Case Study-QA191

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Sloan School of Management: Massachusetts Institute of Technology
 

Read the HBS case, \AQR’s Momentum Funds,” which is available from Study Net.
Your write-up should be in the form of a memo to the Management Team of the company. It should be no more than four pages (double space), not including appendices. In your memo, you should address the following questions.
 
1. Do you believe the Fama-French momentum (UMD/MOM) factor will have returns over the next decade that are significantly greater than zero, significantly less than zero, or approximately equal to zero? Use the historic data to do your analysis and to justify your conclusion.
 
2. Compare the UMD factor to other specification for momentum. Specially, use the Spreadsheet Supplement for the case to create
 
(a) Docile spread portfolios = [10-1]
(b) Quintile spread portfolios = [(10+9)-(1+2)]
(c) UMD spread portfolios (given in the Spreadsheet Supplement)
(d) Median spread portfolios = [(10+…+6)-(1+…+5)]
Compute the average returns for each four of these momentum portfolios for every decade (1920s, 1930s, etc). Do these results a_ect your answer to the previous question?
 

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3. What are the appropriate benchmarks for AQR’s momentum funds? Will the net performance of the funds exceed those benchmarks? Why or why not?
 
4. The advantageous correlation structure in Exhibit 5 was seen as a key selling point of momentum. Is this the right way to think about AQR’s momentum funds? If not, use the data in the Spreadsheet Supplement to construct a more informative set of correlations. Does anything in AQR’s story change?
 
5. Does momentum make an attractive product for retail mutual fund investors? Explain your reasons.
 
6. Should AQR launch its momentum funds.Explain your reasons.
Please show your analysis and provide adequate explanation, including any additional assumptions made. Supporting material can be included as appendices to your memo.
 
Product code: Case Study-QA191
 
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