AQR’s Momentum Funds (A) Harvard Case Solution & Analysis

AQR, the company that this case talks about, operates in Greenwich, a city in the state of Conneticut. It is contemplating offering a wholly new line of merchandise to retail investors, specifically the ability to invest in the price phenomenon known as impetus. There's a large body of empirical evidence supporting impetus across nations and many distinct asset classes. Yet, up until this stage, impetus was a strategy applied nearly exclusively by hedge funds, and thus not an available investment strategy to most individual investors.

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This case emphasizes the issues in executing this mutual fund-itizing of a hedge fund product, along with the challenges that the open-end and regulatory characteristics a mutual fund poses to many successful strategies implemented in other contexts. Furthermore, it gives pupils the ability to calculate and interpret various horizons of correlation coefficients between many popular investment strategies using long time-series data and then thinking about the potential complementarities of strategies from a portfolio-building context

Publication Date: 09/23/2010

This is just an excerpt. This case is about Finance

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