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

Management Science, Forthcoming

Posted: 29 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: January 10, 2016

Abstract

Classifying mandatory 13F stock-holding 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, Performance

JEL Classification: G11, G12, G14

Suggested Citation

Grinblatt, Mark and Jostova, Gergana and Petrasek, Lubomir and Philipov, Alexander, Style and Skill: Hedge Funds, Mutual Funds, and Momentum (January 10, 2016). Management Science, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3517028

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 (Contact Author)

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

George Mason University - Department of Finance ( email )

Fairfax, VA 22030
United States

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

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