Currency Trading

Should investors who believe that the U.S. dollar (USD) is doomed by deficits/debt consider a momentum strategy holding the USD hedge that most recently performed best? To investigate, we test a simple momentum strategy (Winner) that each month holds the one of the following three assets with the highest prior-month return:

• Vanguard Short-Term Inflation-Protected Securities Index Fund ETF Shares (VTIP) – the safest debasement hedge.
• SPDR Gold Shares (GLD) – a conventional debasement hedge.
• Bitcoin USD Price (BTC-USD) – an innovative debasement hedge.

We focus on compound annual growth rate (CAGR) and maximum drawdown (MaxDD) for performance comparison. We use a equal-weighted, monthly rebalanced (EW) portfolio of the three assets as a benchmark. We commence testing in September 2015 to allow momentum measurement (lookback) interval sensitivity analysis. Using monthly total returns for the above three assets during September 2014 (limited by BTC-USD) through December 2025, we find that: Keep Reading

Is Bitcoin a scarce, valuable asset or a Ponzi scheme? In his December 2025 paper entitled “The Great Bitcoin Debate: Saylor’s Maximalism Versus Schiff’s Monetary Traditionalism”, David Krause examines the debate between Bitcoin maximalists (represented by Michael Saylor) and traditional monetary economists (represented by Peter Schiff), encapsulated as follows:

1. Saylor: Bitcoin’s fixed supply of 21 million coins and decentralized architecture make it superior to both fiat currencies and traditional stores of value, including gold.
2. Schiff: Physical gold’s millennia-long track record, industrial utility and tangible properties make it an authentic inflation hedge, while Bitcoin is a speculative bubble driven by collective belief rather than intrinsic value.

He analyzes the theoretical foundations underlying each position, examines the empirical evidence regarding Strategy’s controversial corporate strategy and reviews the academic and financial industry literature addressing Bitcoin’s dual nature as speculative asset and store of value. Based on these inputs, he finds that: Keep Reading

Does bitcoin now behave like a conventional financial asset? In their short November 2025 paper entitled “From Time-Series Momentum to Size-Factor Comovement: Bitcoin’s Continuing Evolution as a Financial Asset”, Samuel Rosen and Hongcheng Wang investigate the evolution of bitcoin. Specifically, they:

1. Perform autoregressions of weekly bitcoin returns to evaluate time-series momentum at horizons of one to eight weeks.
2. Regress bitcoin returns on returns of U.S. market, size and value equity factors and some financial variables to assess bitcoin behavior in equity context.

To assess changes in relationships over time, they employ rolling windows, split samples and dummy regression variables. Using daily bitcoin returns and monthly returns for the selected equity factors and other financial variables during 2011 through 2024, they find that: Keep Reading

Does bitcoin (BTC) price reliably exhibit momentum or reversion? To investigate, we try three tests:

1. Calculate autocorrelations (serial correlations) between daily, weekly and monthly BTC returns and respective BTC returns for the next 10 intervals (for example, correlation of daily return with returns the next 10 days). Positive and negative correlations suggest momentum and reversion, respectively.
2. Calculate correlations between next-week BTC return and current BTC price relative to its high (percentage below) or low (percentage above) over the last 13 weeks. A positive (negative) correlation to price relative to a recent high or low indicates momentum (reversion).  
3. Calculate average next-week BTC returns by ranked tenth (decile) of BTC price relative to its high or low over the last 13 weeks.

Using daily, weekly and monthly BTC closing prices during September 14, 2014 (the earliest available from the source) through October 22, 2025, we find that:

Keep Reading

What are the essential investment features of crypto-assets? In their October 2025 paper entitled “Cryptocurrency as an Investable Asset Class: Coming of Age”, Nicola Borri, Yukun Liu, Aleh Tsyvinski and Xi Wu synthesize the rapidly growing body of research on crypto-assets into 10 statements summarizing how they behave in aggregate as an asset class, how their markets work and what distinguishes them from traditional asset classes. Using price data from CoinGecko.com for all live and dead crypto-assets with at least 30 daily observations during December 31, 2013 through September 6, 2025, they find that:

Keep Reading

Will bitcoin replace gold as the pre-eminent safe haven asset? In his September 2025 paper entitled “Gold and Bitcoin”, Campbell Harvey compares and contrasts bitcoin and gold as alternative safe haven assets. Based on gold and bitcoin past returns and characteristics/risks, he concludes that: Keep Reading

Do Ethereum (ETH) and Bitcoin (BTC) exhibit a reliable lead-lag relationship? To investigate, we compute:

• Pearson correlations between daily ETH return and daily BTC return for relationships ranging from BTC return leads ETH return by 10 days (-10) to ETF return leads BTC return by 10 days (10).
• Pearson correlations between monthly ETH return and monthly BTC return for relationships ranging from BTC return leads ETH return by six months (-6) to ETF return leads BTC return by six months (6).

Using daily and monthly ETH and BTC prices in U.S. dollars from November 9, 2017 (ETH inception) through September 15, 2025, we find that: Keep Reading

Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six managed futures ETFs, five live and one dead:

1. WisdomTree Managed Futures Strategy (WTMF) – seeks positive total returns in rising or falling markets that are uncorrelated with broad market equity and fixed income returns via diversified combination of commodities, currencies and interest rates futures.
2. First Trust Morningstar Managed Futures Strategy (FMF) – seeks positive returns that are uncorrelated to broad market equity and fixed income returns via a portfolio of exchange-listed futures.
3. ProShares Managed Futures Strategy (FUT) – seeks to profit in rising and falling markets by long and short positions in futures across asset classes such as commodities, currencies and fixed income such that each contributes equally to portfolio risk. (Dead as of May 2022.)
4. iM DBi Managed Futures Strategy (DBMF) – seeks long-term capital appreciation via long and short positions in futures across equities, fixed income, currencies and commodities. Fund positions approximate the current asset allocation of a pool of the largest commodity trading advisor hedge funds.
5. KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) – seeks to track an index comprised of 22 liquid futures contracts traded on U.S. and foreign exchanges. The index includes groups of 11 commodities, six currencies, and five global bonds, with groups weighted by relative historical volatility and individual contracts weighted equally within each group.
6. Simplify Managed Futures Strategy (CTA) – seeks long term capital appreciation by systematically investing in futures in an attempt to create an absolute return profile, that also has a low correlation to equities, and can provide support in risk-off events.

We focus on average return, standard deviation of returns, reward/risk (average return divided by standard deviation), compound annual growth rate (CAGR), maximum drawdown (MaxDD) and correlations of returns with those of SPDR S&P 500 (SPY) and iShares iBoxx $ Investment Grade Corporate Bond (LQD), all based on monthly data, as key performance statistics. We use a monthly rebalanced 60% SPY-40% LQD portfolio (60-40) as a benchmark. Using monthly returns for the six managed futures funds as available through August 2025, and contemporaneous monthly returns for SPY and LQD, we find that:

Keep Reading

What is the outlook for the price of bitcoin over the next decade? In their August 2025 paper entitled “Bitcoin Supply, Demand, and Price Dynamics”, Murray Rudd and Dennis Porter model the price evolution of bitcoin based on its fixed potential supply of 21 million coins and plausible demand growth and execution behavior. Specifically, they project bitcoin price and market capitalization through April 2036 via Monte Carlo simulation that randomly samples values for five key variables: (1) market demand; (2) investment preferences; (3) withdrawal sensitivity; (4) initial liquid supply; and, (5) daily withdrawal levels from liquid supply. They choose baseline parameter values using defensible estimates and tests of parameter combinations. They further explore supply and demand shocks by assuming that there is a July 2030 hack that steals and sells 968,000 bitcoin in a single day, with attendant suppression of demand. Using the price of bitcoin on July 29, 2025 for calibration, they find that: Keep Reading

Does bitcoin (BTC) return exhibit any exploitable leading or lagging roles with respect to gold (SPDR Gold Shares – GLD) return, change in the all-items consumer price index (CPI) or change in the effective federal funds rate (EFFR) for a monthly measurement interval? To investigate, we compute correlations between monthly BTC return and each of monthly GLD return, change in CPI and change in EFFR for various lead-lag relationships, ranging from BTC return leads other variables by six months (-6) to other variables lead BTC return by six months (6). Using monthly BTC, GLC, CPI and EFFR levels during September 2014 (limited by BTC) through July 2025, we find that: Keep Reading