Performance measurement of crypto funds
研究了加密基金的绩效，发现主动管理基金表现参差不齐，平均未跑赢市场，但少数基金有超群能力；由于收益非正态，不同绩效指标（如夏普比率、阿尔法、最大回撤）会导致基金排名差异，投资者应综合使用多种指标。
Crypto funds (CFs) are a growing intermediary in cryptocurrency markets. We evaluate CF performance using metrics based on alphas, value at risk, lower partial moments, and maximum drawdown. The performance of actively managed CFs is heterogeneous: While the average fund in our sample does not outperform the overall cryptocurrency market, there seem to be some few funds with superior skills. Given the non-normal nature of fund returns, the choice of the performance measure affects the rank orders of funds. Compared to the Sharpe ratio, the most commonly applied metric in the asset management practice, performance measures based on alphas and maximum drawdown lead to diverging fund rankings. Depending on their ranking order of preferences, CF investors should consider a bundle of metrics for fund selection and performance measurement.