Analisis Perbandingan Strategi Investasi Dollar-Cost Averaging dan Lump Sum pada Portofolio Cryptocurrency

Syandana, Alfito Naufal (2026) Analisis Perbandingan Strategi Investasi Dollar-Cost Averaging dan Lump Sum pada Portofolio Cryptocurrency. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Cryptocurrency merupakan kelas aset digital dengan karakteristik volatilitas tinggi sehingga pemilihan strategi investasi menjadi aspek penting dalam pengambilan keputusan investasi. Penelitian ini bertujuan untuk menganalisis perbedaan kinerja strategi investasi Dollar-Cost Averaging (DCA) dan Lump Sum (LS) pada cryptocurrency individual dan portofolio cryptocurrency periode 2021–2025 berdasarkan risk-adjusted return. Sampel penelitian terdiri atas lima cryptocurrency non-stablecoin dengan kapitalisasi pasar terbesar, yaitu Bitcoin, Ethereum, BNB, XRP, dan Solana. Penelitian ini menggunakan pendekatan kuantitatif komparatif dengan data sekunder berupa harga penutupan harian cryptocurrency, kurs USD/IDR, dan BI-Rate. Kinerja strategi investasi diukur menggunakan Rasio Sharpe dari perspektif investor berbasis IDR. Simulasi dilakukan menggunakan desain rolling window pada horizon investasi 12 bulan, 24 bulan, dan 36 bulan. Pada level portofolio, alokasi aset dibentuk menggunakan metode equal-weight. Pengujian hipotesis dilakukan menggunakan Wilcoxon Signed-Rank Test untuk cryptocurrency individual dan Paired Samples T-Test untuk portofolio cryptocurrency sesuai hasil uji normalitas selisih Rasio Sharpe. Hasil penelitian menunjukkan bahwa pada level cryptocurrency individual, tidak terdapat perbedaan kinerja risk-adjusted return yang signifikan antara strategi investasi DCA dan LS pada seluruh horizon investasi meskipun strategi investasi LS menunjukkan rata-rata Rasio Sharpe yang sedikit lebih tinggi secara deskriptif. Sebaliknya, pada level portofolio cryptocurrency strategi investasi DCA menunjukkan kinerja risk-adjusted return yang lebih unggul secara deskriptif pada seluruh horizon investasi dan berbeda signifikan pada horizon 24 bulan dan 36 bulan. Temuan ini menunjukkan bahwa manfaat DCA menjadi lebih relevan ketika diterapkan pada portofolio cryptocurrency dengan horizon investasi yang lebih panjang. Dengan demikian, hasil penelitian ini menegaskan bahwa evaluasi strategi investasi cryptocurrency perlu mempertimbangkan level analisis, horizon investasi, dan ukuran risk-adjusted return.
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Cryptocurrency is a digital asset class characterized by high volatility, making investment strategy selection an important aspect of investment decision-making. This study aims to analyze the differences in the performance of the Dollar-Cost Averaging (DCA) and Lump Sum (LS) investment strategies for individual cryptocurrencies and a cryptocurrency portfolio during the 2021–2025 period based on risk-adjusted return. The research sample consists of the five largest non-stablecoin cryptocurrencies by market capitalization: Bitcoin, Ethereum, BNB, XRP, and Solana. This study employs a comparative quantitative approach using secondary data, including daily cryptocurrency closing prices, the USD/IDR exchange rate, and the BI-Rate. Investment performance is evaluated using the Sharpe Ratio from the perspective of an IDR-based investor. Simulations are conducted using a rolling window design with investment horizons of 12, 24, and 36 months. At the portfolio level, asset allocation is constructed using the equal-weight method. Hypothesis testing is performed using the Wilcoxon Signed-Rank Test for individual cryptocurrencies and the Paired Samples T-Test for the cryptocurrency portfolio based on the normality test results of the Sharpe Ratio differences. The results indicate that at the individual cryptocurrency level, there is no significant difference in risk-adjusted return performance between the DCA and LS investment strategies across all investment horizons eventhough the LS strategy exhibits a slightly higher average Sharpe Ratio descriptively. In contrast, at the cryptocurrency portfolio level the DCA strategy demonstrates descriptively superior risk-adjusted return performance across all investment horizons and significantly outperforms the LS strategy over the 24-month and 36-month investment horizons. These findings suggest that the advantages of DCA become more relevant when applied to a diversified cryptocurrency portfolio over longer investment horizons. Therefore, this study highlights that the evaluation of cryptocurrency investment strategies should consider the level of analysis, investment horizon, and risk-adjusted return measures.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Dollar-Cost Averaging, Lump Sum, Cryptocurrency, Rasio Sharpe, Portofolio Equal-Weight, Dollar-Cost Averaging, Lump Sum, Cryptocurrency, Sharpe Ratio, Equal-Weight Portfolio
Subjects:	H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments
Divisions:	Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis
Depositing User:	Alfito Naufal Syandana
Date Deposited:	21 Jul 2026 02:08
Last Modified:	21 Jul 2026 02:08
URI:	http://repository.its.ac.id/id/eprint/135977

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