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)
Year published
2016
Metadata
Show full item recordAbstract
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
Subject
Banking, Finance and Investment not elsewhere classified
Commerce, Management, Tourism and Services