摘要：Based on a sample of the US equity funds,this paper investigates the performance of both follow-the-leader (momentum) and follow-the-loser (contrarian) trading strategies.We find that similar fund styles tend to be the biggest winners and the biggest losers,and that the follow-the-leader strategy outperforms the follow-the-loser strategy.However,the follow-the-loser strategy beats both the market and the follow-the-leader strategy in major down markets.Using a piecewise linear regression,we also document a relationship between the market and our two trading strategies.Our study suggests that behavioral factors play an important role for funds with extreme performance.
关键词：Based on a sample of the US equity funds,this paper investigates the performance of both follow-the-leader (momentum) and follow-the-loser (contrarian) trading strategies.We find that similar fund styles tend to be the biggest winners and the biggest losers,and that the follow-the-leader strategy outperforms the follow-the-loser strategy.However,the follow-the-loser strategy beats both the market and the follow-the-leader strategy in major down markets.Using a piecewise linear regression,we also document a relationship between the market and our two trading strategies.Our study suggests that behavioral factors play an important role for funds with extreme performance.
