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Does Bitcoin add value to global industry portfolios?

Damianov, Damian S.; Elsayed, Ahmed H.

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Bitcoin has been increasingly viewed as a new form of investment, yet its role as an asset in a diversified industry portfolio is not well understood. In this paper, we explore the dynamic interdependence between Bitcoin and the ten global industry sectors classified by the Global Industry Classification Standard. We find, in accordance with previous literature, that Bitcoin is relatively isolated from traditional industries. While the near-zero correlation with traditional financial assets offers some diversification benefits to investors, these benefits are counterbalanced by the volatility of the asset. Bitcoin’s optimal presence in a minimum variance portfolio is only about 1 percent – a weight that is robust to various methods for estimating the return covariance matrix. Bitcoin’s optimal weight in portfolios maximizing Sharpe and Sortino ratios are on the magnitude of 10 to 20 percent. Hence, the value of Bitcoin as an asset in a diversified portfolio critically depends on investors’ views about the future of Blockchain technology.


Damianov, D. S., & Elsayed, A. H. (2020). Does Bitcoin add value to global industry portfolios?. Economics Letters, 191, Article 108935.

Journal Article Type Article
Acceptance Date Dec 30, 2019
Online Publication Date Jan 3, 2020
Publication Date Jun 30, 2020
Deposit Date Jan 8, 2020
Publicly Available Date Jul 3, 2021
Journal Economics Letters
Print ISSN 0165-1765
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 191
Article Number 108935
Public URL


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