AQR's Momentum Funds

Posted: 10 Feb 2012

See all articles by Daniel Bergstresser

Daniel Bergstresser

Brandeis International Business School

Lauren Cohen

Harvard Business School; National Bureau of Economic Research (NBER)

Randolph B. Cohen

Harvard Business School - Finance Unit

Christopher J. Malloy

Harvard Business School; National Bureau of Economic Research (NBER)

Date Written: October 8, 2010

Abstract

AQR is a hedge fund based in Greenwich, Connecticut, that is considering offering a wholly new line of product to retail investors, namely the ability to invest in the price phenomenon known as momentum. There is a large body of empirical evidence supporting momentum across many different asset classes and countries. However, up until this point, momentum was a strategy employed nearly exclusively by hedge funds, and thus not an available investment strategy to most individual investors. This case highlights the difficulties in implementing this "mutual funditizing" of a hedge fund product, along with the challenges that the open-end and regulatory features that a mutual fund poses to many successful strategies implemented in other contexts. In addition, it gives students the ability to calculate and interpret various horizons of correlations between many popular investment strategies using long time-series data and then thinking about the potential complementarities of strategies from a portfolio construction context.

Suggested Citation

Bergstresser, Daniel B. and Cohen, Lauren and Cohen, Randolph B. and Malloy, Christopher J., AQR's Momentum Funds (October 8, 2010). Harvard Business School Finance Case No. 211-025. Available at SSRN: https://ssrn.com/abstract=2002045

Daniel B. Bergstresser (Contact Author)

Brandeis International Business School ( email )

Waltham, MA 02454
United States
6174162324 (Phone)

Lauren Cohen

Harvard Business School ( email )

Rock Center 321
Soldiers Field
Boston, MA 02163
United States

HOME PAGE: http://www.people.hbs.edu/lcohen

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Randolph B. Cohen

Harvard Business School - Finance Unit ( email )

Boston, MA 02163
United States
617-495-6674 (Phone)
617-496-6592 (Fax)

Christopher J. Malloy

Harvard Business School ( email )

Soldiers Field Road
Baker Library 277
Boston, MA 02163
United States
617-495-4383 (Phone)

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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