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

47 Pages Posted: 8 Jan 2016 Last revised: 11 Jan 2020

See all articles by Mark Grinblatt

Mark Grinblatt

University of California, Los Angeles (UCLA) - Finance Area; Yale University - International Center for Finance; National Bureau of Economic Research (NBER)

Gergana Jostova

George Washington University - Department of Finance

Lubomir Petrasek

Federal Reserve Board

Alexander Philipov

George Mason University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: July 16, 2016

Abstract

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, while mutual fund strategies are largely trend following. The only institutional performers---the 2/3 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.

Keywords: Hedge funds, mutual funds, momentum, contrarian, anomalies, stock-picking skill

JEL Classification: G12, G14, G23

Suggested Citation

Grinblatt, Mark and Jostova, Gergana and Petrasek, Lubomir and Philipov, Alexander, Style and Skill: Hedge Funds, Mutual Funds, and Momentum (July 16, 2016). Available at SSRN: https://ssrn.com/abstract=2712050 or http://dx.doi.org/10.2139/ssrn.2712050

Mark Grinblatt

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825-1098 (Phone)
310-206-5455 (Fax)

Yale University - International Center for Finance

Box 208200
New Haven, CT 06520-8200
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
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Gergana Jostova

George Washington University - Department of Finance ( email )

2201 G St NW
Funger Hall, Suite 501
Washington, DC 20052
United States
202-994-7478 (Phone)

HOME PAGE: http://business.gwu.edu/gergana-jostova

Lubomir Petrasek

Federal Reserve Board ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Alexander Philipov (Contact Author)

George Mason University - Department of Finance ( email )

Fairfax, VA 22030
United States

HOME PAGE: http://mason.gmu.edu/~aphilipo

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