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<p>This paper explores the tail behavior of cryptocurrency momentum strategies and the profitability of volatility-managed momentum portfolios. Our main results derived from using a sample of large-cap cryptocurrencies and equal-weighted momentum portfolios indicate that cryptocurrency momentum is subject to severe crashes. Even a single cryptocurrency can cause insignificant momentum portfolio returns. In line with the literature on volatility-managing equity portfolios, our findings suggest that volatility management is a useful tool for mitigating cryptocurrency momentum crashes. Further corroborative evidence suggests that cryptocurrency momentum appears to be a phenomenon associated with large-cap cryptocurrencies.</p>

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Cryptocurrency momentum has (not) its moments

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2025年3月27日

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  • Klaus Grobys,
  • James W. Kolari,
  • Davide Sandretto,
  • Syed Jawad H. Shahzad,
  • Janne Äijö

摘要

This paper explores the tail behavior of cryptocurrency momentum strategies and the profitability of volatility-managed momentum portfolios. Our main results derived from using a sample of large-cap cryptocurrencies and equal-weighted momentum portfolios indicate that cryptocurrency momentum is subject to severe crashes. Even a single cryptocurrency can cause insignificant momentum portfolio returns. In line with the literature on volatility-managing equity portfolios, our findings suggest that volatility management is a useful tool for mitigating cryptocurrency momentum crashes. Further corroborative evidence suggests that cryptocurrency momentum appears to be a phenomenon associated with large-cap cryptocurrencies.