PT  - JOURNAL ARTICLE
AU  - John M. Mulvey
AU  - Woo Chang Kim
TI  - Active Equity Managers in the U.S.
AID  - 10.3905/jpm.2008.701623
DP  - 2008 Jan 31
TA  - The Journal of Portfolio Management
PG  - 126--134
VI  - 34
IP  - 2
4099  - https://pm-research.com/content/34/2/126.short
4100  - https://pm-research.com/content/34/2/126.full
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