On the Performance of Cryptocurrency Funds
58 Pages Posted: 10 Apr 2020
Date Written: October 26, 2020
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 panel bootstrap approach that samples jointly the cross sectional distribution of alphas and controls for the non-normality 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 the common variation in returns within a given strategy is taken into account.
Keywords: Cryptocurrency, Investments, Active Management, Alternative Investments, Bootstrap Methods, Bitcoin.
JEL Classification: G12, G17, E44, C58
Suggested Citation: Suggested Citation