Modern Portfolio Theory (MPT) prescribes how to maximise the return of an asset portfolio for a given level of risk. The optimal trade-off between return and variance defines the efficient frontier. Whether actual cryptoasset portfolios approximate this prescription and whether proximity to the frontier translates into realised performance remain difficult to test at large scale in traditional markets due to their opaque nature and the inaccessibility of data. As we show, public blockchains make these questions measurable: every token transfer is recorded, thus enabling complete portfolio reconstruction for every account at any point in time. We leverage this transparency to reconstruct cryptoasset portfolios for over 116M Ethereum accounts across the full chain history (2015-2025), measure their distance to the constrained efficient frontier, and quantify how deviations translate into realised performance. Here we show that market entry timing, not allocation choice, is the dominant predictor of realised cryptoasset returns. On-chain wealth is highly concentrated and portfolios are pervasively under-diversified, with single-asset holdings accounting for 83.35% of accounts. Two-asset portfolios sit closest to the efficient frontier defined by their held assets, a proximity that reflects the narrowness of their opportunity set rather than deliberate optimisation. Passive market-capitalisation weighting outperforms every MPT optimisation strategy in median realised return, and entry month alone explains 70-79% of the variance in returns, far exceeding the contribution of allocation choice. Mean-variance optimisation therefore appears neither descriptive of observed behaviour nor prescriptively useful in the cryptoasset domain, even if MPT retains its value as a normative benchmark.

翻译：现代投资组合理论（MPT）规定了如何在给定风险水平下最大化资产投资组合的收益。收益与方差之间的最优权衡定义了有效前沿。由于传统市场具有不透明性和数据不可及性，实际加密资产投资组合是否接近这一理论规范，以及接近前沿是否能转化为实际绩效，仍难以在大规模上进行检验。如我们所示，公共区块链使这些问题变得可衡量：每一笔代币转移都被记录，从而能够在任何时间点对每个账户进行完整的投资组合重建。我们利用这种透明度，针对超过1.16亿个以太坊账户，跨越完整的链上历史（2015-2025年）重建了加密资产投资组合，测量它们与约束有效前沿的距离，并量化偏差如何转化为实际绩效。在此我们表明，市场进入时机（而非资产配置选择）是实际加密资产收益的主要预测因子。链上财富高度集中，投资组合普遍缺乏多样化，单资产持有账户占比达83.35%。双资产投资组合距离其持有资产所定义的有效前沿最近，这种接近反映了其机会集的狭窄性，而非刻意优化。被动市值加权策略在中期实际收益中优于所有MPT优化策略，单独进入月份即可解释70-79%的收益方差，远超配置选择的贡献。因此，均值-方差优化在加密资产领域既不能描述观察到的行为，也不具有规范性的实用价值，尽管MPT作为规范性基准仍保留其意义。