From the perspective of an investor into the alternative asset class of crypto-currencies, we document that returns of crypto-currencies are weakly correlated both in their cross-section as well as with established assets, and thus interesting investments for diversifying portfolios. An investment strategy based on the CRypto-currency IndeX (CRIX) bears lower risk than any single of the most liquid crypto-currencies. Furthermore, we show that crypto-currencies exhibit a size effect like stocks.
Pretty good paper on cryptocurrency investment factors and price drivers [link]. Note, though, that the researchers seem to have some sort of relationship with the CRIX.
Size effect = smaller coins tend to perform better.
I haven’t published much lately, and that’s unlikely to change. Not even sure if I’ll continue the newsletter. I find myself losing interest in writing about and analyzing the space during such a secular – and some may say overheated – bull market. What advice can I give you, other than “don’t sell” (unless it’s small amounts of profit taking) and “don’t daytrade to excess”?
The long-term prospects of cryptocurrencies, cryptoassets, and token economies are brighter than ever. $1T is squarely within sight.