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A closer look at the results reveal that several observations stand out (Column 2). ERN, MANA, AUDIO, THETA, and SAND have Sharpe ratios of at least 1. This subset overlaps to some degree with the top performers reported in Figure 4 and 5. However, the Sharpe ratio does not reveal the magnitude of the risk-adjusted returns. Small return (in absolute terms) with low volatility may translate into a high Sharpe ratio. Column 3 of Table 3 reports the results for the sample subperiod characterized by the strong crypto market recovery. Due to significantly higher returns during this time and approximately similar level of volatility, Sharpe ratios are significantly higher with a mean of 1.7. It is important to note that the Sharpe ratio distribution is skewed to the left with a median equal to 2.1. In the following test, we consider market-adjusted returns. In contrast to Sharpe ratio, market-adjusted returns account for risk and at the same time convey information about the magnitude of the return. We proxy for the market return using return to bitcoin. Our motivation comes from the vast finance literature that uses S&P 500 as a benchmark for different types of asset classes and investment vehicles, even those that include foreign holdings (see e.g., Becker, Ferson, Myers, and Schill, 1999; Mei and Moses, 2002; Kaplan and Schoar, 2005; Dichev and Yu, 2011). Moreover, some financial institutions tend to use bitcoin as the crypto market benchmark12. The results are displayed in Table 3 Column 3. They are closely in line with Sharp ratios at least for the subset of top and bottom performers. Among the NFTs that generate the highest returns are THETA, MANA, SAND, and AUDIO (as before, we exclude AXS). For example, both MANA and SAND, which have been trading on the crypto exchange for approximately the same amount of time (13 months) offer an impressive performance to investors of respectively 340% and 255%, above the return on bitcoin. It is worth highlighting that the price of bitcoin appreciated about 4.5 times (or 450%) during the same time interval. 12 https://cryptofundresearch.com/q2-2021-crypto-fund-report/ 17PDF Image | NFT The Analysis of Risk and Return
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