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The Journal of Alternative Investments

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Investments in Cryptocurrencies: Handle with Care!

Tobias N. Glas
The Journal of Alternative Investments Summer 2019, 22 (1) 96-113; DOI: https://doi.org/10.3905/jai.2019.22.1.096
Tobias N. Glas
is a PhD candidate in the Department of Finance at the University of Bremen, in Bremen, Germany
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Abstract

Asset pricing models and investment styles have been researched intensively in equities, bonds, FX, and commodities. However, a new asset class has emerged since the end of 2008, namely, cryptocurrencies such as Bitcoin and Ethereum, among others. The author uses an extensive data set of over 1,500 cryptocurrencies and shows that almost none of the traditional investment styles such as momentum or defensive appear to be successful in this young asset class. Cryptocurrencies are also independent from the macroeconomic environment and cannot be explained by a standard asset pricing model. A cryptocurrency specific model yields clearly better results. In addition, the whole cryptocurrency space is dominated by only a few individual digital coins. Equally weighted mean monthly returns appear to be random with low or even no correlation with traditional asset classes such as US equities and global FX.

TOPICS: Real assets/alternative investments/private equity, performance measurement, portfolio management/multi-asset allocation

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The Journal of Alternative Investments: 22 (1)
The Journal of Alternative Investments
Vol. 22, Issue 1
Summer 2019
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Investments in Cryptocurrencies: Handle with Care!
Tobias N. Glas
The Journal of Alternative Investments Jun 2019, 22 (1) 96-113; DOI: 10.3905/jai.2019.22.1.096

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Investments in Cryptocurrencies: Handle with Care!
Tobias N. Glas
The Journal of Alternative Investments Jun 2019, 22 (1) 96-113; DOI: 10.3905/jai.2019.22.1.096
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  • Article
    • Abstract
    • RELATED LITERATURE
    • DATA
    • INVESTING IN CRYPTOCURRENCIES
    • ASSET PRICING IMPLICATIONS
    • MACROECONOMIC RISK EXPOSURES
    • INVESTMENT STYLE OUTCOMES
    • CRYPTOCURRENCY-SPECIFIC FACTORS
    • CONCLUSION
    • ACKNOWLEDGMENT
    • ENDNOTES
    • REFERENCES
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