O uso das criptomoedas como forma de diversificação de ativos
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Tipo
TCC
Data de publicação
2022-12-08
Periódico
Citações (Scopus)
Autores
Franco Neto, Antonio Julio Junqueira
Pereira, João Vitor Oliveira
Santos, Vinicius Mendonça
Pereira, João Vitor Oliveira
Santos, Vinicius Mendonça
Orientador
Forte, Denis
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Resumo
O objetivo deste trabalho é composto pela análise da diversificação de carteira usando cripto ativos e tendo como benchmark índices como S&P 500 e IBOV. O estudo e sua metodologia consiste em coleta de dados sobre retornos e variações passadas e aplicação dos cálculos para determinar o Beta, Trenor, Sortino e Sharpe. O período analisado foi 1,3 e 5 anos com foco em obter uma análise mais aprofundada sobre o efeito do longo prazo dentre as criptomoedas. Foi estruturado uma carteira ideal, baseado na relação risco e retorno, com base nos princípios de Markowitz da fronteira eficiente, desta forma chegamos na carteira ideal baseada nesses indicadores que foi delimitada ao uso de no mínimo 4 ativos com o peso de até 25%, enquanto foi utilizado como base o histórico dos últimos 5 anos de 10 criptomoedas diferentes. Com a análise dos 3 índices, a carteira que mais se destacou em todos os critérios foi a Carteira 1, por ser a carteira de maior presença positiva entre as demais.
The objective of this work is composed of the analysis of portfolio diversification using crypto assets and benchmarking indices such as S&P 500 and IBOV. The study and its methodology consists of collecting data on returns and past variations and applying calculations to determine Beta, Trenor, Sortino and Sharpe. The period analyzed was 1, 3 and 5 years with a focus on obtaining a deeper analysis on the long-term effect among cryptocurrencies. An ideal portfolio was structured on the risk and return ratio, based on Markowitz's principles of the efficient frontier, in this way we discovered the ideal portfolio based on these indicators, which was limited to the use of at least 4 assets with a weight of up to 25%, while the history of the last 5 years of 10 different cryptocurrencies was used as a basis. With the analysis of the 3 indices, the portfolio that stood out the most in all criteria was Portfolio 1, as it is the portfolio with the greatest positive presence among the others.
The objective of this work is composed of the analysis of portfolio diversification using crypto assets and benchmarking indices such as S&P 500 and IBOV. The study and its methodology consists of collecting data on returns and past variations and applying calculations to determine Beta, Trenor, Sortino and Sharpe. The period analyzed was 1, 3 and 5 years with a focus on obtaining a deeper analysis on the long-term effect among cryptocurrencies. An ideal portfolio was structured on the risk and return ratio, based on Markowitz's principles of the efficient frontier, in this way we discovered the ideal portfolio based on these indicators, which was limited to the use of at least 4 assets with a weight of up to 25%, while the history of the last 5 years of 10 different cryptocurrencies was used as a basis. With the analysis of the 3 indices, the portfolio that stood out the most in all criteria was Portfolio 1, as it is the portfolio with the greatest positive presence among the others.
Descrição
Palavras-chave
criptomoeda , alocação de carteira , markowitz , teoria do portfólio , volatilidade , cryptocurrency , portfolio allocation , markowitz , portfolio theory , volatility