Factors Affecting the Birth and Fund Flows of CTAs
Posted: 4 May 2016
Date Written: May 1, 2016
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
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