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
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Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - On the performance of cryptocurrency funds
AU - Bianchi, Daniele
AU - Babiak, Mykola
N1 - 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
PY - 2022/5/31
Y1 - 2022/5/31
N2 - 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.
AB - 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.
KW - Cryptocurrency markets
KW - Alternative investments
KW - Fund management
KW - Bootstrap methods
U2 - 10.1016/j.jbankfin.2022.106467
DO - 10.1016/j.jbankfin.2022.106467
M3 - Journal article
VL - 138
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
M1 - 106467
ER -