Deciphering digital assets exchange-traded funds: correlations, contradictions, and systematic influences
Year: 2025
Type: article
Abstract: This study compares the performance of exchange-traded funds focused on digital assets (DETFs) with that of US and global equities. It examines correlations, returns, and risk-adjusted performance across various market conditions. Our analysis reveals that DETFs closely track the Standard and Poor (S&P) Cryptocurrency Broad Digital Assets Index. Additionally, there is a notable positive correlation between average monthly returns of DETFs and both US and global stocks. While DETFs outperformed global equities in terms of risk-adjusted returns, they did not surpass US equities in this regard. The findings also indicate that the risk-adjusted returns of these ETFs are significantly influenced by the S&P Cryptocurrency Broad Digital Assets Index. During the COVID-19 lockdowns—a period marked by heightened uncertainty—DETFs outperformed US and global equities in both monthly returns and risk-adjusted returns.
Source: Journal of Asset Management
Author: D. K. Malhotra
Institution: Thomas Jefferson University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,190
OpenAlex ID: W4414596126