Day: July 24, 2021

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Robeco: 1% bitcoin in the portfolio

Bitcoin is volatile, but as digital gold does have a role to play, argues portfolio manager Jeroen Blokland of Robeco.


Robeco’s multi-asset team researched bitcoin’s investment value. The reason is obvious. “Bitcoin makes the news every day, not only because the currency is skyrocketing and is unprecedentedly volatile, but also because of the heated debate between supporters and opponents,” writes Jeroen Blokland in the publication Bitcoin as digital gold – a multi-asset. perspective. Koers cardano ADA is omhoog.



According to him, it is becoming increasingly clear what bitcoin actually is. “In recent months, a story has developed that bitcoin is becoming a store of value in the form of digital gold.” Blokland also points to the annual return that bitcoin has generated so far. Since July 2010, when the currency was first traded on the stock exchange, this has been no less than 254% per year. “Compare that to the 15% for the S&P 500, the asset class that performed best after that.”


Nice Sharpe ratio

The shadow side of bitcoin is its extreme volatility. The price bounces up and down. At 114%, that volatility is almost ten times higher than that for stocks and gold. Blokland. “Despite this, the Sharpe ratio is significantly higher than that of other asset classes.


Another advantage of bitcoin is that the correlation with other investment categories is virtually zero, which indicates extensive diversification benefits ”


According to Blokland, investors still have to consider a number of things. For example, the number of options for investing in bitcoin is still limited, but also growing at the same time. The number of investable bitcoin ETFs is on the rise, as is the futures market. Incidentally, not all ETFs invest in ‘physical’ bitcoins. Vechain prijs bekijken kan online.


In addition, there are the supervisory aspects. For example, the UCITS regulations prescribe how large a maximum position of a single commodity may be. Finally, there are concerns about bitcoin as a large energy consumer. Mining cryptocurrencies takes a lot of computing power, so energy. Bitcoin is also popular in the black money circuit. “Bitcoin’s energy consumption and its potential use in illegal practices are certainly factors to consider. However, these are incredibly difficult to assess and value. ”


Maximum portfolio position

But how much should bitcoin make up in a wallet, according to Blokland and his colleagues. What is still safe? For this, the so-called Smart mean variance optimization framework is included. That explains how bitcoin could fit into a well-diversified wallet. This involves looking at 36 different combinations of risk, return and correlation.


Blokland: “The results are unambiguous. For all 36 combinations, our smart model allocates a maximum of 2.5% to bitcoin. That is better than we expected. But based on our impact analysis, for example, that bitcoin is up to 15% of the total volatility. of the portfolio, along with the fact that bitcoin’s volatility is currently still well above its highest estimate of 60%, we believe capping bitcoin’s weight limit to 1% is warranted. ”