AQR’s Momentum Funds (A) Case Solution

This Case is about Finance

Publication Date: 09/23/2010

The hedge fund organization in the case is located in Greenwich, Connecticut, it is contemplating offering a completely new line of merchandise to retail investors, specifically the ability to put money into the cost occurrence called “impetus”. There’s a substantial body of empirical evidence supporting impetus across nations and many distinct asset categories. Yet, up until this stage, impetus was a strategy not much of an accessible investment strategy to most individual investors and used almost entirely by hedge funds. This case emphasizes the problems in executing this mutual fund-itizing of a hedge fund product, together with the challenges the open-end and regulatory characteristics a mutual fund presents to many successful strategies implemented in other circumstances. Additionally, it gives pupils the ability to compute and interpret various horizons of correlation coefficients between many popular investment strategies using long time-series data and considering the possibility complementarities of strategies from a portfolio building circumstance

AQR’s Momentum Funds (A) Case Solution
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