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External Research – Crypto

On this page, we present various interesting research articles with a focus on Crypto Strategies. Given the focus of the site, most of these will have some bearing on how to evaluate Crypto Hedge Fund strategies.


Misperception of Bitcoin Volatility

Mieszko Mazur:

Bitcoin market capitalization has recently surpassed $1 trillion. According to the popular belief one of the key characteristics of bitcoin is its excessive volatility. This paper provides evidence that high volatility of bitcoin is largely a misperception. We show that bitcoin return uctuations are lower than those of roughly 900 different stocks in the S&P1500 and 190 stocks in the S&P500. Moreover, we nd that bitcoin is less volatile than commodities such as oil and silver, US Treasuries, AAA-rated corporate bonds, EU carbon credits, and some of the most popular technology and media stocks: Apple, Twitter, and Net
ix. Equally important, we nd that during the March 2020 stock market crash triggered by COVID-19, bitcoin volatility was lower than most of the above-mentioned asset classes. Significant decline in bitcoin volatility over the last decade renders it more “investible” by conservative investors.

Operational Due Diligence

Operational Due Diligence on Cryptocurrency and Digital Asset Funds

Jason Scharfman:

This article analyzes three key trends that have emerged among institutional investors performing operational due diligence (ODD) on cryptocurrency and digital asset funds. The first trend is enhanced crypto-specific ODD specialization as compared to other alternative asset classes. The second trend is an institutional focus on crypto custody arrangements. The third trend is a rapid movement toward integrating ODD and investigative due diligence
processes in the crypto space.

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