The strategy of simply holding stocks of high momentum, high trailing returns, is amazing for the amount of support that it has gotten from normally skeptical academics. But in practice there have been flies in the ointment. Unhedged pure momentum didn't help at all with the 2007--2008 Lehman...

This is a (B) case for AQR's Momentum Funds. It follows the first year of performance of the funds after launching, and gives students a critical inflection point for analyzing the nascent stages of a new product launch and the potential path dependence of the product depending on initial...

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...

The importance of asset allocation decisions in wealth management is well established. However, given its importance it is perhaps surprising that so little attention has been paid to the question of whether professional fund managers are skillful at timing market movement across asset classes...