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

Simple item page
dc.contributor.authorBollen, Nicolas P. B.
dc.contributor.authorHutchinson, Mark C.
dc.contributor.authorO'Brien, John
dc.contributor.funderScience Foundation Irelanden
dc.date.accessioned2021-10-13T09:49:39Z
dc.date.available2021-10-13T09:49:39Z
dc.date.issued2021-03-13
dc.date.updated2021-10-13T09:39:28Z
dc.description.abstractPrior 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.sponsorshipScience Foundation Ireland (18/SPP/3459)en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationBollen, 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.22199en
dc.identifier.doi10.1002/fut.22199en
dc.identifier.eissn1096-9934
dc.identifier.endpage894en
dc.identifier.issn0270-7314
dc.identifier.issued6en
dc.identifier.journaltitleJournal of Futures Marketsen
dc.identifier.startpage875en
dc.identifier.urihttps://hdl.handle.net/10468/12092
dc.identifier.volume41en
dc.language.isoenen
dc.publisherJohn 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.subjectCTAen
dc.subjectFutures contractsen
dc.subjectMomentumen
dc.titleWhen it pays to follow the crowd: Strategy conformity and CTA performanceen
dc.typeArticle (peer-reviewed)en
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
BHO_Final_Version.pdf
Size:
354.19 KB
Format:
Adobe Portable Document Format
Description:
Accepted Version
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
2.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Cork University Business School - Journal Articles