolios and that the investor in the cryptocurrency market can benefit from the use of portfolio selection.

【Keywords】Cryptocurrencies; portfolio selection; bitcoin; volatility timing

【发表时间】2020

【收录时间】2022-01-02

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