Low-volatility strategies for highly liquid cryptocurrencies

Kaya, Orcun; Mostowfi, Mehdi

doi:10.1016/j.frl.2021.102422

Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-23853

Publication type:	Article in scientific journal
Type of review:	Peer review (publication)
Title:	Low-volatility strategies for highly liquid cryptocurrencies
Authors:	Kaya, Orcun Mostowfi, Mehdi
et. al:	No
DOI:	10.1016/j.frl.2021.102422 10.21256/zhaw-23853
Published in:	Finance Research Letters
Volume(Issue):	46
Issue:	102422
Issue Date:	2021
Publisher / Ed. Institution:	Elsevier
ISSN:	1544-6123
Language:	English
Subjects:	Cryptocurrency; Portfolio optimization; Volatility; Stop-loss rule
Subject (DDC):	332.6: Investment
Abstract:	Managing extreme price fluctuations in cryptocurrency markets are of central importance for investors in this market segment. Using a sample of highly liquid cryptocurrencies from January 2017 to June 2021, this paper proposes a dynamic investment strategy that selects cryptocurrencies based on their historical volatility and is complemented by a simple stop-loss rule. Our results reveal that investing in highly concentrated low volatility cryptocurrency portfolios with six to twelve months volatility look-back and holding period generate statistically significant excess returns. By including a simple stop-loss rule, the downside risk of cryptocurrency portfolios is reduced markedly, and the Sharpe ratios are improved significantly.
URI:	https://digitalcollection.zhaw.ch/handle/11475/23853
Fulltext version:	Published version
License (according to publishing contract):	CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International
Departement:	School of Management and Law
Organisational Unit:	Institute for Financial Management (IFI)
Appears in collections:	Publikationen School of Management and Law

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Kaya, O., & Mostowfi, M. (2021). Low-volatility strategies for highly liquid cryptocurrencies. Finance Research Letters, 46(102422). https://doi.org/10.1016/j.frl.2021.102422

Kaya, O. and Mostowfi, M. (2021) ‘Low-volatility strategies for highly liquid cryptocurrencies’, Finance Research Letters, 46(102422). Available at: https://doi.org/10.1016/j.frl.2021.102422.

O. Kaya and M. Mostowfi, “Low-volatility strategies for highly liquid cryptocurrencies,” Finance Research Letters, vol. 46, no. 102422, 2021, doi: 10.1016/j.frl.2021.102422.

KAYA, Orcun und Mehdi MOSTOWFI, 2021. Low-volatility strategies for highly liquid cryptocurrencies. Finance Research Letters. 2021. Bd. 46, Nr. 102422. DOI 10.1016/j.frl.2021.102422

Kaya, Orcun, and Mehdi Mostowfi. 2021. “Low-Volatility Strategies for Highly Liquid Cryptocurrencies.” Finance Research Letters 46 (102422). https://doi.org/10.1016/j.frl.2021.102422.

Kaya, Orcun, and Mehdi Mostowfi. “Low-Volatility Strategies for Highly Liquid Cryptocurrencies.” Finance Research Letters, vol. 46, no. 102422, 2021, https://doi.org/10.1016/j.frl.2021.102422.