This is a (B) case for AQR's Momentum Funds. It follows the first year of performance of the funds after launching, and …

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 …

opportunities for momentum (contrarian) traders. We form hypothetical zero investment portfolios of high (low) sentiment betas … stocks, and show that momentum profits decompose to reveal positive (negative) serial correlation of idiosyncratic returns …, that contribute to momentum (contrarian) profits. Furthermore, actual mutual funds identified as momentum (contrarian …

We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value …-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither … cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF momentum. Instead …