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Crypto assets markets are important participants in today´s financial world. This market, leaded
by Bitcoin, reached a US$ 800 billion market cap in the beginning of 2018, followed by a crash
that reduced more than 80% of its value subsequently. The relevance of this new type of assets
exceeds the dimension of its quantitative size as expectations of further expansion, along with
the potential disruptive effects expected from the technology beneath it (blockchain), bring
great attention to this entrant into the financial ecosystem. Nevertheless, crypto assets are not
currently measured under the usual financial parameters applied to traditional investments
such as equities, or commodities among others. Neither, after an almost 10 years lifetime, its
significant universe composed by almost two thousand trading cryptocurrencies has a
consensual classifying and categorizing, nor there is a broadly accepted index to measure this
new market´s performance and evolution.
Financial studies on the subject are still not abundant if compared to the vast number of
research material on traditional financial assets. Crypto assets are relatively new and have
peculiar characteristics, standing in uncharted territory and crossing the boundaries of
technology fields.
For a better financial comprehension of crypto assets markets, this thesis will assess the
behavior of its components. The purpose of this thesis is to:
A. Analyze different types of crypto asset products from a financial perspective in order to
categorize and classify their main types, properties and differences;
B. Evaluate the compatibility between crypto assets and the structure of the main market
indexes in order to propose and test reliable and investable benchmark indices for the
crypto assets’ markets;
C. From the proposed benchmark results and constituents, evaluate their behavior and
performance on a conventional and risk adjusted basis; along with computing the
classical financial metrics for each of its components such as beta, correlation matrix
and serial correlation. “The one thing that’s missing, but that will soon be developed, it’s a reliable
e-cash. A method where buying on the Internet you can transfer funds from A
to B, without A knowing B or B knowing A.”
Milton Friedman, 1999.
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Palavras-chave
Financial behavior Crypto assets markets Cryptofinance environment