Can Crypto Enhance -
Portfolio Returns?


Can Crypto Enhance Portfolio Returns?

This asset allocation study investigates what impact minor allocations (1% to 5%) of cryptocurrencies in a portfolio of well-diversified assets have on the overall portfolio performance.

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1. Crypto Integration in Diversified Portfolios

The integration of cryptocurrencies into diversified portfolios across the Eurozone, Swiss, and UK regions has the potential to augment returns. The study traces the growth trajectory of a 100 EUR/CHF/GBP investment from 2010 to 2023.
The crypto component is backdated and represented by the MSCI Global Digital Assets Select Top 20 Capped Index to offer a comprehensive view of the growth of model portfolios over the years.


2. Crypto Correlations with Financial Assets

The intricate relationships between cryptocurrencies and a variety of financial assets, including equities, bonds, gold, and commodities are uncovered to reveal changing correlations with different asset classes over time.

3. Portfolio Performance and Rebalancing Impact

The report displays the diverse performance results of portfolios with varying crypto allocations, spanning from 0% to 5%. Additionally, it includes an analysis of how different rebalancing frequencies, such as monthly, quarterly, and annual strategies, impact portfolio volatility and returns, highlighting their respective effects.


4. Bootstrapped Performance Metrics and Allocation Insights

A bootstrapped methodology evaluates portfolio performance through the utilisation of metrics such as the Sharpe ratio, Calmar ratio, and the Sortino ratio. The study highlights the potential of minor crypto allocations to produce outsized portfolio returns and foster diversification, underscoring the significant role of rebalancing frequency in managing the proportion of crypto components in the portfolio.

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The ETC Group Research team analyses blockchain datasets, along with macroeconomic and geopolitical issues, to demystify digital asset markets and technologies, creating actionable insights for investors, traders, financial service professionals and crypto enthusiasts.

ETC Group bridges the gap between digital assets and traditional financial markets by creating institutional-grade exchange traded products that provide access to the digital asset and blockchain ecosystem. The team consists of financial services professionals and entrepreneurs, with experience spanning both the worlds of digital assets and regulated markets.

Contact: [email protected]


Macro Hive provides global macroeconomic research and strategy. Its user base includes top banks (e.g., JP Morgan, Citi, and Bank of America) and the largest hedge funds, asset managers, family offices, private wealth, etc. Macro Hive combine best-in-class human and artificial intelligence, led by its Co-Founders Bilal Hafeez and Andrew Simon, former Head of Research and direct advisor to the CEO at Deutsche Bank, and former Head of Sales Europe JP Morgan, respectively.
Read more insights in our Crypto Corner  →
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