ABSTRACT
Bitcoin fluctuates based on sentiment and speculation. Its price has dropped by 50% from its highest in April 2021 to its lowest in July 2021. It then reached a new high in November 2021 and depreciated again by more than 50% in January 2022. The high fluctuation is one of the main reasons of its fairly low institutional investor participation. This study analyzed stock allocation in portfolio that mimics Bitcoin to provide an alternative investment with the same yield as Bitcoin and a lower risk. Previous studies have created mimicking portfolios for bonds, REIT, and foreign asset but there has not been one to study cryptocurrency mimicking portfolio, especially Bitcoin. The portfolios created in this study consists of 19 selected US stocks and 45 stocks from Indonesia LQ45. The weight optimization is achieved with Markowitz Theory. Mixed result was found in portfolio returns and lower standard deviation compared to Bitcoin.
