Strategy as a Leveraged Bitcoin Proxy: An Augmented Factor Model Analysis
Strategy Inc., formerly MicroStrategy, has shifted from software to a leveraged Bitcoin proxy, with its stock now closely tracking Bitcoin’s price. The company’s Bitcoin beta rose from 0.613 to 1.490, meaning its stock amplifies Bitcoin’s moves by 50 percent. Traditional stock factors have little impact. Researchers created new models including Bitcoin and gold, finding crypto factors crucial for pricing. Their two-factor model simplifies risk analysis, but results focus only on Strategy Inc.
What it examines
This paper studies how Strategy (formerly MicroStrategy) changed from a software company to a leveraged Bitcoin investment by using advanced factor models. It analyzes weekly returns from 2020 to 2025, adding Bitcoin and gold to traditional models, to understand how cryptocurrency affects the company's stock.
What it concludes
The study finds Bitcoin is the main driver of Strategy's stock returns, making traditional models incomplete. This research helps investors and companies manage risk and value crypto-linked stocks. It suggests asset pricing models must include cryptocurrency factors, especially as more companies adopt similar strategies. Future research should explore other crypto-exposed firms.
Evidence objects
Strategy Inc. has shifted from a software firm to a leveraged Bitcoin proxy, with its stock returns now almost entirely tied to Bitcoins price, amplifying Bitcoins moves by about 50%.
key_findings bullet 1 · key_findings · validation V0
The study finds Bitcoin exposure, or 'Bitcoin beta,' jumped from $0.613$ to $1.490$, while traditional equity factors like market, value, and momentum now have little influence on the companys stock performance.
key_findings bullet 2 · key_findings · validation V0
Researchers developed an augmented factor model adding Bitcoin and gold to the Carhart model, and introduced a simple two-factor model (Bitcoin and Size) that nearly matches the full models explanatory power for investors.
key_findings bullet 3 · key_findings · validation V0
This paper uniquely augments the Carhart four-factor model by explicitly integrating Bitcoin and gold returns, rigorously analyzing MicroStrategy as a leveraged Bitcoin proxy. Its novel framework addresses limitations in traditional equity models for crypto-correlated equities, offering valuable empirical insights and practical portfolio implications, making it compelling for academics and practitioners.
key_findings bullet 4 · key_findings · validation V0
Raw abstract and provenance
- … equity factors in explaining Strategy's returns, with Bitcoin beta increasing from 0.613 to 1.490 across regimes, indicating the company evolved from trading at … equities and …
Source row: 1866 · abstract type: snippet