Benchmark-Sensitive Cryptocurrency Diversification: Evidence from Thai REIT Portfolios

Abstract

Low correlation alone does not establish an implementable diversification benefit. This study tests whether Bitcoin and Ethereum improved a fixed, retrospectively selected sample of 13 Thai REITs—not a point-in-time investable universe—for a Thai baht-based investor, using dependence-aware bootstrap inference (Bonferroni, Benjamini–Hochberg, and Romano–Wolf correction) across 1562 matched daily observations (16 January 2020–30 June 2026); modelled costs cover quarterly top-level reallocations only, not daily REIT-basket weight maintenance. The most robust finding is a cost, not a benefit: daily 95% conditional value-at-risk deteriorates significantly and consistently across all three correction methods for five of eight crypto-inclusive portfolios. By contrast, the seemingly compelling point-estimate pattern—all eight portfolios show higher Sharpe ratios and smaller maximum drawdowns—does not survive the same scrutiny: none of the eight ΔSharpe improvements is significant under Bonferroni or Benjamini–Hochberg, only the rolling strategy (P9) is significant under Romano–Wolf, and all unadjusted evidence disappears under sample-window sensitivity checks. Annual inclusion margins were driven largely by cryptocurrency performance, while counterfactual re-centering descriptively illustrated declining ΔSharpe as benchmark strength increased; none of the underlying comparisons survived multiplicity adjustment. The findings illustrate how seemingly robust point-estimate gains can fail to survive multiplicity-corrected inference, while a downside-risk cost remains statistically significant across all three multiplicity procedures in the principal specification—a cautionary result for practitioners and future diversification studies alike.