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.
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.
Sinan Krückeberg & Peter Scholz (2018): Cryptocurrencies as an Asset Class? SSRN Working Paper.
Warum legen verhältnismäßig wenige Deutsche ihr Geld in Aktien und anderen Wertpapieren an? Was müsste man tun, damit die Privatanleger ihr Verhalten verändern? Ist der Finanzmarkt schlicht zu komplex für Privatanleger?
Diesen und anderen Fragen gingen die Teilnehmer auf dem Workshop Privatanleger auf dem Finanzmarkt vom 15. bis 16. Februar in Frankfurt / Main nach.
In den letzten Wochen und Monaten gleicht die Kursentwicklung beim Bitcoin und anderen Kryptowährungen einer wilden Berg- und Talfahrt. Martin Morgenstern hat mich zu diesem Thema für procontra online interviewt.
Ab dem 1. Januar 2018 gibt es mal wieder eine Veränderung bei der Besteuerung — diesmal betrifft es die Erträge aus Publikumsfonds.
How good is the quality of robo-advisory? Together with Michael Tertilt, we focus in our research on the risk assessment of robo-advisors and how they translate their users‘ risk profiles into portfolio recommendations. I present this talk on the World Finance Conference 2017 in Cagliari, Italy. If you want to learn more, you will find our working paper on the SSRN network.
The location: the amazing Venice in Italy. The venue: the beautiful Scuola Grande di San Giovanni Evengelista. On March 3rd, I was invited as a keynote speaker for the 12th Quantitative and Asset Management Workshop by DIAMAN SCF.
Can technical trading systems outsmart their benchmark? In our analysis we take a look on what drives trading performance of SMA rules. The working paper is pending but our results have been presented on many conferences, e.g. EURO 2015 in Glasgow, MFS Annual Meetings 2016 in Lemesos and Stockholm, World Finance Conference 2016 in New York, and Quant 2017 in Venice.
Active investment strategies are a subject of endless debates. Myriads of studies have been conducted to proof performance potential or to reject previous studies due to flaws or misinterpretations. The presentation will address three specific aspects which often are disregarded when performance is measured. Firstly, we will discuss the role of backtests and show that this instrument — even when used carefully and skilled — may lead to biased and misleading results. Secondly, we give an example that the concepts of performance and forecast power must be strictly distinguished. Finally, we demonstrate that implementation details, while largely neglected, may strongly impact and bias a strategy’s performance.
Peter Scholz & Ursula Walther (2013): Performance Analysis of Investment Strategies — Pitfalls and Surprises. Lecture Notes in Management Science Vol. 5, 176-180.
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