Cryptocurrencies as an Asset Class?
29 Pages Posted:
Date Written: April 14, 2018
Cryptocurrencies show characteristics of a distinct asset class based on strong internal correlation,
an absence of correlation with any traditional asset class as well as strong market
liquidity, while market stability has room for improvement. We find that for investment purposes
cryptocurrencies can be distinguished into cryptographic coins and tokens. Adding a
1% allocation of cryptocurrencies to traditional portfolio structures leads to significant and
persistent risk weighted outperformance. These results support the careful introduction of
cryptocurrencies into the asset management mainstream.
Keywords: Cryptocurrency, Tokens, Coins, Asset Class, Portfolio Optimization, Asset Management
JEL Classification: G11, G23, E42
Suggested Citation: Suggested Citation