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  • Factors affecting the birth and fund flows of CTAs

    Author(s)
    Do, Viet
    Faff, Robert W.
    Lajbcygier, Paul R.
    Veeraraghavan, Madhu
    Tupitsyn, Mikhail
    Griffith University Author(s)
    Veeraraghavan, Madhu
    Year published
    2016
    Metadata
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    Abstract
    Our paper investigates the timing of the inception of commodity trading advisors and the relationship between their fund flows and performance. Our results show that commodity trading advisor industry performance has, over the long-run (short-run), a positive (negative) effect on new commodity trading advisors. The functional form of the flow-performance relation varies across commodity trading advisor subcategories. Also, we do not observe a ‘smart money’ effect, indicating that investors are generally unsuccessful in choosing subsequent high-performing commodity trading advisors.Our paper investigates the timing of the inception of commodity trading advisors and the relationship between their fund flows and performance. Our results show that commodity trading advisor industry performance has, over the long-run (short-run), a positive (negative) effect on new commodity trading advisors. The functional form of the flow-performance relation varies across commodity trading advisor subcategories. Also, we do not observe a ‘smart money’ effect, indicating that investors are generally unsuccessful in choosing subsequent high-performing commodity trading advisors.
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    Journal Title
    Australian Journal of Management
    Volume
    41
    Issue
    2
    DOI
    https://doi.org/10.1177/0312896214539816
    Subject
    Banking, Finance and Investment not elsewhere classified
    Commerce, Management, Tourism and Services
    Publication URI
    http://hdl.handle.net/10072/172403
    Collection
    • Journal articles

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