Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space

Bitcoin is foremost amongst the emerging asset class knownas cryptoassets. Two noteworthy characteristics of the returns of non-stablecoin cryptoassets are their high volatility, which brings with it ahigh level of risk, and their high intraclass correlation, which limits thebenefits that can be had by diversifying across multiple cryptoassets. Yetcryptoassets exhibit no correlation with gold, a highly-liquid yet scarceasset which has proved to function as a safe haven during crises affectingtraditional financial systems. As exemplified by Shannon’s Demon, a lackof correlation between assets opens the door to principled risk controlthrough so-called volatility harvesting involving periodic rebalancing.In this paper we propose an index which combines a basket of five cryp-toassets with an investment in gold in a way that aims to improve therisk profile of the resulting portfolio while preserving its independencefrom mainstream financial asset classes such as stocks, bonds and fiatcurrencies. We generalise the theory of Equal Risk Contribution to allowfor weighting according to a desired level of contribution to volatility. Wefind a crypto–gold weighting based on Weighted Risk Contribution to behistorically more effective in terms of Sharpe Ratio than several alterna-tive asset allocation strategies including Shannon’s Demon. Within thecrypto-basket, whose constituents are selected and rebalanced monthly,we find an Equal Weighting scheme to be more effective in terms of thesame metric than a market capitalisation weighting

Cacao para la paz

Saber cómo funciona la cadena de valor de cacao en Colombia; Reconocer el rol del cacao en las economías rurales sostenibles; Conocer los puntos claves para mejorar la competitividad; Determinar las fortalezas del sector agrícola de Colombia; Identificar los limitantes para el acceso y sostenibilidad en mercados de alto valor; Orientar futuras inversiones de la cooperación internacional en cacao

Cacao para la Paz: Un Análisis de la Cadena Productiva de Cacao en Colombia

U.S. Agency for International Developmen

An analysis of the supply chain of cacao in Colombia

Mayor información: Tamara J Benjamin (Universidad PURDUE), [email protected] ; Mark Lundy (CIAT), [email protected] informe comienza con una presentación general del cacao en Colombia y la región, seguida por una explicación a fondo de nuestra metodología. Las secciones siguientes abarcan temas específicos sobre la manera en que funcionan los mercados de cacao, información sobre prácticas poscosecha y precios, así como un desglose minucioso de la cadena productiva en Colombia, incluidos los actores principales en el país. La sección de recomendaciones se encuentra dividida por temas y se basa en la evidencia presentada dentro del informe, en tanto las conclusiones exponen algunos de nuestros hallazgos más importantes