Factors affecting the birth and fund flows of CTAs

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

Research output: Contribution to journalArticleResearchpeer-review

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 languageEnglish
Pages (from-to)324-352
Number of pages29
JournalAustralian Journal of Management
Volume41
Issue number2
DOIs
Publication statusPublished - May 2016

Keywords

  • Commodity trading advisors
  • flow-performance relation
  • fund flows
  • smart money effect

Cite this

Do, Viet ; Faff, Robert ; Lajbcygier, Paul ; Veeraraghavan, Madhu ; Tupitsyn, Mikhail. / Factors affecting the birth and fund flows of CTAs. In: Australian Journal of Management. 2016 ; Vol. 41, No. 2. pp. 324-352.
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Factors affecting the birth and fund flows of CTAs. / Do, Viet; Faff, Robert; Lajbcygier, Paul; Veeraraghavan, Madhu; Tupitsyn, Mikhail.

In: Australian Journal of Management, Vol. 41, No. 2, 05.2016, p. 324-352.

Research output: Contribution to journalArticleResearchpeer-review

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