Cryptocurrencies as an Asset Class?

Together with Sinan Krückeberg, my Ph.D. student, we have worked on a paper on cryptocurrencies and have analyzed if they form an asset class on their own. You find our interesting results in our working paper.

Abstract

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.

Citation

Sinan Krückeberg & Peter Scholz (2018): Cryptocurrencies as an Asset Class? SSRN Working Paper.

EFA Annual Meeting in Philadelphia

Today, I have presented Michael’s and my work on robo-advisory at the 54th Annual Meeting of the EFA in Philadelphia.

You find a recording of the talks‘ content here and you can download our paper here.

We received very good feedback and I could make a lot of new and interesting contacts.

Greetings from fantastic Philadelphia!