Diversi!cation and trend following strategies in cryptocurrencies portfolio – Abstract "is research, using the daily prices from 01/09/2015 to 31/8/2020 has the aim to analyze the capacity of diversi!cation of the most important cryptocurrencies in a portfolio, considering the non-normal distribution of returns and the application of trend following strategies. "e weights of the winners’ portfolios, composed of the six cryptocurrencies extracted from the simulations, are later used to verify the statistics of these portfolios in an out of sample context, in the period from September 2020 to August 2021. In literature Kirilenko et al. (2017), Liu (2019), Gil-Alana et al. (2020) highlighted the position of the cryptocurrencies (Bitcoin and Etherum especially) not only as a deposit of value during turbulent times, but also as a diversi!cation instrument. Other researchers (Rohrbach et al. 2017 e Rozario et al. 2020) showed that the use of digital currencies in trend following strategies, even if there were some limits linked to the application of short selling and also to reduced liquidity. "e results, shown in this research, highlight that Bitcoin has the most signi!cant results compared to the other cryptocurrencies, in the examined sample. In terms of diversi!cation, we underline the presence of low diversi!cation with traditional asset classes. "e selection of the cryptocurrencies in the portfolio and the adoption of trend following strategies highlight the opportunity to obtain high performance results compared to the buy and hold strategy.

Il presente lavoro, utilizzando i dati giornalieri dal 01/09/2015 al 31/8/2020, si pone l’obiettivo di analizzare la capacità di diversificazione di un paniere composto dalle criptovalute più significative, tenendo in considerazione la non-normalità della distribuzione dei rendimenti, e applicando le strategie trend following. I pesi dei portafogli “vincenti” composti dalle sei criptovalute ottenuti dalle simulazioni sono successivamente utilizzati per verificare le statistiche di tali portafogli in un contesto out-of-sample, ovvero considerando il periodo settembre 2020 - agosto 2021. In letteratura Kirilenko et al. (2017), Liu (2019), Gil-Alana et al. [2020] hanno evidenziato il ruolo delle criptovalute (Bitcoin ed Etherum in particolare) non solo come un deposito di valore durante i periodi di turbolenza, ma anche come strumento di diversficazione. Altri studiosi (Rohrbach et al. 2017e Rozario et al. 2020) hanno mostrato l’uso delle valute digitali nelle strategie di trend following, pur in presenza di alcuni limiti legati all’applicazione dello short selling e alla scarsa liquidità. I risultati ottenuti in questo studio evidenziano che il Bitcoin consegue i rendimenti più significativi rispetto alle criptovalute presenti nel campione. In tema di diversificazione si sottolinea la presenza di una bassa correlazione con le asset class tradizionali. L’inserimento delle criptovalute in portafoglio e l’adozione delle strategie trend following hanno messo in evidenza la possibilità di raggiungerei risultati più performanti rispetto alla strategia buy and hold.

Boido, C., Marchiani, L. (2022). La diversificazione e le strategie di trend following in un portafoglio di criptovalute. RIVISTA BANCARIA. MINERVA BANCARIA, 1-2, 7-43.

La diversificazione e le strategie di trend following in un portafoglio di criptovalute

Claudio Boido
;
2022-01-01

Abstract

Diversi!cation and trend following strategies in cryptocurrencies portfolio – Abstract "is research, using the daily prices from 01/09/2015 to 31/8/2020 has the aim to analyze the capacity of diversi!cation of the most important cryptocurrencies in a portfolio, considering the non-normal distribution of returns and the application of trend following strategies. "e weights of the winners’ portfolios, composed of the six cryptocurrencies extracted from the simulations, are later used to verify the statistics of these portfolios in an out of sample context, in the period from September 2020 to August 2021. In literature Kirilenko et al. (2017), Liu (2019), Gil-Alana et al. (2020) highlighted the position of the cryptocurrencies (Bitcoin and Etherum especially) not only as a deposit of value during turbulent times, but also as a diversi!cation instrument. Other researchers (Rohrbach et al. 2017 e Rozario et al. 2020) showed that the use of digital currencies in trend following strategies, even if there were some limits linked to the application of short selling and also to reduced liquidity. "e results, shown in this research, highlight that Bitcoin has the most signi!cant results compared to the other cryptocurrencies, in the examined sample. In terms of diversi!cation, we underline the presence of low diversi!cation with traditional asset classes. "e selection of the cryptocurrencies in the portfolio and the adoption of trend following strategies highlight the opportunity to obtain high performance results compared to the buy and hold strategy.
2022
Boido, C., Marchiani, L. (2022). La diversificazione e le strategie di trend following in un portafoglio di criptovalute. RIVISTA BANCARIA. MINERVA BANCARIA, 1-2, 7-43.
File in questo prodotto:
File Dimensione Formato  
RBMB_2022_1-2_02_Saggio Boido_Marchiani.pdf

non disponibili

Tipologia: PDF editoriale
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 1.27 MB
Formato Adobe PDF
1.27 MB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11365/1197491