TY - JOUR
T1 - Factors affecting the birth and fund flows of CTAs
AU - Do, Viet
AU - Faff, Robert
AU - Lajbcygier, Paul
AU - Veeraraghavan, Madhu
AU - Tupitsyn, Mikhail
N1 - Publisher Copyright:
© 2015, © The Author(s) 2015.
PY - 2015/5
Y1 - 2015/5
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84964909209&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84964909209&partnerID=8YFLogxK
U2 - 10.1177/0312896214539816
DO - 10.1177/0312896214539816
M3 - Article
AN - SCOPUS:84964909209
SN - 0312-8962
VL - 41
SP - 324
EP - 352
JO - Australian Journal of Management
JF - Australian Journal of Management
IS - 2
ER -