Factor/Style Investing

AQR Momentum Indices, Monthly

March 31, 2024

Topics - Factor/Style Investing Momentum

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AQR Momentum Indices, Monthly

Momentum is an investment style that has been studied extensively by academics for many years. The evidence for momentum is pervasive and supported by almost two decades of academic and practitioner research. Studies have documented momentum in the U.S. as far back as the Victorian age. The evidence also shows that momentum works broadly across asset classes, including foreign stocks, bonds, commodities, currencies, index futures, and global country selection. AQR has developed methodologies for U.S. and international markets that capture momentum in an intuitive and transparent way. The methodology can be applied to any universe of stocks. At present, AQR has created momentum indices for three distinct markets:

  • The AQR Momentum Index (Large-Cap and Mid-Cap U.S. Equities)
  • The AQR Small Cap Momentum Index (Small-Cap U.S. Equities)
  • The AQR International Momentum Index (Non-U.S. Equities)

Each of the indices is constructed using a simple and transparent methodology that captures the essence of the momentum effect:

  • The investment universe is screened based on market capitalization, liquidity and other considerations.
  • The stocks in the investment universe are ranked by their total return over the prior twelve months, excluding the last month.
  • The top 33% of stocks with the highest rank are included, and weighted based on their market capitalization.
  • The index is reconstituted quarterly.

 

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AQR Momentum Index, AQR Small Cap Momentum Index, and AQR International Momentum Index are the exclusive property of AQR Capital Management, LLC ("AQR"), which has contracted with Standard & Poor’s Financial Services LLC ("S&P") to maintain and calculate the Indices. Standard & Poor’s® and S&P® are registered trademarks of S&P. "Calculated by S&P Custom Indices" and its related stylized mark(s) are service marks of S&P and have been licensed for use by AQR. S&P and its affiliates shall have no liability for any errors or omissions in calculating the Index.

 

You cannot invest directly in the AQR Momentum Indices (the "Indices"). Index performance does not represent actual fund or portfolio performance. A fund or portfolio may differ significantly from the securities included in the Indices. Index performance assumes reinvestment of dividends, but does not reflect any management fees, transaction costs or other expenses that would be incurred by a portfolio or fund, or brokerage commissions on transactions in fund shares. Such fees, expenses and commissions would reduce returns.

 

AQR, its affiliates and their independent providers are not liable for any informational errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein. AQR reserves the right at any time and without notice, to change, amend or cease publication of the Indices. AQR assumes no responsibility for the accuracy or completeness of the above data and disclaims all express or implied warranties in connection therewith.

 

Copyright © AQR Capital Management, LLC. This material is proprietary and may not be reproduced, transferred or distributed in any form without prior written permission from AQR.

 

The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.

 

This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. Past performance is not a guarantee of future results.