On the Performance of Cryptocurrency Funds
49 Pages Posted: 10 Apr 2020 Last revised: 10 Feb 2022
Date Written: February 9, 2022
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.
Keywords: Cryptocurrency markets, Alternative investments, Fund management, Bootstrap methods.
JEL Classification: G12, G17, E44, C58
Suggested Citation: Suggested Citation