Purpose

This study aims to compare the diversification risk of the crypto portfolio with those of equity portfolios. For this purpose, the hypothetical index was constructed with 20 cryptocurrencies that hold the highest market capitalization in the Coin Market Cap database, named as the Crypto-Index 20.

Design/methodology/approach

The portfolio diversification techniques were used to identify risk linked with the six largest European equity indexes and compared with the Crypto-Index 20. Indexes were considered as an independent portfolio while analysis was completed separately for each of them. Data concerning stock prices and their trade volume were collected from the Thomson Reuters Eikon database while crypto prices and their trade volume from the Coin Market Cap database. The diversification risk of the stock indexes was measured separately for each portfolio with the same risk techniques and the same methodological process.

Findings

Research results indicate that Crypto-Index 20 on average was 76 times riskier than FTSE 100, 55 times riskier than FTSE MIB, 44 times riskier than IBEX 35, 10 times riskier than CAC 40 and 9 times riskier than DAX and MDAX. Crypto-Index 20 comprises a stronger positive correlation and is exposed to higher volatility than six selected European equity indexes.

Originality/value

This research provides practical implications for the investors on the diversification benefits and risks attached to the cryptocurrencies portfolio by comparing it with the traditional equity portfolios. From a policy perspective, regulators might obtain information on the risk properties involved into cryptocurrencies and the possibility of creating an optimal portfolio.

中文翻译：

---

为最佳的多元化机会建模：加密货币投资组合和股票投资组合的案例

目的

这项研究旨在比较加密货币投资组合和股权投资组合的多元化风险。为此目的，使用20种在Coin Market Cap数据库中拥有最高市值的加密货币构建了虚拟指数，称为Crypto-Index 20。

设计/方法/方法

投资组合分散技术用于识别与六种最大的欧洲股票指数相关的风险，并与Crypto-Index 20进行比较。指数被视为独立的投资组合，而对每个指数的分析均单独完成。有关股票价格及其交易量的数据是从Thomson Reuters Eikon数据库中收集的，而加密货币价格及其交易量则是从Coin Market Cap数据库中收集的。使用相同的风险技术和相同的方法，分别为每个投资组合测量股票指数的分散风险。

发现

研究结果表明，Crypto-Index 20的平均风险比FTSE 100高76倍，比FTSE MIB高55倍，比IBEX 35高44倍，比CAC 40高10倍，比DAX和MDAX高9倍。加密指数20具有更强的正相关性，并且比六种选定的欧洲股市指数具有更高的波动性。

创意/价值

这项研究通过将其与传统股票投资组合进行比较，为投资者提供了加密货币投资组合所带来的多元化收益和风险的实际启示。从政策角度来看，监管机构可能会获得有关加密货币所涉及的风险属性以及创建最佳投资组合的可能性的信息。