AQRs Momentum Funds (A) Harvard Case Solution & Analysis

AQR is a hedge fund based in Greenwich, Connecticut, which is considering a completely new line of products for retail investors, namely the opportunity to invest in the price of a phenomenon known as momentum. There is plenty of empirical evidence to support the momentum in many different asset classes and countries. However, up to this point, the momentum strategy was used almost exclusively hedge funds, and are therefore not available investment strategies for most individual investors.

aqr momentum funds case solution

aqr momentum funds case solution

This case highlights the difficulties in the implementation of the "mutual fund, itizing" product hedge fund, along with the problems that are open and standard features that a mutual fund is to many successful strategies in other contexts. In addition, it gives students the ability to calculate and interpret the different levels of correlation between many popular investment strategies with the help of long time series data, and then think about the possible complementary strategies, from the context of portfolio construction "Hide
by Daniel B. Bergstresser, Lauren H. Cohen, Randolph B. Cohen, Christopher Malloy Source: HBS Premier Case Collection 12 pages. Publication Date: September 23, 2010. Prod. #: 211025-PDF-ENG

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