Cryptocurrencies and the Sharpe Ratio of Traditional Investment Models

To gain a deeper understanding of the impact of cryptocurrencies on investment portfolios, Iconic Funds and Cryptology AG present a study investigating different portfolio structures, with particular focus on the following investment models:

  • a traditional stock/ bond portfolio (with weights of 50/50 and 80/20)
  • a balanced portfolio (stocks/ bonds/ real estate/ gold/ commodities)
  • an endowment model portfolio
  • a family office/ high net worth individual’s portfolio
  • and a pension fund portfolio.

The report conclusively shows that the addition of cryptocurrencies generally increased the Sharpe ratio of a given portfolio, considering that in all cases a continual increase in the Sharpe ratio was observed. In relative terms, the Sharpe ratio increased the most for all portfolios when moving from a 1% crypto allocation to a 3% crypto allocation. This evidences that a comparatively small holding of cryptocurrencies can significantly improve a portfolio’s performance.

The report is written by Robert Richter, a research fellow at Frankfurt School Blockchain Center. Research partners include Enigma Securities and BTC-Echo.

The full report can be downloaded here

About Iconic Funds GmbH:

Iconic Funds GmbH is the holding company of a series of subsidiaries that manage and issue crypto asset investment products. Collectively, Iconic Funds GmbH and its subsidiaries are branded as “Iconic Funds.” One such subsidiary, Iconic Funds BTC ETN GmbH, is the issuer of a physically backed Bitcoin ETP trading on the Regulated Market of the Frankfurt Stock Exchange (ISIN: DE000A3GK2N1; Ticker: XBTI). Iconic Holding is a portfolio company of FinLab AG (WKN 121806 / ISIN DE0001218063 / Ticker: A7A), leading German-VC group High-Tech Gründerfonds (“HTGF”), Cryptology Asset Group p.l.c. (ISIN: MT0001770107; Ticker: CAP, formerly 4UD), founded by Christian Angermayer and Mike Novogratz, and Titania Investment Group OÜ.

Investors need exposure to the growth of crypto assets but are uncomfortable with cryptographic technology and its perceived lack of regulation. Iconic Funds is the bridge to passive and actively managed exposure to crypto. Iconic Funds, via its subsidiaries, offers crypto asset ETP’s, diversified index funds and alpha-seeking strategies for investors in a familiar and regulated manner.

The prospectus for the physically backed Bitcoin ETP is available at https://funds.iconicholding.com/xbti-iconic-funds-physical-bitcoin-etp/.

About Cryptology Asset Group:

Cryptology Asset Group (ISIN: MT0001770107; Ticker: CAP:GR) is a leading European investment

company for crypto assets and blockchain-related business models. Founded by Christian Angermayer’s family office, Apeiron Investment Group, and cryptolegend Mike Novogratz, Cryptology is the largest publicly traded holding company for blockchain and crypto-based business models in Europe. Noteworthy portfolio companies include crypto-giant and EOSIO software publisher Block.one, leading HPC provider Northern Data, commission-free online neobroker nextmarkets, and crypto asset management group Iconic Holding.

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Iconic Holding

Iconic Holding

Crypto Asset Management. Bridging Capital and Crypto Markets https://iconicholding.com