On the Performance of Cryptocurrency Funds

57 Pages Posted: 10 Apr 2020 Last revised: 22 Nov 2021

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: November 21, 2021

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 value of digital assets as investments. The main empirical results provide support to the idea that cryptocurrency funds generate significantly positive alphas compared to passive benchmarks or conventional risk factors. To understand whether the outperformance arises from the skills or luck of fund managers, 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

Bianchi, Daniele and Babiak, Mykola, On the Performance of Cryptocurrency Funds (November 21, 2021). 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 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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
686
Abstract Views
2,770
rank
48,796
PlumX Metrics