Home > Research > Publications & Outputs > On the performance of cryptocurrency funds

Electronic data

  • On the Performance of Cryptocurrency Funds

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 138, 2022 DOI: 10.1016/j.jbankfin.2022.106467

    Accepted author manuscript, 2.69 MB, PDF document

    Embargo ends: 18/10/23

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

Links

Text available via DOI:

View graph of relations

On the performance of cryptocurrency funds

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
Article number106467
<mark>Journal publication date</mark>31/05/2022
<mark>Journal</mark>Journal of Banking and Finance
Volume138
Number of pages23
Publication StatusPublished
Early online date18/03/22
<mark>Original language</mark>English

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 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.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 138, 2022 DOI: 10.1016/j.jbankfin.2022.106467