When it pays to follow the crowd: Strategy conformity and CTA performance
研究发现，商品交易顾问（CTA）的策略趋同（与同行回报相关性高）反而预示更高业绩，这与对冲基金和共同基金中策略差异化带来更好表现相反，表明CTA主要依赖趋势跟踪策略。
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.