Performance measurement of crypto funds

Niclas Dombrowski, Wolfgang Drobetz and Paul P. Momtaz

Economics Letters, 2023, vol. 228, issue C

Abstract: Crypto funds (CFs) are a growing intermediary in cryptocurrency markets. We evaluate CF performance using metrics based on alphas, value at risk, lower partial moments, and maximum drawdown. The performance of actively managed CFs is heterogeneous: While the average fund in our sample does not outperform the overall cryptocurrency market, there seem to be some few funds with superior skills. Given the non-normal nature of fund returns, the choice of the performance measure affects the rank orders of funds. Compared to the Sharpe ratio, the most commonly applied metric in the asset management practice, performance measures based on alphas and maximum drawdown lead to diverging fund rankings. Depending on their ranking order of preferences, CF investors should consider a bundle of metrics for fund selection and performance measurement.

Keywords: Crypto funds; Active investment management; Performance measurement; Fund selection; Blockchain-based digital assets (search for similar items in EconPapers)
JEL-codes: G11 G12 G23 G24 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:228:y:2023:i:c:s016517652300143x

DOI: 10.1016/j.econlet.2023.111118

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