가상자산 포트폴리오의 투자 유효성에 관한 연구

This study verified the effectiveness of portfolio investment in crypto by using the methodologies of five asset allocation models. According to the results of this study, a crypto portfolio can be an effective investment strategy, but it can cause significant performance fluctuations depending on market conditions. In 2023 and 2021, the performance of the crypto portfolio under all asset allocation models surpassed that of the benchmark index. In particular, in 2021, the average monthly return was 87.9 to 129.3 times higher than the benchmark index. On the other hand, in 2022, the average monthly return of crypto portfolio was lower than that of the benchmark index under all asset allocation models. However, even in 2022, when there were macro issues, the sharpe ratio of the crypto portfolio exceeded the performance of the benchmark index under all asset allocation models. These results suggest that apart from the decline in portfolio returns caused by the bear market, the volatility of the portfolio did not show significant even though it was a downtrend. The results of this study will not only help market participants establish their crypto portfolio investment strategies, but also convey academic implications for various crypto asset allocation studies to be conducted later.