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Authors
Abstract(s)
Este estudo analisa o desempenho das dez criptomoedas com maior capitalização até
ao final de 2022 e compara-as com estratégias de investimento alternativas, no período de 1
de janeiro de 2016 a 31 de dezembro de 2022. Os resultados mostram que as criptomoedas
têm características únicas em termos de rendibilidade e de risco, oferecendo níveis de
rendibilidade sem precedentes, mas também níveis de risco elevados em comparação com
os ativos tradicionais. O MATIC, o BNB e o BTC apresentam um desempenho superior ao
de outras classes de ativos financeiros em termos de rácios ajustados ao risco, enquanto o
ADA e o LTC são as criptomoedas com pior desempenho.
O estudo conclui também que as criptomoedas geram consistentemente
rendibilidades anormais, com coeficientes alfa positivos e significativos em diferentes
modelos de regressão. Os resultados também indicam que este desempenho superior
depende do contexto, uma vez que os alfas estimados perdem a sua significância estatística
em condições de mercado em baixa.
O estudo sugere que os investidores devem estar consientes dos riscos associados às
criptomoedas e utilizar modelos de desempenho que ajustem a rendibilidade às fontes de
risco relevantes.
This study examines the performance of ten cryptocurrencies with the highest capitalisation by the end of 2022 and compares them with alternative investment strategies, over the period January 1, 2016, to December 31, 2022. The results show that cryptocurrencies have unique characteristics in terms of returns and risks, offering unprecedented levels of returns but also elevated levels of risk compared to traditional assets. MATIC, BNB, and BTC outperform other financial asset classes in risk-adjusted ratios, while ADA and LTC are the worst performing cryptocurrencies. The study also finds that cryptocurrencies consistently generate abnormal returns, with positive and significant alpha coefficients across different regression models. The results also suggest that this outperformance is state-dependent, as the estimated alphas lose their statistical significance under bear market states. The study suggests that investors should be aware of the risks associated with cryptocurrencies and use performance models that adjust return for relevant sources of risk.
This study examines the performance of ten cryptocurrencies with the highest capitalisation by the end of 2022 and compares them with alternative investment strategies, over the period January 1, 2016, to December 31, 2022. The results show that cryptocurrencies have unique characteristics in terms of returns and risks, offering unprecedented levels of returns but also elevated levels of risk compared to traditional assets. MATIC, BNB, and BTC outperform other financial asset classes in risk-adjusted ratios, while ADA and LTC are the worst performing cryptocurrencies. The study also finds that cryptocurrencies consistently generate abnormal returns, with positive and significant alpha coefficients across different regression models. The results also suggest that this outperformance is state-dependent, as the estimated alphas lose their statistical significance under bear market states. The study suggests that investors should be aware of the risks associated with cryptocurrencies and use performance models that adjust return for relevant sources of risk.
Description
Keywords
Cryptocurrency Risk-adjusted Performance Decentralised Criptomoeda Desempenho Ajustado ao risco Descentralisado