Higher co-moments and adjusted Sharpe ratios for cryptocurrencies

We report the results of regressing the Sharpe ratios of 72 cryptocurrencies on first, second and third co-moments of their returns. Our general aim is to examine the risk-return trade-off characteristics of cryptocurrencies. In other words, to determine whether the returns of cryptocurrencies justify their huge volatility especially with regard to the higher moment components of their systemic risk? We find that adjusted Sharpe ratios of the cryptocurrencies and traditional indexes do not differ significantly in this respect.

Automated summary

This study aimed to investigate the risk-return characteristics of cryptocurrencies, and found that the adjusted Sharpe ratios of cryptocurrencies and traditional indexes did not differ significantly in this respect.