OPTIMAL PORTFOLIO CONSTRUCTION USING BITCOIN, GOLD, LQ45 INDEX, AND INDONESIA BOND INDEX
Cryptocurrencies are significant improvements in the digital age that have changed the way we think about money. The first cryptocurrency was Bitcoin, introduced in 2009 and was created by Nakamoto. Due to their potential ups and downs, many people now think that cryptocurrencies are appropriate...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/75971 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Cryptocurrencies are significant improvements in the digital age that have changed
the way we think about money. The first cryptocurrency was Bitcoin, introduced in
2009 and was created by Nakamoto. Due to their potential ups and downs, many
people now think that cryptocurrencies are appropriate for use as an investment
instrument, especially millennials who are attracted to higher-risk investment
alternatives. A number of different investing options such as cryptocurrencies, gold,
and other conventional assets like equities and bonds have unique characteristics
and advantages. It's essential for investors to understand the similarities and
differences between cryptocurrencies and other assets in order to create diversified
portfolios.
In this study, the optimum portfolio will be constructed using Bitcoin, Gold, LQ45
Index, and ABF IBI as the representative of Indonesia Bond Index. Mean-Variance
Optimization will be used as an asset allocation method, and will be compared to
the other methods such as Risk Parity, 60/40 Portfolio, and Equally Weighted to
find a better risk-adjusted return. The Sharpe ratio analysis is used to evaluate the
portfolio performance resulting from every method. The investment strategy will
be simulated to know which strategy will result the best total return in the end of
simulation period.
According to risk, return, and the Sharpe ratio, Bitcoin could perform better than
gold, LQ45, and ABF IBI. Furthermore, the Mean-Variance Optimization resulted
the highest Sharpe ratio compared to the other methods. The optimal weight from
the portfolio construction using Mean-Variance Optimization allocated 53% to
ABFI index, 40% to Bitcoin, and 7% to gold, which resulted 48.2% portfolio return,
40.44% portfolio risk, and 1077.8% Sharpe ratio. From the investment strategy
simulation, the quarterly rebalancing strategy was found to be the best strategy with
the total return 223.36%. |
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