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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Cryptocurrencies: Investigation of the Diversification Effect and Description of the Market Situation in Switzerland and Liechtenstein with a View towards Crypto-Funds |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 88 |
| Date | 2019 |
| Abstract Text | This thesis observes the diversification effect of cryptocurrencies and gives an overview of the dynamic crypto market environment. Institutional investors show increasing interest in the market. Various products are being developed to facilitate their market entry. Furthermore, it is researched whether a passive investment in a diversified cryptocurrency fund improves the risk-return profile of a pure equity or bond portfolio. The chosen performance measure is the Omega ratio for one-year holding periods. The results show no constant risk-adjusted outperformance for the time period considered (01/05/201631/05/2019). However, an allocation of 1% shows interesting results and should be further investigated. |
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