2025/03/02 by Thomas Conlon, Diego Víctor De Mingo‐López, Diego Víctor de Mingo‐López +1
Computer Science · Economics, Econometrics and Finance · #Blockchain Technology Applications and Security #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies
paper · pdf · doi:10.1111/fima.12498
crossref issued 2025/03/02 · crossref published 2025/03/02 · crossref published-online 2025/03/02 · openalex publication_date 2025/03/02 · crossref created 2025/03/12 · openalex created_date 2025/10/10 · crossref deposited 2025/11/15 · crossref published-print 2025/12/01 · crossref indexed 2026/07/27 · openalex updated_date 2026/07/27
ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns. Moreover, sorting by previous alpha provides compelling evidence of persistence in abnormal returns. Funds with previous excess abnormal returns have high ex post abnormal returns, while cryptocurrency factors explain only a small proportion of the variation in these returns. An ex post outperformance among funds displaying ex ante market timing skills is found, while these ex post abnormal returns can, in turn, be attributed to managerial timing abilities.