Despite Cryptocurrency Gains, Shareholders Remain Unsmiling: Kaiko Research Diagnoses Structural Limitations of DAT

Thomas Probst, a researcher at Kaiko Research, analyzed in a report released on September 2, 2026, that digital asset treasury companies (DAT) are failing to fully pass on the performance of their held cryptocurrencies to shareholder returns. The market's belief in Strategy (MSTR) as a 'permanent buyer' was shaken when it sold approximately 7,000 BTC over the summer, despite positioning Bitcoin (BTC) accumulation as part of its corporate identity.

Digital Asset Treasury Companies Excluded from Stock Market Gains

The digital asset treasury company model rapidly spread in 2024 and 2025. Initially focused on Bitcoin (BTC), the asset holdings later diversified to include Ethereum (ETH), Solana (SOL), and Hyperliquid (HYPE). The expansion of spot liquidity, compliance with regulations for custodial services, growth in the derivatives market, and the refinement of accounting standards supported the cryptocurrency holdings of these companies.

However, reserve assets are meant to preserve original capital, mitigate cash flow volatility, and absorb shocks. The digital asset treasury's active exposure to assets with significant price volatility and liquidity risk distinguishes it from traditional reserve assets like cash or gold.

These limitations became evident in 2026. While the S&P 500 index (SPX) rose by 11.33% in the first eight months, the returns for Strategy, Bitmain Technologies (BMNR), and Hyperion DeFi (HYPD) were -19.78%, -23.92%, and -12.57%, respectively. Shareholders endured the high volatility of the cryptocurrency market but did not benefit from the stock market's rise.

Strategy's Bitcoin Sales Undermine Long-Term Holding Confidence

As of late summer, Strategy was the largest corporate holder with 845,050 BTC. The company maintained a policy of accumulating Bitcoin indefinitely without selling, which helped sustain a premium over its net asset value (NAV). Utilizing this high premium to issue new shares and increase Bitcoin holdings per share was central to its growth strategy.

However, after indicating in May 2026 that it would actively manage its balance sheet, Strategy sold 32 BTC for approximately $2.5 million in early June. Subsequently, it disposed of about 1,363 BTC at the end of June, 2,225 BTC in early July, and 3,328 BTC in August. The proceeds from these sales were allocated to preferred dividends, dollar reserves, and stock buybacks.

According to Kaiko Research, while the scale of sales was small compared to total holdings, the signal sent to the market was significant. The strategy shifted to a typical financial management approach of buying and selling cryptocurrencies based on funding costs and cash demands. Following the first sale announcement, Bitcoin fell from around $73,000 to approximately $60,000 within a week.

The 30-day moving volatility of Strategy's stock mostly ranged from 50% to 100%, significantly exceeding Bitcoin's 20% to 54% and SPX's 10% to 18%. Since April, the 30-day moving correlation with Bitcoin also recorded between 0.6 and 0.75, indicating that Strategy does not provide independent stock market exposure or sufficient portfolio diversification.

Bitmain and Hyperion Also Face Limitations in Delivering Underlying Asset Performance

Bitmain became the largest ETH holder among companies after shifting to an Ethereum-centric financial strategy in mid-2025. In 2026, the 30-day moving correlation between Bitmain's stock and Ethereum generally remained between 0.5 and 0.7. While the stock price largely followed the performance of its held assets, it also reflected additional risks from company operations and funding.

Hyperion DeFi presents a more extreme case. Originally a technology company called Inovia, it transitioned in June 2025 to a U.S.-listed investment vehicle holding the native token Hyperliquid (HYPE) of the Hyperliquid blockchain. Its holdings exceeded 2 million HYPE, with the token price reaching approximately $82 on September 2, 2026.

While Hyperliquid rose by about 234.2% in 2026, Hyperion's stock fluctuated slightly below its early-year levels. The 30-day moving correlation between the two assets remained around 0.1 to 0.7, averaging about 0.4. Investors who chose Hyperion stock to gain exposure to the rising price of Hyperliquid essentially did not benefit from the appreciation of the underlying asset.

The Hyperion case does not apply uniformly to all companies. Companies linked to the same ecosystem, like Hyperliquid Strategies' Nasdaq-listed stock PURR, can yield different results depending on their capital structure and operational methods. Ultimately, the value of digital asset treasury companies must be assessed not only by the price of their held tokens but also by funding costs, stock dilution, debt and dividend burdens, and the management's ability to allocate capital.

Thomas Probst of Kaiko Research cautioned against viewing DAT stocks merely as simple substitutes for cryptocurrency spot assets. Strategy's Bitcoin sales illustrate that a company's cryptocurrency accumulation strategy can change in response to cash demands and market conditions. To invest in digital asset treasury companies, one must examine not only the potential for underlying asset appreciation but also the 'corporate financial risks' and the transmission structure leading to shareholder returns.