AQR Capital Management has launched the AQR Momentum Indices, a new set of indices that capture the returns of stocks that have positive ‘momentum.’ The three indices are: AQR Momentum Index, AQR Small Cap Momentum Index, and AQR International Momentum Index. A stock has positive momentum, if it has outperformed its peers on a relative basis over the recent past.
In conjunction, AQR has also introduced a set of three no-load mutual funds based on these indices: the AQR Momentum Fund, AQR Small Cap Momentum Fund, and AQR International Momentum Fund.
As per the company the new AQR Momentum Indices provide a simple and transparent way of capturing the momentum effect. The indices, which are rebalanced quarterly, are formed by including those stocks that rank in the top third of their relevant universe based on momentum over the prior twelve months.
David Kabiller, CFA, Founding Principal and Head of Client Strategies at AQR, said: AQR is introducing the Momentum mutual funds as a cost-effective way to access this approach. The launch of these new funds furthers our efforts to provide clients with innovative ways to gain diversification for their portfolios. What makes momentum such an attractive strategy is that it combines two desirable qualities: momentum tends to do well when value is out of favour, yet unlike growth its long-run returns have out-performed broad market averages.”
