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 language||English (US)|
|Journal||Journal of Portfolio Management|
|State||Published - Dec 1 2008|
All Science Journal Classification (ASJC) codes
- Business, Management and Accounting(all)
- Economics and Econometrics