On the performance of cryptocurrency funds

【Author】 Bianchi, Daniele; Babiak, Mykola

【Source】JOURNAL OF BANKING & FINANCE

【影响因子】3.539

【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. (c) 2022 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrency markets; Alternative investments; Fund management; Bootstrap methods; Cryptocurrency markets; Alternative investments; Fund management; Bootstrap methods

【发表时间】2022 MAY

【收录时间】2022-06-03

【文献类型】实证性文章

【主题类别】

区块链应用-虚拟经济-金融领域