AQRs Momentum Funds (A) Case Solution

AQR is a hedge fund based in Greenwich, Connecticut, which intends to offer a new line of products for retail investors, ie, the ability to invest in the phenomenon known as dynamic pricing. There is a lot of empirical evidence to support dynamic in many asset classes and countries. However, until now, the momentum strategy was used almost exclusively by hedge funds, and thus is not available for most of the investment strategy of individual investors. This case highlights the difficulties? Practice this “itizing mutual fund”, a product of hedge funds as well as the challenges of mouth and regulatory characteristics of an investment fund is many effective strategies used? applied in other contexts. In addition, students are given the ability to calculate and interpret the different areas of the correlations between various popular investment strategies using time series data, and then think of a complementary strategies portfolio construction context
Daniel B. Bergstresser,
Lauren H. Cohen,
Randolph B. Cohen,
Christopher Malloy
Source: HBS Premier Case Collection
12 pages.
Release: September 23, 2010. Prod #: 211025-PDF-ENG
AQR Momentum Fund (A) Case Solution

AQRs Momentum Funds (A) Case Solution
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