Factors affecting the birth and fund flows of CTAs
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Faff, Robert W.
Lajbcygier, Paul R.
Veeraraghavan, Madhu
Tupitsyn, Mikhail
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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.
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Australian Journal of Management
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41
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2
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Banking, Finance and Investment not elsewhere classified
Commerce, Management, Tourism and Services