Evaluasi Kinerja Cryptocurrency Hedge Fund Sebelum dan Selama Masa Covid-19

Abstract

Cryptocurrency has become a new investment tool that has attracted the attention of several people in the economic sector, including researchers. This study aims to evaluate the performance of cryptocurrency hedge funds before and during the pandemic. The data in this study uses secondary data in the form of monthly data on cryptocurrencies with the largest capitalization values ​​and cryptocurrency hedge funds during the period January 2013 to September 2021. The data was analyzed by using portfolio measurement methods such as Sharpe Ratio, Treynor Ratio, Jensen Alpha, Adjusted Jensen Index, Adjusted Sharpe Index, Sortino Ratio, Information Ratio, and Omega Ratio. The results show that the performance of cryptocurrencies and cryptocurrency hedge funds is better during the time during COVID-19 than in the period before COVID-19. The results of this study will provide a reference for investors and traders regarding their investment decisions in cryptocurrencies and cryptocurrency hedge funds.