On the performance of cryptocurrency funds

Daniele Bianchi and Mykola Babiak

Journal of Banking & Finance, 2022, vol. 138, issue C

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 value of digital assets as investments. The main empirical results support the argument that cryptocurrency funds generate significantly positive alphas compared to passive benchmarks or conventional risk factors. To understand whether the fund managers have sufficient skills to more than cover their costs, we compare the actual fund alphas against the simulated values from a panel semi-parametric bootstrap approach. The analysis shows that the extreme outperformance is unlikely to be explained by the luck of fund managers. However, the significance of the alphas becomes statistically weaker after considering the cross-sectional correlation in fund returns.

Keywords: Cryptocurrency markets; Alternative investments; Fund management; Bootstrap methods (search for similar items in EconPapers)
JEL-codes: C58 E44 G12 G17 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Working Paper: On the Performance of Cryptocurrency Funds (2021)
Working Paper: On the Performance of Cryptocurrency Funds (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:138:y:2022:i:c:s037842662200067x

DOI: 10.1016/j.jbankfin.2022.106467

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