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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۱ دارای ۶ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H713
سال نشر: ۲۰۲۱
نام ناشر (پایگاه داده): الزویر
نام مجله: Finance Research Letters
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۶ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۱ : استراتژی های کم نوسان برای رمز ارزهای با نقدشنوندگی بالا
عنوان کامل انگلیسی:
Low-volatility strategies for highly liquid cryptocurrencies
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Abstract
Managing extreme price fluctuations in cryptocurrency markets are of central importance for investors in this market segment. Using a sample of highly liquid cryptocurrencies from January 2017 to June 2021, this paper proposes a dynamic investment strategy that selects cryptocurrencies based on their historical volatility and is complemented by a simple stop-loss rule. Our results reveal that investing in highly concentrated low volatility cryptocurrency portfolios with six to twelve months volatility look-back and holding period generate statistically significant excess returns. By including a simple stop-loss rule, the downside risk of cryptocurrency portfolios is reduced markedly, and the Sharpe ratios are improved significantly.
Keywords: Cryptocurrencies, Portfolio optimization, Volatility, Stop-loss rules
۱.Introduction
Cryptocurrency (CC) markets are once more at the market participants’ focus of attention. Since the market capitalization of the first decentralized digital currency, Bitcoin, exceeded the USD 1 trillion threshold for the first time, the CC market became too large to ignore even in the eyes of institutional investors. However, previous episodes of CC price surges were typically followed by excessive selloffs and volatility, i.e., daily CC price drops of up to 40% (Chaim and Laurini (2018)). Therefore, passive long-only investments even in highly diversified CC portfolios might lead to substantial drawdowns.1 In this paper, we propose a concentrated dynamic low volatility investment strategy that selects CCs based on their historical volatility and is complemented by a simple stop-loss rule.
In recent years, literature on CC returns and trading strategies grew significantly. The early literature on CC prices investigates the efficiency and predictability and presents that CC prices are either inefficient or weakly efficient (Tiwari et al. (2018) and Wei (2018)). Focusing on the momentum strategies in CC markets, Grobys and Sapkota (2019) and Tzouvanas et al. (2020) show that these are profitable only in the short term. Building on this, the CC portfolios have also been examined in a mean-variance framework (Brauneis and Mestel (2019), Liu (2019), and Platanakis et al. (2018)) with the main finding that equal-weighted CC portfolios outperform mean-variance optimized portfolios…
۴.Conclusion
This paper tests a low volatility portfolio strategy for CC markets. For a sample of most traded CCs, our results reveal that investing in a highly concentrated low volatility CC portfolio with a six to twelve months volatility look-back and holding period increases the investment performance significantly. Interestingly, increasing the number of CCs in the portfolio does not lower portfolio volatility. By including a simple stop-loss rule, the downside risk proxied by MDDs of CC portfolios is reduced, and the Sharpe ratios are improved markedly…