This study investigates survival of the momentum effects in S&P Global 1200 Sector index returns which are underlying indices for iShares, by employing a methodology which allows analyzing the momentum effect without being dependant on zero-investment portfolios. We design a trading strategy...

In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be...