A análise do beta das criptomoedas como investimento

Abstract

The beta index measures the sensitivity of an asset to market variations. In this sense, it consists of a measure of risk, that is, the risk of that asset or portfolio in relation to the market in general. Thus, said index can help in the analysis to understand how much an asset or portfolio is exposed to market volatility. Thus, to protect against fluctuations in the market, investors see the beta index as the necessary importance for their choice of risk management. In view of this, this paper aims to analyze and understand the relationship between assets and market risk in this new investment modality, the cryptocurrencies. This study focused on the main cryptocurrencies in the market, with the aim of determining the relationship of the asset, its trend and how it is influenced by market risk. Thus, there is a need to elaborate an index for the cryptocurrency segment. For this, we opted for the market capitalization method, which consists of multiplying the number of assets in circulation by the current price of the asset. Understanding the asset's relationship with market risk becomes notoriously important for the investor. Thus, the main metrics to understand which would be the cryptocurrencies with the best efficiency in the risk and return factor will be presented. For this purpose, the CAPM, the Sharpe, Sortino and Treynor index were estimated, exposing the main risk and return characteristics. Finally, a deeper analysis was made that leads Bitcoin as one of the best risk and return results, investigating its trend and how it is influenced. Therefore, for Bitcoin to become a main class of assets that can be invested, there is a need to study such metrics to analyze its risk, involving both financial engineering and investment strategy.