<abstract xmlns="http://www.w3.org/1999/xhtml"><bold>Subject and purpose of work:</bold> The purpose of this work was to compare selected portfolio strategies in terms of return rates in order to answer the question whether the method of determining the weights of the portfolio and reduction of the number of portfolio elements characterized by strong positive correlation of rates of return have an impact on its profitability.<bold>Materials and methods:</bold> The analysis used publicly available data, selected portfolio methods and hierarchical clustering. Both short- and long-term investment strategies were examined.<bold>Results:</bold> None of analyzed strategies allows to achieve higher rates of return in any given (arbitrarily selected) period than other analyzed strategies. Portfolios with a reduced number of elements in most cases did make it possible to achieve a higher rate of return than the benchmark portfolios consisting of 15 cyptocurrencies.<bold>Conclusions:</bold> While making investment decisions, one should bear in mind that the realized rate of return may significantly differ from the expected rate of return of the portfolio, which is only a forecast.</abstract>

Subject and purpose of work: The purpose of this work was to compare selected portfolio strategies in terms of return rates in order to answer the question whether the method of determining the weights of the portfolio and reduction of the number of portfolio elements characterized by strong positive correlation of rates of return have an impact on its profitability.Materials and methods: The analysis used publicly available data, selected portfolio methods and hierarchical clustering. Both short- and long-term investment strategies were examined.Results: None of analyzed strategies allows to achieve higher rates of return in any given (arbitrarily selected) period than other analyzed strategies. Portfolios with a reduced number of elements in most cases did make it possible to achieve a higher rate of return than the benchmark portfolios consisting of 15 cyptocurrencies.Conclusions: While making investment decisions, one should bear in mind that the realized rate of return may significantly differ from the expected rate of return of the portfolio, which is only a forecast.

Comparison of Selected Portfolio Strategies Based on the Example of Cryptocurrency Portfolios

Economic and Regional Studies / Studia Ekonomiczne i Regionalne

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Subject and purpose of work: The purpose of this work was to compare selected portfolio strategies in terms of return rates in order to answer the question...

Comparison of Selected Portfolio Strategies Based on the Example of Cryptocurrency Portfolios

Published Online: Mar 31, 2021

Page range: 44 - 60

Received: Dec 01, 2020

Accepted: Feb 01, 2021

DOI: https://doi.org/10.2478/ers-2021-0004

Keywords
cryptocurrency portfolios, hierarchical clustering, Markowitz portfolio, semivariance, conditional value at risk

© 2021 Kinga Kądziołka, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Comparison of Selected Portfolio Strategies Based on the Example of Cryptocurrency Portfolios

Published Online: Mar 31, 2021

Page range: 44 - 60

Received: Dec 01, 2020

Accepted: Feb 01, 2021

DOI: https://doi.org/10.2478/ers-2021-0004

Keywordscryptocurrency portfolios, hierarchical clustering, Markowitz portfolio, semivariance, conditional value at risk

© 2021 Kinga Kądziołka, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
cryptocurrency portfolios, hierarchical clustering, Markowitz portfolio, semivariance, conditional value at risk