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On the nature and financial performance of bitcoin

Elise Alfieri (CERAG, Universite Grenoble Alpes, Grenoble, France)
Radu Burlacu (CERAG, Universite Grenoble Alpes, Grenoble, France)
Geoffroy Enjolras (CERAG, Universite Grenoble Alpes, Grenoble, France)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 6 March 2019

Issue publication date: 8 July 2019




The purpose of this article is to provide some insights on the true nature of bitcoin and to study empirically its performance by using robust models, widely used in the academic literature. Previous studies assess performance with simple measures such as the Sharpe ratio. Such measures are insufficient because they do not take into account the bitcoin’s specificities, such as the possibilities to diversify risk.


The authors use quantitative methodologies to assess the performance of financial assets. Performance is defined as a risk-adjusted return. The authors use regression analysis and measure bitcoin’s performance as the constant term (α) of the projection of its returns on the returns of relevant factors of risk.


Bitcoin has low correlation with the market index and with factor-mimicking portfolios, which indicates opportunities to diversify risk. The performance of bitcoin (α) is positive and significant; this result is robust across period and world region specifications.

Research limitations/implications

The true nature of bitcoin is subject of debate and needs further research. Furthermore, other factors should be considered in analysing the bitcoin’s performance, such as those related to investors’ behaviour or political risk.

Practical implications

The empirical results obtained in this paper may be used by professional portfolio managers to diversify risk and to enhance their portfolio’s performance.


This paper adds to the literature by arguing that bitcoin has the nature of common stock, and therefore, its performance has to be assessed with models that are relevant for this type of securities. This paper is the first using performance models that adjust returns for relevant sources of risk.



Alfieri, E., Burlacu, R. and Enjolras, G. (2019), "On the nature and financial performance of bitcoin", Journal of Risk Finance, Vol. 20 No. 2, pp. 114-137.



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Copyright © 2019, Emerald Publishing Limited

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