Access to this article is restricted until 24 months after publication by request of the publisher.. Restriction lift date: 2023-03-13
When it pays to follow the crowd: Strategy conformity and CTA performance
| dc.check.date | 2023-03-13 | |
| dc.check.info | Access to this article is restricted until 24 months after publication by request of the publisher. | en |
| dc.contributor.author | Bollen, Nicolas P. B. | |
| dc.contributor.author | Hutchinson, Mark C. | |
| dc.contributor.author | O'Brien, John | |
| dc.contributor.funder | Science Foundation Ireland | en |
| dc.date.accessioned | 2021-10-13T09:49:39Z | |
| dc.date.available | 2021-10-13T09:49:39Z | |
| dc.date.issued | 2021-03-13 | |
| dc.date.updated | 2021-10-13T09:39:28Z | |
| 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.description.status | Peer reviewed | en |
| dc.description.version | Accepted Version | en |
| dc.format.mimetype | application/pdf | en |
| 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.doi | 10.1002/fut.22199 | en |
| dc.identifier.eissn | 1096-9934 | |
| dc.identifier.endpage | 894 | en |
| dc.identifier.issn | 0270-7314 | |
| dc.identifier.issued | 6 | en |
| dc.identifier.journaltitle | Journal of Futures Markets | en |
| dc.identifier.startpage | 875 | en |
| dc.identifier.uri | https://hdl.handle.net/10468/12092 | |
| dc.identifier.volume | 41 | 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 |
