Style and Skill: Hedge Funds, Mutual Funds, and Momentum
通过分析13F持股数据，发现对冲基金多采用反向策略，共同基金多采用趋势跟踪策略；反向对冲基金经理每年获得2.4%的阿尔法收益，其业绩源于选股能力而非流动性提供。
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. This paper was accepted by Tyler Shumway, finance.