Factors affecting the birth and fund flows of CTAs

Viet Do; Robert Faff; Paul Lajbcygier; Madhu Veeraraghavan; Mikhail Tupitsyn

doi:10.1177/0312896214539816

Factors affecting the birth and fund flows of CTAs

Viet Do^*
, Robert Faff
, Paul Lajbcygier
, Madhu Veeraraghavan
, Mikhail Tupitsyn

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › peer-review

1 Citation (Scopus)

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.

Original language	English
Pages (from-to)	324-352
Number of pages	29
Journal	Australian Journal of Management
Volume	41
Issue number	2
DOIs	https://doi.org/10.1177/0312896214539816
Publication status	Published - May 2015
Externally published	Yes

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Factors affecting the birth and fund flows of CTAs

Abstract

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