Active Equity Managers in the U.S. Do the Best Follow Momentum Strategies?

John M. Mulvey, Woo Chang Kim

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

Empirical evidence from a database free of survivorship bias shows that the excess return patterns of long-only industrylevel momentum strategies are highly correlated with active fund returns in the growth and the core domains, especially since publication of the momentum effect phenomenon in 1993. The best-performing managers are more strongly similar than the poorest-performing managers, who have low correlation with momentum. Investment performance of momentum strategies at the industry level is competitive, or between the top 10% and top 25% of funds in each period. The source and the persistence of these patterns compared to optimal asset allocation are cause for speculation.

Original languageEnglish (US)
Pages (from-to)126-134
Number of pages9
JournalJournal of Portfolio Management
Volume34
Issue number2
DOIs
StatePublished - Dec 2008

ASJC Scopus subject areas

  • Accounting
  • General Business, Management and Accounting
  • Finance
  • Economics and Econometrics

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