PT - JOURNAL ARTICLE AU - Jiasun Li AU - Guanxi Yi TI - Toward a Factor Structure in Crypto Asset Returns AID - 10.3905/jai.2019.21.4.056 DP - 2019 Mar 31 TA - The Journal of Alternative Investments PG - 56--66 VI - 21 IP - 4 4099 - https://pm-research.com/content/21/4/56.short 4100 - https://pm-research.com/content/21/4/56.full AB - A new market has emerged from active trading of major cryptocurrencies and the listing of many initial coin offering (ICO) tokens. The authors conduct an early investigation into potential factor structures in the expected returns of crypto assets. They find that crypto assets with large market capitalization, low volatility, and high past returns tend to outperform in the following month. These are suggestive evidences for an emerging factor structure, even though crypto asset returns are still largely dominated by idiosyncratic noise. Their findings could help investors make better decisions in the nascent crypto asset market.TOPICS: Currency, exchanges/markets/clearinghouses, quantitative methods