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On the Performance of Cryptocurrency Funds

Daniele Bianchi and Mykola Babiak ()
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Mykola Babiak: Lancaster University Management School

No 408, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: We investigate the performance of funds that specialise in cryptocurrency markets and contribute to a grow ing literature that aims to understand the value of digital assets as investments. The main empirical results support the idea that cryptocurrency funds generate significantly alphas compared to passive benchmarks or conventional risk factors. 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)
Pages: 62 pages
Date: 2021-11-01
New Economics Papers: this item is included in nep-mac, nep-ore and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://www.riksbank.se/globalassets/media/rapport ... tocurrency-funds.pdf Full text (application/pdf)

Related works:
Journal Article: On the performance of cryptocurrency funds (2022) Downloads
Working Paper: On the Performance of Cryptocurrency Funds (2020) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0408

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