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No Cryptocurrency Experience Required: Managerial Characteristics in Cryptocurrency Fund Performance

Author

Listed:
  • Andrew Urquhart
  • Pengfei Wang

Abstract

This paper investigates the determinants of cryptocurrency fund performance, where we compile a unique dataset of cryptocurrency fund performance and characteristics of the funds and managers. We document substantial differences in cryptocurrency fund manager ability in terms of monthly excess returns as well as risk-adjusted returns. In particular, we find that managers with a PhD and MBA tend to generate significantly higher excess returns and higher risk-adjusted returns while PhD managers are also riskier. Further, our results show that managers with previous hedge fund experience generate significantly higher appraisal ratios indicating their investment-picking ability obtained from their previous experience. However we find that cryptocurrency experience offers no explanatory power indicating that trading cryptocurrencies successfully does not require any specific knowledge in this area. Overall, our findings are consistent with the conventional wisdom that manager qualifications and experience play a significant role in fund performance.

Suggested Citation

  • Andrew Urquhart & Pengfei Wang, 2023. "No Cryptocurrency Experience Required: Managerial Characteristics in Cryptocurrency Fund Performance," Review of Corporate Finance, now publishers, vol. 3(4), pages 529-569, September.
    • Handle: RePEc:now:jnlrcf:114.00000050
    DOI: 10.1561/114.00000050
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    Citations

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    Cited by:

    1. Peng‐Fei Dai & John W. Goodell & Luu Duc Toan Huynh & Zhifeng Liu & Shaen Corbet, 2023. "Understanding the transmission of crash risk between cryptocurrency and equity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 539-573, August.
    2. Douglas Cumming & Zachary Glatzer & Omrane Guedhami, 2023. "Institutions, digital assets, and implications for economic and financial performance," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 50(3), pages 487-513, September.
    3. Shaen Corbet & Les Oxley, 2023. "Investigating the Academic Response to Cryptocurrencies: Insights from Research Diversification as Separated by Journal Ranking," Review of Corporate Finance, now publishers, vol. 3(4), pages 487-528, September.

    More about this item

    Keywords

    Cryptocurrencies; active investment management; managerial characteristics; Hedge funds; alternative investments;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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