RT Journal Article SR Electronic T1 Active Equity Managers in the U.S. JF The Journal of Portfolio Management FD Institutional Investor Journals SP 126 OP 134 DO 10.3905/jpm.2008.701623 VO 34 IS 2 A1 John M. Mulvey A1 Woo Chang Kim YR 2008 UL https://pm-research.com/content/34/2/126.abstract AB 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.TOPICS: Portfolio construction, exchanges/markets/clearinghouses, mutual fund performance