Style and Skill: Hedge Funds, Mutual Funds, and Momentum

• 成果类型: Article
• 署名作者: Grinblatt, Mark; Jostova, Gergana; Petrasek, Lubomir; Philipov, Alexander
• 署名单位: University of California System; University of California Los Angeles; George Washington University; Federal Reserve System - USA; Federal Reserve System Board of Governors; George Mason University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3433
• 发表日期: 2020
• 关键词: HEDGE FUNDS; momentum and contrarian strategies; SMART MONEY; Portfolio performance; stock-picking skills

摘要

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers-the two thirds of hedge fund managers that are contrarian-earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types.