A Model of Fund Growth for Managed Futures: Evidence of Managerial Skill
Monash University - School of Computing & Information Technology
Journal of Investment Management, Vol. 6, No. 1, First Quarter 2008
Fund size is an essential component of a funds overall value. In this work, we argue that growth in fund size results from managerial skill. To test this argument, we estimate a model that links fund growth to performance characteristics. We use the model to isolate significant performance characteristics and confirm that the model has predictive power out-of-sample. Hence, we verify that manager skill exists. This model may be useful to academics, fund managers, and fund allocators.
Keywords: Alternative investments, funds under management, manager skill
JEL Classification: G00Accepted Paper Series
Date posted: March 27, 2008
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