Bitcoin Mimicking Portfolio Steven Sentosa*, Zaafri Ananto Husodo
Faculty of Economics and Business, Universitas Indonesia
* steven.sentosa[at]ui.ac.id
Abstract
Bitcoin fluctuates based on sentiment and speculation. It price has dropped 50% since its highest point in April to its lowest point in July 2021, reaching a new high on November 2021 and depreciated again by more than 50% in January 2022. The high fluctuation is one of the main reason that institutional investor participation in this asset is fairly low. This study analyze stock allocation in portfolio that mimics Bitcoin to provide investors especially institutional investors another option in investing with the same yield as Bitcoin and lower risk. Previous studies successfully created a mimicking portfolio for bonds, REIT, foreign asset but there hasn^t been one to study cryptocurrency mimicking portfolio especially Bitcoin. Portfolios created in this study consists of 19 selected US stocks with the most correlation to Bitcoin and 45 stocks from Indonesia LQ45. Weight optimation is achieved with Markowitz Theory. We find mixed result in portfolio return, and lower standard deviation compared to Bitcoin during the observation period.
