Active equity managers in the U.S. Do the best follow momentum strategies?

John Michael 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)
JournalJournal of Portfolio Management
Volume34
Issue number2
StatePublished - Dec 1 2008

All Science Journal Classification (ASJC) codes

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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