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Primary Article

Active Equity Managers in the U.S.

Do the Best Follow Momentum Strategies?

John M. Mulvey and Woo Chang Kim
The Journal of Portfolio Management Winter 2008, 34 (2) 126-134; DOI: https://doi.org/10.3905/jpm.2008.701623
John M. Mulvey
A professor of Operations Research & Financial Engineering at Princeton University in Princeton, NJ.
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  • For correspondence: mulvey@princeton.edu
Woo Chang Kim
A Ph.D. candidate in the Operations Research & Financial Engineering Department at Princeton University in Princeton, NJ.
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  • For correspondence: wookim@princeton.edu
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Abstract

Empirical evidence from a database free of survivorship bias shows that the excess return patterns of long-only industry-level 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.

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Vol. 34, Issue 2
Winter 2008
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Active Equity Managers in the U.S.
John M. Mulvey, Woo Chang Kim
The Journal of Portfolio Management Jan 2008, 34 (2) 126-134; DOI: 10.3905/jpm.2008.701623

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Active Equity Managers in the U.S.
John M. Mulvey, Woo Chang Kim
The Journal of Portfolio Management Jan 2008, 34 (2) 126-134; DOI: 10.3905/jpm.2008.701623
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