In this paper, considering the difference in the energy demand level, we utilize the daily pricing data from 10/01/2019 to 06/30/2023 to construct mimicking crypto portfolios with 12 clean cryptocurrencies to replace the dirty cryptocurrency, Bitcoin (BTC). With a monthly rebalancing strategy, the mimicking portfolio closely matches the exposures to the risk factors of the BTC but with fewer specific risks. Furthermore, relying on the bivariate dynamic conditional correlation (DCC-) GARCH model, we compare the hedging capability of BTC and the corresponding mimicking crypto portfolio against movements of returns of sustainable assets. The empirical results show that the mimicking crypto portfolio provides ESG investors with a cheaper hedge tool of higher hedge effectiveness compared to the BTC. Moreover, we find that the mimicking crypto portfolio can act as a strong safe haven for the S&P Global Clean Energy Index and S&P Latin America Emerging LargeMidCap ESG Index during periods of market stress. Therefore, the mimicking crypto portfolio is a more attractive option for ESG investors due to its superior hedging efficiency and the added environmental advantages.

中文翻译：

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在可持续投资中模仿加密货币投资组合


在本文中，考虑到能源需求水平的差异，我们利用 2019 年 1 月 10 日至 2023 年 6 月 30 日的每日定价数据，构建了 12 种清洁加密货币的模仿加密货币投资组合，以取代肮脏的加密货币比特币（BTC） 。通过每月重新平衡策略，模拟投资组合与 BTC 的风险因素敞口密切匹配，但特定风险较少。此外，依靠二元动态条件相关（DCC-）GARCH模型，我们比较了BTC和相应的模拟加密货币投资组合对可持续资产回报变动的对冲能力。实证结果表明，与BTC相比，模仿加密货币投资组合为ESG投资者提供了更便宜、对冲有效性更高的对冲工具。此外，我们发现，在市场压力期间，模仿加密货币投资组合可以充当标普全球清洁能源指数和标普拉丁美洲新兴大中型股 ESG 指数的强大避风港。因此，模仿加密货币投资组合因其卓越的对冲效率和额外的环境优势，对 ESG 投资者来说是更具吸引力的选择。