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Yeah exactly. Although there are some pairs that have low and negative covariances. Check out this: https://blog.enigma.co/markowitz-portfolio-optimization-for

• arcaster 9y ago
  Awesome to see great stuff like this coming from the Enigma team! Founders are a great group of talented ppl!
• ecesena 9y ago
  Mmm... I'm not sure I'm reading this correctly, but it seems that these portfolios only win against BTC. So if you just invested in ETH, you'd have done much better. I guess what I'm saying is that you're not reducing risk by keeping the same expected return (well, unless you arbitrarily claim that all cryptocurrencies have the same expected return, for which there's no data evidence). You're just averaging your returns.