Published April 21, 2026 | Version v1
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TIME-SERIES MOMENTUM IN CRYPTOCURRENCY MARKETS: A PRE AND POST SPOT BITCOIN ETF ANALYSIS

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Description

This paper investigates the effectiveness of Time-Series Momentum (TSMOM) as a quantitative trading strategy in cryptocurrency markets, focusing on the structural shift introduced by the first spot Bitcoin ETF launch on January 11, 2024. Using daily price data from January 2018 to March 2026 across six assets: BTC-USD, ETH-USD, IBIT, FBTC, GLD, and SPY, we implement a volatility-scaled TSMOM strategy with monthly rebalancing consistent with Moskowitz, Ooi, and Pedersen (2012). The TSMOM portfolio generated annualized returns of 18.03% pre-ETF and 28.58% post-ETF, with Sharpe ratio improving from 0.82 to 1.22. A two-sample t-test yields p = 0.5835, indicating no statistically significant difference at the 5% level. Back testing shows TSMOM underperformed Buy-and-Hold by 7.67% in the pre-ETF bull market but outperformed by 20.95% post-ETF. These findings suggest TSMOM adds most value in uncertain, regime-switching conditions following institutional entry through spot ETFs.

 

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Dates

Submitted
2026-04-21
The rise of cryptocurrency as a mainstream asset class represents one of the most significant financial developments of the 21st century. Bitcoin began as a niche digital currency but has grown into a trillion-dollar asset class attracting institutional investors, hedge funds, and retail participants worldwide. The cryptocurrency market is characterized by extreme volatility, 24/7 trading, and rapid price discovery, conditions that differ substantially from traditional financial markets.

References

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