We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global
industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin
and industry portfolios & bond index, allowing an investment in Bitcoin to hedge the risk against
industry portfolios and bonds. The most effective hedge in a Bitcoin/industry (bond) portfolio is to
short Utilities sector. Results are robust to the use of US industry portfolios and a cryptocurrency
index instead of global industry portfolios and Bitcoin, respectively. Our results can help investors
make informed decisions with regard to risk management and portfolio analysis.