Case Study Analysis and Solutions

Case ID: 211025

Abstract:
Case Solution & Analysis for AQR's Momentum Funds (A) by Daniel B. Bergstresser, Lauren H. Cohen, Randolph B. Cohen, Christopher Malloy
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 investment strategy available 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 pose 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 to think about the potential complementarities of strategies in a portfolio construction context.

Keywords:
Finance, Growth, Institutional investments, Investment management, Investments, Product development, AQR's Momentum Funds (A) Case Solution

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