Cryptocurrency as an Investable Asset Class

Ten Facts from Finance Research

The Coming of Age of Crypto

Over the past decade, cryptocurrencies have evolved from niche technological experiments into a legitimate, global investment category. What began as Satoshi Nakamoto’s 2008 vision of peer-to-peer money has grown into a four-trillion-dollar market studied with the same empirical rigor as equities, bonds, or commodities.

A new paper by Nicola Borri, Yukun Liu, Aleh Tsyvinski, and Xi Wu, titled “Cryptocurrency as an Investable Asset Class: Coming of Age” (October 2025), provides perhaps the clearest academic synthesis to date. It distills hundreds of studies and massive datasets into ten facts being a framework that captures both the similarities and the distinct features of cryptocurrencies relative to traditional assets.

In essence, the authors argue that crypto has reached a point of maturity. Its risk-adjusted performance is broadly comparable to stocks and commodities. Its returns can be explained by a small set of intuitive factors such as size, momentum, and value. Yet it retains unique characteristics like frequent jumps, blockchain-driven information flow, and structural inefficiencies that make it unlike any other market.

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1. High Returns, High Volatility with Normal Sharpe Ratio

The first finding overturns a common misconception. While cryptocurrencies have delivered extraordinary nominal returns, they have also exhibited extreme volatility. When adjusted for risk, their Sharpe ratios, a measure of return per unit of volatility, are comparable to those of equities or commodities.

Bitcoin’s average weekly return since 2014 is roughly 1.3%, compared to 0.27% for the U.S. stock market. Yet its volatility is nearly five times higher. Once adjusted for risk, the “abnormal profits” disappear. Crypto’s high reward is simply compensation for high uncertainty.

For investors, this means crypto is not a free lunch. Sustainable gains come from disciplined exposure management and diversification, not from chasing raw returns.

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2. A Distinct Asset Class But More Connected Than Before

The second fact highlights crypto’s unique position. Historically, cryptocurrencies were uncorrelated with traditional assets making them valuable diversifiers. Before 2020, their correlation with U.S. equities was just 2%.

But the post-pandemic era changed that. As institutional money entered the market and macro policy became a dominant force, correlations surged. The link with U.S. equities jumped to 37%, and positive correlations also emerged with gold and commodities.

This evolution suggests that crypto is becoming integrated into the global financial system. It still behaves differently from stocks or bonds, but it increasingly reacts to common macro forces such as liquidity cycles and inflation expectations.