Factors Affecting the Birth and Fund Flows of CTAs

Do, Viet and Faff, Robert and Lajbcygier, Paul and Veeraraghavan, Madhu and Tupitsyn, Mikhail (2016) Factors Affecting the Birth and Fund Flows of CTAs. Australian Journal of Management, 41 (2). pp. 1-29.

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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.

Item Type:	Article
Uncontrolled Keywords:	Commodity Trading Advisors; Flow-Performance Relation; Fund Flows; Smart Money Effect
Subjects:	Finance
Divisions:	Finance and Strategy
Depositing User:	Mr. Muralidhara D
Date Deposited:	19 Dec 2018 04:30
Last Modified:	02 Mar 2019 05:04
URI:	http://tapmi.informaticsglobal.com/id/eprint/553

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