We dive back into Modern Portfolio Theory (MPT) and discuss portfolio weighting of Bitcoin, Ethereum, Litecoin, Monero, Dash, and Litecoin. We have to mainly pick older coins to get worthwhile results. Some of the newer coins we follow like Cardano, Chainklink, and Polkadot simply do not have enough data to make the exercise worthwhile, as none of them have lived through the entirety of a market cycle. Given historical returns and historical volatility, we can identify the portfolio which maximizes the Sharpe Ratio (risk-adjusted returns). We also investigate various volatility levels to determine which portfolio weighting maximizes your risk-adjusted returns, which exists on the efficient frontier. TA Video by Benjamin Cowen.
