Portfolio of ETH & BTC Analysis

Did some quick analysis and thought I'd share this with the community that if you are holding ETH and BTC it wouldn't hurt to come up with portfolio weighting to reduce volatility.

– Found prices and did a monthly return analysis to build a portfolio weighting model that included ETH and BTC only. This can obviously be expanded, but I at least wanted to share that if you want to reduce volatility at a portfolio level, one might consider using portfolio theory to do so. Using monthly returns, I came up with the following weights.

Analysis Start Date– 9/30/15

Periods in Months

Mean Return– ETH: 24.25% BTC 12.01%

Variance(Sample)– ETH 0.337 BTC 0.0591

St Dev(Sample)– ETH 0.580 BTC 0.243

nPeriods– 61

covariance– 0.062374488

correlation– 0.441917472

est. PORTFOLIO WEIGHTS– ETH 41.30% BTC 58.70%

Exp Return-Portfolio– 17.07%

Portfolio Variance– 0.000271

Portfolio Std Dev– 1.65%