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An Investor’s Guide to Crypto

Campbell R. Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym and Otto Van Hemert
The Journal of Portfolio Management November 2022, 49 (1) 146-171; DOI: https://doi.org/10.3905/jpm.2022.1.428
Campbell R. Harvey
is a professor of finance at Duke University in Durham, NC, and a research associate at the National Bureau of Economic Research in Cambridge, MA
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Tarek Abou Zeid
is a partner and client portfolio manager at Man AHL in London, UK
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Teun Draaisma
is a portfolio manager at Man GLG in London, UK
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Martin Luk
is a quantitative researcher at Man AHL in London, UK
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Henry Neville
is a portfolio manager at Man GLG in London, UK
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Andre Rzym
is a partner and the head of systematic opportunities at Man AHL in London, UK
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Otto Van Hemert
is the director of core strategies at Man AHL in London, UK
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Abstract

The authors provide practical insights for investors seeking exposure to the growing cryptocurrency space. Today, crypto is much more than just bitcoin, which historically dominated the space but accounted for just a 31% share of total crypto trading volume in June 2022. The authors discuss a wide variety of tokens, highlighting both their functionality and their investment properties. The authors critically compare popular valuation methods, and they contrast buy-and-hold investing with more active styles. The authors only deem return data from 2017 representative, but the use of intraday data boosts statistical power. Underlying crypto performance has been notoriously volatile, but volatility-targeting methods are effective at controlling risk, and trend-following strategies have performed well. Crypto assets display a low correlation with traditional risky assets in normal times, but the correlation also rises in the left tail of these risky assets. Finally, the authors detail important custody and regulatory considerations for institutional investors.

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The Journal of Portfolio Management: 49 (1)
The Journal of Portfolio Management
Vol. 49, Issue 1
November 2022
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An Investor’s Guide to Crypto
Campbell R. Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym, Otto Van Hemert
The Journal of Portfolio Management Oct 2022, 49 (1) 146-171; DOI: 10.3905/jpm.2022.1.428

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An Investor’s Guide to Crypto
Campbell R. Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym, Otto Van Hemert
The Journal of Portfolio Management Oct 2022, 49 (1) 146-171; DOI: 10.3905/jpm.2022.1.428
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  • Article
    • Abstract
    • THE INVESTIBLE UNIVERSE
    • THE CHALLENGES OF VALUING CRYPTOCURRENCIES
    • PERFORMANCE AND RISK OF CRYPTOCURRENCIES
    • THE ROLE OF CRYPTOCURRENCIES IN A BROADER PORTFOLIO
    • CONCLUSIONS
    • ACKNOWLEDGMENTS
    • APPENDIX A
    • APPENDIX B
    • APPENDIX C
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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