Vpeljava kriptovalut pri taktičnem dodeljevanju premoženja robotskega finančnega svetovalca

Povše, Andraž (author), Lavbič, Dejan (mentor)

Področje robotskih finančnih svetovalcev se je začelo razvijati pred približno desetimi leti, z nedavnimi novostmi na področju finančne tehnologije pa so se razširili tudi na širšo populacijo. Delujejo tako, da na podlagi profila tveganja uporabnika izdelajo optimalni portfelj. Takšen portfelj bo ustrezal uporabniku glede njegovih željenih letnih donosov in nagnjenosti k tveganjem. V približno enakem časovnem obdobju kot robotski finančni svetovalci se je pojavila tudi prva kriptovaluta -- Bitcoin. Ker sta trg kriptovalut in preostali trg finančnih instrumentov med seboj nekorelirana, smo v košarico možnih finančnih instrumentov za izdelavo portfelja dodali še kriptovalute. Na ta način smo v portfelj vpeljali nekoreliran finančni instrument, ki nam pomaga ustvariti bolj stabilen portfelj oziroma povečati pričakovane donose. Izdelane portfelje smo primerjali z indeksom S&P 500, enakovrednimi utežmi in portfeljema All Weather ter Golden Butterfly. Z uporabo kriptovalut v izdelanem portfelju smo uspeli v obdobju COVID-19 izboljšati povprečni letni donos za 116,3 % in obenem znižati maksimalni padec vrednosti naložbe za 5,7 %. Z uporabo taktičnega dodeljevanja na podlagi drseče sredine pa smo uspeli povišati skupni donos v razponu šestih let za 75,2 %.

• Language: Slovenian
• Keywords: robotski finančni svetovalec, optimizacija portfelja, strateška dodelitev premoženja, taktična dodelitev premoženja, kriptovalute
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FRI - Faculty of Computer and Information Science
• Year: 2021
• PID: 20.500.12556/RUL-131545
• COBISS.SI-ID: 79721219
• Publication date in RUL: 29.09.2021

Secondary language

• Language: English
• Title: Introducing the use of cryptocurrencies in robo advisor tactical asset allocation

Abstract

The field of robo advisors has its roots around the year 2010, right after the housing market crisis. With the recent advances in the fintech industry, they are becoming mainstream. They work by creating an optimal portfolio for the user based on his risk profile. Such portfolio will provide expected annual growth and lay within the risk tolerance of the user. Around the same time as robo advisors, Bitcoin cryptocurrency arose. Because the cryptocurrency market is uncorrelated from other financial markets, we added them as a possible allocation within our optimal portfolio. Using them, we introduced an uncorrelated asset, which results in a more stable portfolio or an increase in annual growth. We compared generated portfolios with S&P 500 index, equal weights, All Weather and Golden Butterfly portfolios. By using cryptocurrencies in our portfolios during the COVID-19 timespan, we managed to increase the annual return by 116.3 %. Furthermore, we also managed to reduce the maximum drawdown by 5.7 %. With the use of the moving average method within our tactical allocation phase, we increased total return within a period of 6 years by 75.2 %.

• Keywords: robo advisor, portfolio optimization, strategic asset allocation, tactical asset allocation, cryptocurrencies