Deciphering digital assets exchange-traded funds: correlations, contradictions, and systematic influences

D. K. Malhotra ()
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D. K. Malhotra: Thomas Jefferson University

Journal of Asset Management, 2025, vol. 26, issue 6, No 1, 567-578

Abstract: Abstract This study compares the performance of exchange-traded funds focused on digital assets (DETFs) with that of US and global equities. It examines correlations, returns, and risk-adjusted performance across various market conditions. Our analysis reveals that DETFs closely track the Standard and Poor (S&P) Cryptocurrency Broad Digital Assets Index. Additionally, there is a notable positive correlation between average monthly returns of DETFs and both US and global stocks. While DETFs outperformed global equities in terms of risk-adjusted returns, they did not surpass US equities in this regard. The findings also indicate that the risk-adjusted returns of these ETFs are significantly influenced by the S&P Cryptocurrency Broad Digital Assets Index. During the COVID-19 lockdowns—a period marked by heightened uncertainty—DETFs outperformed US and global equities in both monthly returns and risk-adjusted returns.

Keywords: Digital assets; Cryptocurrencies; Exchange-traded funds; Risk-adjusted returns (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1057/s41260-025-00426-y

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