HOUSE_OVERSIGHT_025681.jpg
1.08 MB
Extraction Summary
3
People
5
Organizations
0
Locations
0
Events
2
Relationships
2
Quotes
Document Information
Type:
Presentation slide / financial analysis
File Size:
1.08 MB
Summary
A Goldman Sachs Investment Management Division presentation slide (page 18) analyzing Bitcoin's risk premium compared to Tactical Hedge Funds. The document argues that Bitcoin's massive historical risk premium is idiosyncratic and unexplainable by standard models, unlike hedge funds where half the risk is explainable. The document bears a House Oversight Bates stamp, indicating it was produced during a congressional investigation, likely regarding financial practices or specific bank scrutiny.
People (3)
| Name | Role | Context |
|---|---|---|
| Peter C.B. Phillips | Author |
Cited in footnote regarding 'Testing for Multiple Bubbles'
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| Shu-Ping Shi | Author |
Cited in footnote regarding 'Testing for Multiple Bubbles'
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| Jun Yu | Author |
Cited in footnote regarding 'Testing for Multiple Bubbles'
|
Organizations (5)
| Name | Type | Context |
|---|---|---|
| Goldman Sachs |
Investment Management Division header
|
|
| Investment Strategy Group (ISG) |
Source of the multi-factor model mentioned in text
|
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| Bloomberg |
Data source listed in footer
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|
| International Economic Review |
Publisher of the cited paper
|
|
| House Oversight Committee |
Implied by Bates stamp 'HOUSE_OVERSIGHT'
|
Relationships (2)
Listed together in citation (1)
Listed together in citation (1)
Key Quotes (2)
"Bitcoin's 300%+ historical annual risk premium is idiosyncratic and cannot be explained by ISG's multi-factor model."Source
HOUSE_OVERSIGHT_025681.jpg
Quote #1
"An inability to understand sources of risk and return makes one incapable of predicting when performance will reverse."Source
HOUSE_OVERSIGHT_025681.jpg
Quote #2
Full Extracted Text
Complete text extracted from the document (1,332 characters)
Investment Management Division | Goldman Sachs
Bitcoin's Historical Risk Premium is Unexplainable
Bitcoin's Historical Risk Premium is Unexplainable
1. Bitcoin Factor Exposures and Unexplained Premium
[Chart: Annual Risk Premium vs Bitcoin]
Legend: Equity, Term, Funding, Liquidity, Exchange Rate, Emerging Market
[Chart: Annual Risk Premium vs Bitcoin]
~341pp
Factor Risk Premium
Historical Risk Premium
Bitcoin -3.6% ± 132.2%
[Chart: Annual Risk Premium vs Bitcoin]
Legend: Equity, Term, Funding, Liquidity, Exchange Rate, Emerging Market
[Chart: Annual Risk Premium vs Bitcoin]
~341pp
Factor Risk Premium
Historical Risk Premium
Bitcoin -3.6% ± 132.2%
2. Tactical Hedge Funds' Factor Exposures and Unexplained Premium
[Chart: Annual Risk Premium vs Tactical Trading Hedge Funds]
Legend: Equity, Term, Funding, Liquidity, Exchange Rate, Emerging Market
[Chart: Annual Risk Premium vs Tactical Trading Hedge Funds]
2.8pp
Factor Risk Premium
Historical Risk Premium
Tactical Trading Hedge Funds 2.8% ± 3.6%
[Chart: Annual Risk Premium vs Tactical Trading Hedge Funds]
Legend: Equity, Term, Funding, Liquidity, Exchange Rate, Emerging Market
[Chart: Annual Risk Premium vs Tactical Trading Hedge Funds]
2.8pp
Factor Risk Premium
Historical Risk Premium
Tactical Trading Hedge Funds 2.8% ± 3.6%
▪ Bitcoin's 300%+ historical annual risk premium is idiosyncratic and cannot be explained by ISG's multi-factor model.
▪ An inability to understand sources of risk and return makes one incapable of predicting when performance will reverse.
▪ For tactical hedge funds, half of the historical risk premium is explained by the factor model.
▪ An inability to understand sources of risk and return makes one incapable of predicting when performance will reverse.
▪ For tactical hedge funds, half of the historical risk premium is explained by the factor model.
(1) Peter C.B. Phillips, Shu-Ping Shi and Jun Yu, "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," International Economic Review, Oct 28, 2015.
Source: Investment Strategy Group, Bloomberg.
18
HOUSE_OVERSIGHT_025681
Source: Investment Strategy Group, Bloomberg.
18
HOUSE_OVERSIGHT_025681
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