Together with Sinan Krückeberg, my Ph.D. student, we have worked on a paper on cryptocurrencies and have analyzed if they form an asset class on their own. You find our interesting results in our working paper.
Cryptocurrencies show characteristics of a distinct asset class based on strong internal correlation, an absence of correlation with any traditional asset class as well as strong market liquidity, while market stability has room for improvement. We find that for investment purposes cryptocurrencies can be distinguished into cryptographic coins and tokens. Adding a 1% allocation of cryptocurrencies to traditional portfolio structures leads to significant and persistent risk weighted outperformance. These results support the careful introduction of cryptocurrencies into the asset management mainstream.
Sinan Krückeberg & Peter Scholz (2018): Cryptocurrencies as an Asset Class? SSRN Working Paper.