Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251306 
Year of Publication: 
2021
Series/Report no.: 
Sveriges Riksbank Working Paper Series No. 408
Publisher: 
Sveriges Riksbank, Stockholm
Abstract: 
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.
Subjects: 
Cryptocurrency markets
Alternative investments
Fund management
Bootstrap methods
JEL: 
G12
G17
E44
C5
Document Type: 
Working Paper

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