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

Paul Lajbcygier

Fund size is an essential component of a fund’s 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.