Document Type

Article

Publication Date

11-26-2025

Comments

This article is the author’s final published version in Journal of Risk and Financial Management, Volume 18, Issue 12, 2025, Article number 673.

The published version is available at https://doi.org/10.3390/jrfm18120673. Copyright © 2025 by the author.

 

Abstract

This paper evaluates the performance and portfolio role of Artificial Intelligence (AI) and Blockchain exchange-traded funds (ETFs) based on monthly returns from 2010 to 2025. The findings show that both AI and Blockchain ETFs generate positive alpha and high standalone returns but also display considerable drawdown risk. Their weak correlations with each other and with broad indices highlight diversification benefits, particularly when combined with U.S. benchmarks. Portfolio optimization reveals that Global Minimum Variance (GMV) and Tangency portfolios ascribe lower weights to these ETFs, while Risk Parity portfolios have a more balanced exposure, helping to diversify risks. Efficient frontier analysis highlights that the inclusion of AI and Blockchain ETFs improves the attainable risk–return profiles, even if they are not a dominant allocation. The findings stress that AI and Blockchain ETFs are suitable as satellite holdings. When applied judiciously, they offer the potential to improve diversification and risk-adjusted performance; however, concentrated bets subject investors to undue downside risks. Positioning portfolios around broad-based indices and overlaying modest thematic tilts emerges as a prudent approach to capturing innovation-driven upsides without compromising long-term portfolio resilience.

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.

Language

English

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