Performance measurement of crypto funds

【Author】 Dombrowski, Niclas; Drobetz, Wolfgang; Momtaz, Paul P.

【Source】ECONOMICS LETTERS

【影响因子】1.469

【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.(c) 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).

【Keywords】Crypto funds; Active investment management; Performance measurement; Fund selection; Blockchain-based digital assets

【发表时间】2023 JUL

【收录时间】2023-07-07

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