Factors Affecting the Birth and Fund Flows of CTAs

Posted: 4 May 2016

See all articles by Viet Minh Do

Viet Minh Do

Monash University - Department of Accounting; Financial Research Network (FIRN)

Robert W. Faff

University of Queensland

Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area

Mikhail Tupitsyn

Monash Business School

Paul Lajbcygier

Monash University - Department of Banking & Finance

Multiple version iconThere are 2 versions of this paper

Date Written: May 1, 2016

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

Suggested Citation

Do, Viet Minh and Faff, Robert W. and Veeraraghavan, Madhu and Tupitsyn, Mikhail and Lajbcygier, Paul, Factors Affecting the Birth and Fund Flows of CTAs (May 1, 2016). Australian Journal of Management, Vol. 41, No. 2, 2016. Available at SSRN: https://ssrn.com/abstract=2774373

Viet Minh Do (Contact Author)

Monash University - Department of Accounting ( email )

Building 11E
Clayton, Victoria 3800
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Robert W. Faff

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area ( email )

Bangalore
Manipal, Karnataka 576104
India
+91-820-2701030 (Phone)

Mikhail Tupitsyn

Monash Business School ( email )

Wellington Road
Clayton, Victoria 3168
Australia

Paul Lajbcygier

Monash University - Department of Banking & Finance ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Register to save articles to
your library

Register

Paper statistics

Abstract Views
245
PlumX Metrics
!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information