Safe haven trading strategies

: gold versus Bitcoin

Abstract

This dissertation explores a comparative analysis of investment strategies, focusing on Gold and Bitcoin, within the present increase in the geopolitical risks and the economic uncertainty, this study aims to understand the role of these assets as a Safe haven in portfolio risk management and risk mitigation strategies. The research questions formulated include whether Gold outperforms Bitcoin as a safe-haven benchmark and whether Simple Moving Average on Gold and Bitcoin outperforms Buy-and-Hold benchmarks. The study also examines the performance of 3-Fama-French and 5-Fama-French factor models in comparison to the CAPM model for Gold and Bitcoin returns. Python programming language was used for data processing and to implement the analysis of the investment strategies. This study also incorporates technical indicators like Average True Range (ATR), Bollinger Bands, Momentum, and the Relative Strength Index (RSI) to provide insights about price trends, potential buying or selling opportunities, and market sentiment. The results of this study are intended to contribute to the existing literature on portfolio allocation decision making and investment styles with Gold and Bitcoin as hedges and safe haven assets.

Date of Award	24 Oct 2023
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Pedro Barroso (Supervisor)