ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach

Abstract

This study aims to compose a portfolio consisting crypto hedge fund and ASEAN-5 stock market and to examine the hedging effect of crypto hedge fund against those stock markets. This study employs dynamic portfolio approach using data from the period of July 2013 to August 2021. This analysis finds that crypto hedge fund can provide hedging effect against ASEAN-5 stock portfolio resulting in hedging effectiveness with positive value. Crypto hedge fund is also proven to be able to increase the risk adjusted performance of all ASEAN-5 portfolio observed under this study, shown by an increase in Sharpe ratio and Sortino ratio.