On the Performance of Cryptocurrency Funds

58 Pages Posted: 10 Apr 2020

See all articles by Daniele Bianchi

Daniele Bianchi

School of Economics and Finance, Queen Mary University of London

Mykola Babiak

Lancaster University Management School

Date Written: October 26, 2020

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 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

Bianchi, Daniele and Babiak, Mykola, On the Performance of Cryptocurrency Funds (October 26, 2020). Available at SSRN: https://ssrn.com/abstract=3559092 or http://dx.doi.org/10.2139/ssrn.3559092

Daniele Bianchi (Contact Author)

School of Economics and Finance, Queen Mary University of London ( email )

Mile End Rd
Mile End Road
London, London E1 4NS
United Kingdom

HOME PAGE: http://whitesphd.com

Mykola Babiak

Lancaster University Management School ( email )

Department of Accounting and Finance
Lancaster University Management School
Lancaster, LA1 4YX
United Kingdom
+44 (0) 7512 209090 (Phone)

HOME PAGE: http://sites.google.com/site/mykolababiak/home

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