DC Field | Value | Language |
---|---|---|
dc.contributor.author | Mulvey, JM | ko |
dc.contributor.author | Kim, Woo Chang | ko |
dc.date.accessioned | 2013-03-06T19:57:22Z | - |
dc.date.available | 2013-03-06T19:57:22Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2008 | - |
dc.identifier.citation | JOURNAL OF PORTFOLIO MANAGEMENT, v.34, no.2, pp.126 - 126 | - |
dc.identifier.issn | 0095-4918 | - |
dc.identifier.uri | http://hdl.handle.net/10203/88246 | - |
dc.description.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. | - |
dc.language | English | - |
dc.publisher | INST INVESTOR INC | - |
dc.subject | PERFORMANCE | - |
dc.title | Active equity managers in the US: Do the best follow momentum strategies? | - |
dc.type | Article | - |
dc.identifier.wosid | 000252927700011 | - |
dc.identifier.scopusid | 2-s2.0-39849087306 | - |
dc.type.rims | ART | - |
dc.citation.volume | 34 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 126 | - |
dc.citation.endingpage | 126 | - |
dc.citation.publicationname | JOURNAL OF PORTFOLIO MANAGEMENT | - |
dc.identifier.doi | 10.3905/jpm.2008.701623 | - |
dc.contributor.localauthor | Kim, Woo Chang | - |
dc.contributor.nonIdAuthor | Mulvey, JM | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | PERFORMANCE | - |
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