International Momentum Fund

The following is a list of selected research papers published by personnel affiliated with AQR Capital Management on the topic of momentum:

 

Arnott, Robert D. and Cliff Asness, Surprise!  Higher Dividends = Higher Earnings Growth, Financial Analysts Journal, 2003, AIMR Graham and Dodd Award.

Asness, Cliff, The Power of Past Stock Returns to Explain Future Stock Returns, Goldman Sachs Asset Management, 1995.

Asness, Cliff, The Interaction Between Value and Momentum Strategies, Financial Analysts Journal, March/April, 1997.

Asness, Cliff, John Liew and Ross Stevens, Parallels Between the Cross-Sectional Predictability of Stock and Country Returns, Journal of Portfolio Management, 1997.

Asness, Cliff, R. Burt Porter and Ross Stevens, Predicting Stock Returns Using Industry-Relative Firm Characteristics, On Review with the Journal of Finance, 2000.

Asness, Cliff, Tobias Moskowitz and Lasse Pedersen, Value and Momentum Everywhere, working paper, 2008.  

Carhart, Mark, Robert Krail, Ross Stevens and Kelly Welch, Testing the Conditional CAPM, University of Chicago working paper, 1996.

Frazzini, Andrea, The Disposition Effect and Under-Reaction to News, Journal of Finance, 2006. Winner of First Prize, Chicago Quantitative Alliance Academic Paper Competition 2004, Winner of First Prize, PanAgora Asset Management Crowell Memorial Prize Competition 2004-5

Frazzini, Andrea, and Lauren Cohen, Economic Links and Predictable Returns, Journal of Finance, 2008. Smith Breeden Distinguished paper prize 2008, Winner of First Prize, Chicago Quantitative Alliance Academic Paper Competition 2006 

Gamboa-Cavazos, Mario, and Pavel G. Savor, Holding on to Your Shorts: When do Short Sellers Retreat, Harvard University working paper, 2005.  

Greenwood, Robin M., Nathan Sosner, Trading Patterns and Excess Comovement of Stock Returns, Financial Analysts Journal, 2007. 

Grinblatt, Mark and Tobias Moskowitz,  Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax-Loss Selling, Journal of Financial Economics, 2004.

Krail, Robert, Global Momentum Strategies, University of Chicago working paper, 1996.

Moskowitz, Tobias and Mark Grinblatt,  Do Industries Explain Momentum?  Journal of Finance, 1999.

Moskowitz, Tobias, An Analysis of Covariance Risk and Pricing Anomalies, Review of Financial Studies, 2003.

Pedersen, Lasse and Nicolae Garleanu,  Dynamic Trading with Predictable Returns and Transactions Costs, working paper, 2008.    

 

The opinions and views expressed in the above research papers and/or articles do not necessarily reflect those of ALPS Distributors, Inc. and are subject to change at any time based on market and other conditions. These views may not be relied on as investment advice. Additionally, any references to specific company securities should not be construed as a recommendation or investment advice. Cliff Asness is a registered representative of ALPS Distributors Inc.


Momentum Funds. Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer.

International Momentum Fund. Foreign investing involves special risks such as currency fluctuations and political uncertainty.


All AQR Funds. An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.

An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.