Working Paper Series,
Sveriges Riksbank (Central Bank of Sweden)

Abstract: We investigate the performance of funds that specialise in cryptocurrency markets and contribute to a grow ing 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.

Keywords: Cryptocurrency markets; Alternative investments; Fund management; Bootstrap methods

JEL-codes: C58; E44; G12; G17

Language: English

62 pages, November 1, 2021

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