On the Performance of Cryptocurrency Funds
Daniele Bianchi () and
CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague
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: G12 G17 E44 C58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:cer:papers:wp672
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