University of Twente Student Theses


The investment struggle : is replacing gold with Bitcoin beneficial?

Post, A.R. (2022) The investment struggle : is replacing gold with Bitcoin beneficial?

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Abstract:Cryptocurrencies are a new way of portfolio diversification. Bitcoin in particular has drawn attention by being speculated to be the 21st century gold. In this paper, reasons against and in favour of investing in Bitcoin in comparison to gold are discussed. For three different investment regions, a long only portfolio and a shorting allowed portfolio are constructed that are optimized by Sharpe Ratio, three portfolios are constructed that are benchmarked against 13%, 15% and 17% expected returns and are optimized by Sharpe Ratio where shorting is not allowed, three of the same portfolios are constructed where shorting is allowed and one portfolio is constructed where all asset weights are equal. All of these portfolios contain a gold index. This gold is then replaced by Bitcoin and the portfolios are evaluated by Sharpe Ratio, Omega Ratio, Sortino Ratio, Drawdown and Calmar Ratio. Furthermore, the Sharpe Ratio and Sortino Ratio are tested on their statistical significance.
Item Type:Essay (Bachelor)
Faculty:BMS: Behavioural, Management and Social Sciences
Programme:International Business Administration BSc (50952)
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