Crypto CAPM – CryptoverseR

1 Beta

Code

capm <- crypto_capm(symbols = colnames(df_capm)[-c(1,2)], Rf = Rf,  df_capm = df_capm)
capm %>%
  knitr::kable()

Symbol	Beta	Rf	R2	Sigma	AIC
BNB	1.0927503	0.0041667	0.4105668	0.2745903	13.864049
XRP	0.6363296	0.0041667	0.1320037	0.3422054	32.795316
ADA	0.9467209	0.0041667	0.3116618	0.2950666	20.049248
SOL	1.4243239	0.0041667	0.3272095	0.4283262	52.100069
MATIC	0.9261457	0.0041667	0.1820596	0.4116918	48.693593
ATOM	0.9153033	0.0041667	0.3629870	0.2542919	7.259484
FTM	1.5829200	0.0041667	0.3068928	0.4988899	65.215088
PAXG	0.0237309	0.0041667	0.0127602	0.0437760	-144.048689

Code

security_market_line = tibble(
  Beta = seq(min(capm$Beta), max(capm$Beta), 0.01),
  MeanRet = (1 - Beta)*(capm$Rf[1]) + Beta * mean(df_capm$BTC, na.rm = TRUE),
  Riskier = ifelse(Beta > 1, "Yes", "No")
)

Code

mean_ret_BTC <- mean(df_capm$BTC, na.rm = TRUE)

capm$MeanRet <- capm$Rf + capm$Beta * (mean_ret_BTC-capm$Rf)
capm <- arrange(capm, desc(Beta))
capm$indicator <- rep(c(1,-1), 4)
capm$Riskier <- ifelse(capm$Beta > 1, "Yes", "No")
ggplot()+
  geom_line(data = security_market_line, aes(Beta, MeanRet, color = Riskier), linewidth = 2)+
  geom_point(data = capm, aes(Beta, MeanRet), size = 2) +
  geom_segment(data = capm, aes(x = Beta, xend = Beta, y = MeanRet, yend = MeanRet+ 1/3*MeanRet*indicator), 
               size = 0.4) +
  geom_label(data = capm, aes(x = Beta, y = MeanRet+ 1/3*MeanRet*indicator, label = Symbol, color = Riskier), 
             size = 2) +
  scale_color_manual(values = c(Yes = "green", No = "red") )+
  theme_bw()+
  theme(legend.position = "top") + 
  labs(x = "Beta", y = "Return", color = "Is positively correlated with Bitcoin?")

Citation

BibTeX citation:

@online{sartini2025,
  author = {Sartini, Beniamino},
  title = {Crypto {CAPM}},
  date = {2025-04-03},
  url = {https://cryptoverser.org/articles/bitcoin-capm/crypto-capm.html},
  langid = {en}
}

For attribution, please cite this work as:

Sartini, Beniamino. 2025. “Crypto CAPM.” April 3, 2025. https://cryptoverser.org/articles/bitcoin-capm/crypto-capm.html.