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Cryptocurrency momentum has (not) its moments

Klaus Grobys et al.

Financial Markets and Portfolio Management2025https://doi.org/10.1007/s11408-025-00474-9article
AJG 2ABDC B
Weight
0.37

What the paper says

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.

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https://doi.org/https://doi.org/10.1007/s11408-025-00474-9

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@article{klaus2025,
  title        = {{Cryptocurrency momentum has (not) its moments}},
  author       = {Klaus Grobys et al.},
  journal      = {Financial Markets and Portfolio Management},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s11408-025-00474-9},
}

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Cryptocurrency momentum has (not) its moments

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.