On the Performance of Cryptocurrency Funds

Daniele Bianchi and Mykola Babiak

CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague

Abstract: We investigate the performance of funds that specialise in cryptocurrency markets. In doing so, we contribute to a growing literature that aims to understand the role of digital assets as an investment. Methodologically, we implement a novel bootstrap approach that samples jointly the cross-sectional distribution of alphas and controls for the nonnormality of fund returns and their within-strategy correlations. Empirically, we find that a sizable minority of managers are able to cover their costs and generate large alphas. However, there is weak statistical evidence of managers’ skills once withinstrategy common variation in returns is taken into account.

Keywords: cryptocurrency; investments; active management; alternative investments; boot-strap methods; bitcoin (search for similar items in EconPapers)
JEL-codes: C58 E44 G12 G17 (search for similar items in EconPapers)
Date: 2020-09
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: On the performance of cryptocurrency funds (2022)
Working Paper: On the Performance of Cryptocurrency Funds (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:cer:papers:wp672

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