数字加密货币市场在近十年经历了飞速发展。伴随着价格的暴涨暴跌和层出不穷的新型加密货币，大量投资者涌入市场，投机需求暴增。然而大多数投资者缺少对数字加密货币的市场风险和其对投资组合影响的基本认知。本文旨在分析数字加密货币的系统性风险，以及其对分散化资产组合风险和收益的影响。首先，本文简要介绍了数字加密货币的相关概念和技术原理。其次，本文聚焦于比特币和以太币两种最成熟的数字加密货币，选取2010至2019年的日美元价格数据，利用CAPM模型和Fama-French多因子模型分析了比特币和以太币对常见市场风险因子的风险暴露。最后，本文探究了不同时期内不同比例的比特币配置对分散化的传统金融资产投资组合风险和收益的影响。

    研究结果表明，以比特币和以太币为代表的数字加密货币历史价格表现与传统金融资产相比具有高收益、高波动和弱相关性的特征。比特币和以太币没有显著的系统性风险，其价格风险主要来自于数字加密货币市场本身。此外，比特币可以作为对冲市场风险的投资工具，一定比例的比特币配置在长期和短期均能够显著提高分散化投资组合的收益波动性水平。

    Cryptocurrency market has experienced rapid growth in the last decade. Investors are pouring into the market, however, most of them lack a basic understanding of the market risks of cryptocurrency. This paper examines the risk-return tradeoff of cryptocurrency from a traditional asset pricing perspective. Firstly, this paper briefly introduces the technical backgrounds of cryptocurrency and blockchain. Secondly, this paper examines the systematic risk in the price of two major cryptocurrencies, Bitcoin and Ethereum, using CAPM and Fama-French models, based on daily price data from 2010 to 2019. Lastly, this paper considers the impact that different allocations to Bitcoin would have had on a Traditional Portfolio in different periods.

    Our main conclusions are as follows: cryptocurrency’s historical performance has been characterized by three main attributes: high returns, high volatility, and low correlations with traditional assets. Bitcoin and Ethereum have little exposure to most common risk factors in the stock market. From this perspective, cryptocurrencies do not appear to carry much systematic risk, and so are reasonable candidates for inclusion in investors’ portfolios. Certain allocations of Bitcoin would have contributed positively to a diversified portfolio’s cumulative and risk-adjusted returns in both the short and long term.