Cryptocurrencis and Portfolio Diversification

Year 2020, Issue: 65, 125 - 141, 24.07.2020

Yavuz Gül

Abstract

The advances in technology and science in the 21st century have had various transformational effects on the financial markets and systems. One of the innovations that emerged within this framework is cryptocurrencies. The market capitalizations and trading volumes of cryptocurrencies have increased significantly in the past few years. There are different opinions as to whether these currencies could be viewed as an investment instrument. The purpose of this study is to investigate whether cryptocurrencies could be used for portfolio diversification. Accordingly, different strategies and daily data for the period of 7 August 2015-23 January 2020 were used to create portfolios consisting of stocks, commodities, exchange rates and mutual funds. Cryptocurrencies (Bitcoin, Ethereum, Ripple) were then added to these portfolios and the change in portfolio performance was examined. The results found the correlations between cryptocurrencies and other assets to be mostly negative. It was also observed that, with the addition of cryptocurrencies to portfolios, overall higher returns and Sharpe ratios were obtained and lower risk levels were achieved. It can therefore be concluded that cryptocurrencies can be a good instrument for portfolio diversification and they positively affect portfolio performance.

Keywords

Cryptocurrencies, Portfolio Diversification, Portfolio Management

Kripto Paralar ve Portföy Çeşitlendirmesi

Abstract

21. yüzyıl ile beraber, teknolojide ve bilimde meydana gelen ilerlemeler, finansal piyasalar ile sistemleri de etkileyen ve dönüştüren bir konuma gelmiştir. Bu çerçevede ortaya çıkan yeniliklerden biri de kripto paralardır. Son bir kaç yılda, kripto paraların piyasa değerleri ve işlem hacimleri önemli ölçüde artmıştır. Söz konusu para birimlerinin, bir yatırım enstrümanı olarak görülüp görülemeyeceğine ilişkin farklı görüşler bulunmaktadır. Bu çalışmanın amacı, kripto paraların portföy çeşitlendirmesi amacıyla kullanılıp kullanılamayacağını araştırmaktır. Bu doğrultuda, farklı stratejiler ve 7 Ağustos 2015-23 Ocak 2020 dönemi günlük verileri kullanılarak, hisse senetleri, emtialar, döviz kurları ve yatırım fonlarından meydana gelen portföyler oluşturulmuştur. Ardından bu portföylere kripto paralar (Bitcoin, Ethereum, Ripple) ilave edilerek, portföy performanslarının değişimi incelenmiştir. Yapılan analizler neticesinde, kripto paralar ile diğer varlıkların arasındaki korelasyonların çoğunlukla negatif olduğu bulunmuştur. Ayrıca, portföylere kripto paraların eklenmesiyle birlikte, genel olarak daha yüksek getiriler ile Sharpe oranlarına ve daha düşük risk seviyelerine ulaşıldığı görülmüştür. Dolayısıyla, kripto paraların portföy çeşitlendirmesi için iyi bir araç olabilecekleri ve portföy performanslarını olumlu etkiledikleri sonucuna varılmıştır.

Keywords

Kripto Paralar, Portföy Çeşitlendirmesi, Portföy Yönetimi

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