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Factors affecting the birth and fund flows of CTAs

Author

Listed:
  • Viet Do

    (Department of Banking and Finance, Monash University, Australia)

  • Robert Faff

    (UQ Business School, The University of Queensland, Australia)

  • 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)

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.

Suggested Citation

  • Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn, 2016. "Factors affecting the birth and fund flows of CTAs," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 324-352, May.
    • Handle: RePEc:sae:ausman:v:41:y:2016:i:2:p:324-352
    DOI: 10.1177/0312896214539816
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    References listed on IDEAS

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    More about this item

    Keywords

    Commodity trading advisors; flow-performance relation; fund flows; smart money effect;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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