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<p>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&amp;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&amp;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.</p>

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Deciphering digital assets exchange-traded funds: correlations, contradictions, and systematic influences

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年9月12日

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  • D. K. Malhotra

摘要

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.