Factors affecting the birth and fund flows of CTAs

Minh Do (), Robert Faff, Paul Lajbcygier, Madhu Veeraraghavan and Mikhail Tupitsyn
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Paul Lajbcygier: Department of Banking and Finance, Monash University, Australia
Madhu Veeraraghavan: T.A. Pai Management Institute, India
Mikhail Tupitsyn: Department of Banking and Finance, Monash University, Australia

Australian Journal of Management, 2016, vol. 41, issue 2, 324-352

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.

Keywords: Commodity trading advisors; flow-performance relation; fund flows; smart money effect (search for similar items in EconPapers)
JEL-codes: G12 G20 G29 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:41:y:2016:i:2:p:324-352

DOI: 10.1177/0312896214539816

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