An Investor's Guide to Crypto

【Author】 Harvey, Campbell R.; Zeid, Tarek Abou; Draaisma, Teun; Luk, Martin; Neville, Henry; Rzym, Andre; Van Hemert, Otto

【Source】JOURNAL OF PORTFOLIO MANAGEMENT

【影响因子】1.530

【Abstract】The authors provide practical insights for investors seeking exposure to the growing crypto-currency space. Today, crypto is much more than just bitcoin, which historically dominated the space but accounted for just a 31% share of total crypto trading volume in June 2022. The authors discuss a wide variety of tokens, highlighting both their functionality and their investment properties. The authors critically compare popular valuation methods, and they contrast buy-and-hold investing with more active styles. The authors only deem return data from 2017 representative, but the use of intraday data boosts statistical power. Underlying crypto performance has been notoriously volatile, but volatility-targeting methods are effective at controlling risk, and trend-following strategies have performed well. Crypto assets display a low correlation with traditional risky assets in normal times, but the correlation also rises in the left tail of these risky assets. Finally, the authors detail important custody and regulatory considerations for institutional investors.

【Keywords】

【发表时间】2022 NOV

【收录时间】2023-06-18

【文献类型】观点阐述

【主题类别】

区块链治理-市场治理-市场分析