When it pays to follow the crowd: Strategy conformity and CTA performance

Show simple item record

dc.contributor.author Bollen, Nicolas P. B.
dc.contributor.author Hutchinson, Mark C.
dc.contributor.author O'Brien, John
dc.date.accessioned 2021-10-13T09:49:39Z
dc.date.available 2021-10-13T09:49:39Z
dc.date.issued 2021-03-13
dc.identifier.citation Bollen, N. P. B., Hutchinson, M. C. and O'Brien, J. (2021) 'When it pays to follow the crowd: Strategy conformity and CTA performance', Journal of Futures Markets, 41(6), pp. 875-894. doi: 10.1002/fut.22199 en
dc.identifier.volume 41 en
dc.identifier.issued 6 en
dc.identifier.startpage 875 en
dc.identifier.endpage 894 en
dc.identifier.issn 0270-7314
dc.identifier.uri http://hdl.handle.net/10468/12092
dc.identifier.doi 10.1002/fut.22199 en
dc.description.abstract Prior research in hedge fund and mutual fund management finds a positive relation between portfolio distinctiveness and subsequent performance, suggesting that strategy differentiation is associated with superior skill. We find that commodity trading advisors (CTAs) with returns that correlate more strongly with those of peers feature higher performance and are more highly exposed to a time series momentum factor. Strategy conformity appears to be a signal of managerial skill in CTAs, in contrast to hedge funds and mutual funds. These results indicate that a common trend following strategy drives CTA returns and that CTAs offer investors an opportunity to invest in momentum. en
dc.description.sponsorship Science Foundation Ireland (18/SPP/3459) en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher John Wiley & Sons, Inc. en
dc.rights © 2021, Wiley Periodicals LLC. This is the peer reviewed version of the following item: Bollen, N. P. B., Hutchinson, M. C. and O'Brien, J. (2021) 'When it pays to follow the crowd: Strategy conformity and CTA performance', Journal of Futures Markets, 41(6), pp. 875-894, doi: 10.1002/fut.22199, which has been published in final form at https://doi.org/10.1002/fut.22199. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. en
dc.subject CTA en
dc.subject Futures contracts en
dc.subject Momentum en
dc.title When it pays to follow the crowd: Strategy conformity and CTA performance en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Mark Hutchinson, Cork University Business School, University College Cork, Cork, Ireland. +353-21-490-3000 Email: m.hutchinson@ucc.ie en
dc.internal.availability Full text available en
dc.check.info Access to this article is restricted until 24 months after publication by request of the publisher. en
dc.check.date 2023-03-13
dc.date.updated 2021-10-13T09:39:28Z
dc.description.version Accepted Version en
dc.internal.rssid 585399772
dc.contributor.funder Science Foundation Ireland en
dc.description.status Peer reviewed en
dc.identifier.journaltitle Journal of Futures Markets en
dc.internal.copyrightchecked Yes
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress m.hutchinson@ucc.ie en
dc.identifier.eissn 1096-9934


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record

This website uses cookies. By using this website, you consent to the use of cookies in accordance with the UCC Privacy and Cookies Statement. For more information about cookies and how you can disable them, visit our Privacy and Cookies statement