%0 Journal Article %1 KAYA2021102422 %A Kaya, Orçun %A Mostowfi, Mehdi %D 2021 %J Finance Research Letters %K ba crypto_curr vol_timing volatility %P 102422 %R https://doi.org/10.1016/j.frl.2021.102422 %T Low-volatility strategies for highly liquid cryptocurrencies %U https://www.sciencedirect.com/science/article/pii/S1544612321004116 %X Managing extreme price fluctuations in cryptocurrency markets are of central importance for investors in this market segment. Using a sample of highly liquid cryptocurrencies from January 2017 to June 2021, this paper proposes a dynamic investment strategy that selects cryptocurrencies based on their historical volatility and is complemented by a simple stop-loss rule. Our results reveal that investing in highly concentrated low volatility cryptocurrency portfolios with six to twelve months volatility look-back and holding period generate statistically significant excess returns. By including a simple stop-loss rule, the downside risk of cryptocurrency portfolios is reduced markedly, and the Sharpe ratios are improved significantly.

@article{KAYA2021102422, abstract = {Managing extreme price fluctuations in cryptocurrency markets are of central importance for investors in this market segment. Using a sample of highly liquid cryptocurrencies from January 2017 to June 2021, this paper proposes a dynamic investment strategy that selects cryptocurrencies based on their historical volatility and is complemented by a simple stop-loss rule. Our results reveal that investing in highly concentrated low volatility cryptocurrency portfolios with six to twelve months volatility look-back and holding period generate statistically significant excess returns. By including a simple stop-loss rule, the downside risk of cryptocurrency portfolios is reduced markedly, and the Sharpe ratios are improved significantly.}, added-at = {2021-12-20T15:36:23.000+0100}, author = {Kaya, Orçun and Mostowfi, Mehdi}, biburl = {https://puma.ub.uni-stuttgart.de/bibtex/2a3cdfb906ce298cc2dd7e65d80965358/georglender}, description = {Low-volatility strategies for highly liquid cryptocurrencies - ScienceDirect}, doi = {https://doi.org/10.1016/j.frl.2021.102422}, interhash = {50e4b7a5331ae761d40242c248030b49}, intrahash = {a3cdfb906ce298cc2dd7e65d80965358}, issn = {1544-6123}, journal = {Finance Research Letters}, keywords = {ba crypto_curr vol_timing volatility}, pages = 102422, timestamp = {2021-12-20T14:36:23.000+0100}, title = {Low-volatility strategies for highly liquid cryptocurrencies}, url = {https://www.sciencedirect.com/science/article/pii/S1544612321004116}, year = 2021 }