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.

中文翻译：

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值得关注的人群：策略一致性和CTA效果

对冲基金和共同基金管理的先前研究发现，投资组合的独特性与随后的绩效之间存在正相关关系，这表明策略差异与卓越技能相关。我们发现，回报率与同行的回报相关性更强的商品交易顾问（CTA）具有更高的绩效，并且更容易受到时间序列动量因子的影响。与对冲基金和共同基金相比，策略一致性似乎是CTAs管理技能的信号。这些结果表明，遵循战略的共同趋势可以推动CTA的回报，而CTA则为投资者提供了投资动量的机会。