Arbeitspapier
On the performance of cryptocurrency funds
We investigate the performance of funds that specialise in cryptocurrency markets and contribute to a growing literature that aims to understand the value of digital assets as investments. The main empirical results support the idea that cryptocurrency funds generate significantly alphas compared to passive benchmarks or conventional risk factors. 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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Sveriges Riksbank Working Paper Series ; No. 408
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
Financial Markets and the Macroeconomy
- Subject
-
Cryptocurrency markets
Alternative investments
Fund management
Bootstrap methods
- Event
-
Geistige Schöpfung
- (who)
-
Bianchi, Daniele
Babiak, Mykola
- Event
-
Veröffentlichung
- (who)
-
Sveriges Riksbank
- (where)
-
Stockholm
- (when)
-
2021
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bianchi, Daniele
- Babiak, Mykola
- Sveriges Riksbank
Time of origin
- 2021
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