A MODEL OF FUND GROWTH FOR MANAGED FUTURES: EVIDENCE OF MANAGERIAL SKILL

A MODEL OF FUND GROWTH FOR MANAGED FUTURES: EVIDENCE OF MANAGERIAL SKILL

Fund size is an essential component of a funds overall value. In this work, we argue that growth in fund size results from managerial skill. To test this argument, we estimate a model that links fund growth to performance characteristics. We use the model to isolate significant performance character...

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Bibliographic Details
Published in:Journal of investment management p. 5
Main Author: Lajbcygier, Paul
Format: Journal Article
Language:English
Published: Lafayette Journal of Investment Management 01-01-2008
Subjects:
Estimates
Funds
Managerial skills
Studies
Online Access:Get full text
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Summary:Fund size is an essential component of a funds overall value. In this work, we argue that growth in fund size results from managerial skill. To test this argument, we estimate a model that links fund growth to performance characteristics. We use the model to isolate significant performance characteristics and confirm that the model has predictive power out-of-sample. Hence, we verify that manager skill exists. This model may be useful to academics, fund managers, and fund allocators. [PUBLICATION ABSTRACT]
ISSN:1545-9144
1545-9152