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Table 3 NFT risk-adjusted return The table presents Sharpe ratios and market-adjusted returns for the sample of the crypto exchange listed NFTs sorted by market-adjusted returns (Column4). Sharpe ratios are defined as in Sharpe (1994) and are annualized based on the daily returns and volatilities. Market-adjusted returns are compounded daily returns computed as the difference between raw return and return on bitcoin. NFTs not listed on June 22, 2021 (market low) are excluded from the analysis whose results are displayed in Columns 3 and 5. Data are derived from Binance API as of 31 August 2021. NFT Axie Infinity Shards Theta Decentraland Sandbox Audius Theta Fuel Ethernity Pancake Swap Dego Finance My Neighbor Alice Enjin Origin Protocol Flow Bakery Swap Alien Worlds Smooth Love Potion Bluzelle Super Farm Cocos-BCX Mean (entire sample) Mean (excl. max) Median St. Dev. Ticker Sharpe ratio since listing (1) (2) AXS 2.52 THETA 1.02 MANA 1.28 SAND 0.99 AUDIO 1.09 TFUEL 0.63 ERN 1.91 CAKE 0.16 DEGO 0.04 ALICE -0.11 ENJ 0.58 OGN 0.39 FLOW 0.37 BAKE -0.52 TLM -0.6 SLP -0.59 BLZ 0.31 SUPER -0.89 COCOS -0.26 0.44 0.32 0.37 0.89 Sharpe ratio since bottom (3) 4.73 0.08 2.45 3.63 2.19 -1.29 na 2.93 1.99 2.76 2.58 1.68 na 0.64 2.12 0.13 2.61 1.91 1.24 1.90 1.73 2.12 1.43 BTC-adjusted return since listing (%) (4) 15,952 BTC-adjusted return since bottom (%) (5) 1,483 464 -31 340 38 255 261 221 125 210 -52 83 na 77 28 48 73 26 236 16 47 -2 13 -6 na -10 -14 -24 156 -25 -34 -37 26 -53 73 -93 12 918 144 83 60 26 38 3,644 357 Table 4 Correlation matrix This table shows correlation coefficients between bitcoin, S&P500, and the crypto exchange listed NFTs. Bottom follows a 55% price drawdown of bitcoin and falls on June 22, 2021. Data are derived from Thomson Reuters EIKON and Binance API as of 31 August 2021. Corr. NFT bitcoin NFT entire time series bitcoin since bottom 12.7% 1 S&P500 15.4% 17.25% 2.2% bitcoin 60.2% 1 66.7% 35PDF Image | NFT The Analysis of Risk and Return
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