Research Report:Crypto improves a portfolio’s performance

CucakRowo

hero member

Activity: 994

Merit: 593

aka JAGEND.

Quote from: bitmover on June 26, 2020, 03:52:48 PM

-snip-

Have you read the report? Your "slightly difference" has been stated explicitly in that report. Let me copy-paste it for you :

Quote

"In conclusion, the addition of crypto currencies generally increased the Sharpe ratio of a given portfolio, con-sidering that in 17 out of 18 cases a relevant increase in the Sharpe ratio was observed. In relative terms, the Sharpe ratio increased the most for all portfolios when moving from a 0% crypto allocation to a 1% crypto allocation. This evidences that a com-paratively small holding of crypto currencies can significantly improve a portfolio’s performance"

Source : OP report Page 12

To OP. Yeap i agree with your conclusion. But i want to ask, Cryptocurrency that you guys use in your report are : Bitcoin, Ethereum, XRP, Litecoin, Tether, Bitcoin Cash, EOS, Binance Coin, Bitcoin SV and Tezos. And yes, will bring profit when it's in uptrend (in 2020, start from March - June 1). What about in downtrend? Perhaps starting on mid july 2020. do you have any research during the downtrend phase?

bitmover

legendary

Activity: 2212

Merit: 5622

Non-custodial BTC Wallet

I believe slightly different: Bitcoin improves portfolio performance.

Specially in this year, with all this recession and economical crisis... In developing countries most of the fiat currencies lost value against USD, which indirectly made Bitcoin prices hit new highs.

Iconic Lab

jr. member

Activity: 171

Merit: 1

The Impact of Crypto Currencies on the Sharpe Ratio of Traditional Investment Models

Iconic Funds commissioned an empirical study analyzing the impact a minor crypto-asset allocation would have had on the risk-adjusted ROI of various portfolio types. The study concluded that all portfolio types benefited greatly, resulting in the portfolio’s Sharpe Ratio roughly doubling for all portfolio strategies with a mere 1%, rebalanced monthly, allocation to crypto assets.

Read The Research Report:https://iconicholding.com/the-impact-of-crypto-currencies-on-the-sharpe-ratio-of-traditional-investment-models/

Topic: Research Report:Crypto improves a portfolio’s performance (Read 87 times)