The study examines the diversification capability of seven cryptocurrencies with the largest market size against risks from economic factors as oil price, gold price, interest rate, USD strength, and S&P500. Using the weekly data of Bitcoin, Litecoin, Ripple, Stellar, Monero, Dash, and Bytecoin in the period Aug/2014-Jun/2018, the study finds that there are structural breaks and ARCH disturbance in each cryptocurrency, suggesting a systematic risk within the cryptocurrency market. However, the causality between cryptocurrencies and economic factors is undirected. Interestingly, our findings show that cryptocurrencies are insignificant correlations with economic factors. The result implies that cryptocurrencies can not be assumed as financial assets to hedge systematic risks from economic factors.