Source for U S Stock Returns and U S Treasury Bill Rates Kenneth R French Data Library (http mba tuck dartmouth edu pages faculty ken french data library html) For defintions of Fama French Factors (Mkt RF, SMB, HML), see http mba tuck dartmouth edu pages faculty ken french Data Library f f factors html For definitions of UMD and bottom (m1) and top (m10) momentum deciles, see http mba tuck dartmouth edu pages faculty ken french Data Library det mom factor html and http mba tuck dartmouth edu pages faculty ken french Data Library det 10 port form pr 12 2 html date Mkt RF SMB HML RF Momentum (UMD) m1 (bottom decile) m10 (top decile) m1 RF m10 RF mom 10 minus 1 1927 29 47 2 5 3 67 3 12 23 51 14 73 67 13 11 61 64 01 52 4 1928 35 39 4 2 6 15 3 56 28 06 17 44 88 43 13 88 84 87 70 99 1929 19 54 30 79 11 83 4 75 20 63 58 7 30 51 63 45 35 26 28 19 1930 31 23 5 13 12 28 2 41 25 58 54 99 20 98 57 4 23 39 34 01 1931 45 11 3 53 14 29 1 07 23 99 64 73 22 13 65 8 23 2 42 6 1932 9 39 4 68 10 16 0 96 21 08 4 91 23 19 3 95 24 15 28 1 1933 57 05 48 94 28 27 0 3 19 74 55 32 50 87 55 02 50 57 4 45 1934 3 02 25 45 27 37 0 16 17 31 7 03 16 78 7 19 16 62 23 81 1935 44 96 6 76 14 73 0 17 21 33 25 36 73 65 25 19 73 48 48 29 1936 32 07 17 87 35 86 0 18 5 89 32 07 45 31 89 44 82 12 93 1937 34 96 14 3 97 0 31 4 36 46 29 45 85 46 6 46 16 0 44 1938 28 48 9 35 12 18 0 02 1 69 32 5 25 23 32 52 25 25 7 27 1939 2 7 5 85 19 17 0 02 0 88 11 22 0 14 11 24 0 16 11 08 1940 7 14 0 76 0 85 0 5 99 15 67 3 34 15 67 3 34 12 33 1941 10 53 4 04 11 13 0 06 9 14 28 58 9 28 64 9 06 19 58 1942 16 2 5 05 19 87 0 27 15 54 38 76 18 67 38 49 18 4 20 09 1943 27 96 33 35 38 97 0 35 14 24 37 24 51 83 36 89 51 48 14 59 1944 20 97 17 98 15 64 0 33 10 75 21 67 33 38 21 34 33 05 11 71 1945 38 38 25 59 11 4 0 33 15 38 42 15 75 25 41 82 74 92 33 1 1946 6 73 3 78 2 98 0 35 5 34 16 54 3 8 16 89 4 15 12 74 1947 2 95 7 08 9 76 0 5 13 85 13 15 5 03 13 65 4 53 18 18 1948 1 07 9 14 3 52 0 81 11 86 14 33 8 52 15 14 7 71 22 85 1949 19 12 3 93 4 55 1 1 0 35 30 5 27 4 29 4 26 3 3 1 1950 28 82 0 93 27 01 1 2 15 38 17 46 34 98 16 26 33 78 17 52 1951 19 22 5 1 5 62 1 49 11 63 13 37 21 04 11 88 19 55 7 67 1952 11 8 7 02 4 05 1 66 9 01 3 17 18 4 1 51 16 74 15 23 1953 1 05 0 8 8 7 1 82 16 32 19 72 0 68 21 54 2 5 19 04 1954 49 35 2 46 25 74 0 86 10 34 48 65 65 31 47 79 64 45 16 66 1955 23 75 6 76 5 71 1 57 14 05 13 88 39 07 12 31 37 5 25 19 1956 5 9 1 38 1 07 2 46 19 04 6 11 12 48 8 57 10 02 18 59 1957 13 16 2 76 6 42 3 14 9 9 25 44 1 81 28 58 4 95 23 63 1958 43 45 14 78 13 14 1 54 9 56 71 77 53 01 70 23 51 47 18 76 1959 9 76 5 59 1 51 2 95 19 23 2 06 35 21 5 01 32 26 37 27 1960 1 46 2 69 4 67 2 66 17 21 13 43 17 67 16 09 15 01 31 1 1961 24 81 0 07 7 11 2 13 10 75 33 64 30 29 31 51 28 16 3 35 1962 12 9 8 62 9 29 2 73 11 96 20 14 9 59 22 87 12 32 10 55 1963 17 84 5 82 15 47 3 12 11 67 6 85 28 95 3 73 25 83 22 1 1964 12 54 1 08 10 09 3 54 4 7 8 79 20 64 5 25 17 1 11 85 1965 10 52 21 68 7 53 3 93 20 55 22 24 51 6 18 31 47 67 29 36 1966 13 51 2 68 0 86 4 76 10 47 15 44 5 39 20 2 0 63 20 83 1967 24 49 51 09 8 92 4 21 22 49 36 65 66 12 32 44 61 91 29 47 1968 8 79 24 52 18 56 5 21 2 24 20 29 32 67 15 08 27 46 12 38 1969 17 54 13 97 9 86 6 58 9 86 35 66 5 92 42 24 12 5 29 74 1970 6 49 11 68 22 46 6 52 3 22 20 59 8 96 27 11 15 48 11 63 1971 11 78 5 73 11 18 4 39 3 54 11 75 28 56 7 36 24 17 16 81 1972 13 05 11 94 1 79 3 84 15 55 4 6 30 57 8 44 26 73 35 17 1973 26 24 23 5 18 19 6 93 29 27 53 22 3 42 60 15 10 35 49 8 1974 35 74 0 62 10 03 8 8 31 39 18 31 25 47 18 39 25 7 93 1975 32 45 15 52 8 87 5 8 18 8 55 38 41 01 49 58 35 21 14 37 1976 21 89 14 61 24 77 5 08 7 43 18 08 34 6 13 29 52 16 52 1977 8 27 22 95 7 48 5 12 17 87 17 68 15 24 22 8 10 12 32 92 1978 1 03 14 35 0 52 7 18 12 05 0 76 30 26 7 94 23 08 31 02 1979 13 08 21 62 1 52 10 38 27 02 16 95 58 24 6 57 47 86 41 29 1980 22 12 5 53 25 17 11 24 37 13 29 8 53 74 18 56 42 5 23 94 1981 18 13 7 31 25 17 14 71 8 32 0 65 14 09 15 36 28 8 13 44 1982 10 66 8 94 13 62 10 54 34 67 11 2 35 29 21 74 24 75 46 49 1983 13 75 13 74 20 59 8 8 9 9 34 17 16 35 25 37 7 55 17 82 1984 6 06 8 15 19 31 9 85 9 16 20 47 3 75 30 32 13 6 16 72 1985 24 91 0 27 1 1 7 72 14 83 10 62 36 27 2 9 28 55 25 65 1986 10 12 9 78 9 25 6 16 8 37 2 21 18 86 8 37 12 7 21 07 1987 3 87 11 05 1 53 5 47 3 71 8 4 10 51 13 87 5 04 18 91 1988 11 55 5 95 14 91 6 35 5 46 17 99 12 6 11 64 6 25 5 39 1989 20 49 12 58 4 42 8 37 28 9 82 40 84 18 19 32 47 50 66 1990 13 95 14 21 9 63 7 81 17 64 41 61 6 85 49 42 14 66 34 76 1991 29 17 16 07 14 63 5 6 14 57 26 60 27 20 4 54 67 34 27 1992 6 23 7 59 24 29 3 51 3 15 7 43 19 15 3 92 15 64 11 72 1993 8 21 5 86 19 02 2 9 23 77 0 81 35 39 2 09 32 49 34 58 1994 4 11 1 49 0 81 3 9 3 24 3 4 0 14 7 3 4 04 3 26 1995 31 21 7 8 1 51 5 6 17 75 17 81 35 33 12 21 29 73 17 52 1996 15 97 2 35 3 21 5 21 6 64 14 59 18 1 9 38 12 89 3 51 1997 25 97 5 2 13 11 5 26 11 85 5 26 32 93 0 27 67 27 67 1998 19 46 24 91 10 24 4 86 23 38 0 54 54 61 4 32 49 75 54 07 1999 20 56 15 18 33 96 4 68 34 61 13 03 63 02 8 35 58 34 49 99 2000 17 59 1 58 39 39 5 89 15 01 47 49 21 93 53 38 27 82 25 56 2001 15 2 18 59 18 66 3 83 4 77 17 27 7 46 21 1 11 29 9 81 2002 22 76 3 58 10 5 1 65 25 68 36 65 10 98 38 3 12 63 25 67 2003 30 75 27 69 5 19 1 02 24 53 79 94 41 32 78 92 40 3 38 62 2004 10 72 5 12 9 9 1 2 0 39 22 73 9 11 21 53 7 91 13 62 2005 3 09 2 14 9 21 2 98 14 87 2 19 19 13 0 79 16 15 16 94 2006 10 6 0 25 14 48 4 8 7 66 22 54 4 08 17 74 0 72 18 46 2007 1 04 8 17 12 23 4 66 21 56 18 83 24 58 23 49 19 92 43 41 2008 38 34 3 85 0 88 1 6 13 26 69 25 39 68 70 85 41 28 29 57 2009 28 26 8 53 5 7 0 1 83 02 131 45 12 33 131 35 12 23 119 12 2010 17 37 13 67 3 06 0 12 6 07 23 99 32 23 87 31 88 8 01 2011 0 44 6 08 6 46 0 04 7 34 28 75 7 83 28 79 7 87 20 92 2012 16 28 0 34 8 02 0 06 1 22 15 17 79 14 94 17 73 2 79 2013 35 19 7 94 0 1 0 02 8 63 45 48 43 17 45 46 43 15 2 31 2014 11 7 7 98 3 29 0 02 1 54 2 68 14 21 2 66 14 19 11 53 Should AQR launch momentum mutual funds to retail investors In your answer, clearly discuss at least one pro and one con to AQR offering momentum mutual funds and then discuss what your team would ultimately decide

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Source for U.S. Stock Returns and U.S. Treasury Bill Rates: Kenneth R. French Data Library (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) For defintions of Fama-French Factors (Mkt_RF, SMB, & HML),

Source for U.S. Stock Returns and U.S. Treasury Bill Rates: Kenneth R. French Data Library (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html)
For defintions of Fama-French Factors (Mkt_RF, SMB, & HML), see: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_factors.html
For definitions of UMD and bottom (m1) and top (m10) momentum deciles, see:
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_mom_factor.html and http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_10_port_form_pr_12_2.html

date	Mkt_RF	SMB	HML	RF	Momentum (UMD)	m1 (bottom decile)	m10 (top decile)	m1_RF	m10_RF	mom_10_minus_1
1927	29.47	-2.5	-3.67	3.12	23.51	14.73	67.13	11.61	64.01	52.4
1928	35.39	4.2	-6.15	3.56	28.06	17.44	88.43	13.88	84.87	70.99
1929	-19.54	-30.79	11.83	4.75	20.63	-58.7	-30.51	-63.45	-35.26	28.19
1930	-31.23	-5.13	-12.28	2.41	25.58	-54.99	-20.98	-57.4	-23.39	34.01
1931	-45.11	3.53	-14.29	1.07	23.99	-64.73	-22.13	-65.8	-23.2	42.6
1932	-9.39	4.68	10.16	0.96	-21.08	4.91	-23.19	3.95	-24.15	-28.1
1933	57.05	48.94	28.27	0.3	19.74	55.32	50.87	55.02	50.57	-4.45
1934	3.02	25.45	-27.37	0.16	17.31	-7.03	16.78	-7.19	16.62	23.81
1935	44.96	6.76	14.73	0.17	21.33	25.36	73.65	25.19	73.48	48.29
1936	32.07	17.87	35.86	0.18	5.89	32.07	45	31.89	44.82	12.93
1937	-34.96	-14	-3.97	0.31	-4.36	-46.29	-45.85	-46.6	-46.16	0.44
1938	28.48	9.35	-12.18	-0.02	-1.69	32.5	25.23	32.52	25.25	-7.27
1939	2.7	5.85	-19.17	0.02	0.88	-11.22	-0.14	-11.24	-0.16	11.08
1940	-7.14	0.76	-0.85	0	5.99	-15.67	-3.34	-15.67	-3.34	12.33
1941	-10.53	-4.04	11.13	0.06	9.14	-28.58	-9	-28.64	-9.06	19.58
1942	16.2	5.05	19.87	0.27	-15.54	38.76	18.67	38.49	18.4	-20.09
1943	27.96	33.35	38.97	0.35	14.24	37.24	51.83	36.89	51.48	14.59
1944	20.97	17.98	15.64	0.33	10.75	21.67	33.38	21.34	33.05	11.71
1945	38.38	25.59	11.4	0.33	15.38	42.15	75.25	41.82	74.92	33.1
1946	-6.73	-3.78	2.98	0.35	5.34	-16.54	-3.8	-16.89	-4.15	12.74
1947	2.95	-7.08	9.76	0.5	13.85	-13.15	5.03	-13.65	4.53	18.18
1948	1.07	-9.14	3.52	0.81	11.86	-14.33	8.52	-15.14	7.71	22.85
1949	19.12	3.93	-4.55	1.1	0.35	30.5	27.4	29.4	26.3	-3.1
1950	28.82	0.93	27.01	1.2	15.38	17.46	34.98	16.26	33.78	17.52
1951	19.22	-5.1	-5.62	1.49	11.63	13.37	21.04	11.88	19.55	7.67
1952	11.8	-7.02	4.05	1.66	9.01	3.17	18.4	1.51	16.74	15.23
1953	-1.05	-0.8	-8.7	1.82	16.32	-19.72	-0.68	-21.54	-2.5	19.04
1954	49.35	-2.46	25.74	0.86	10.34	48.65	65.31	47.79	64.45	16.66
1955	23.75	-6.76	5.71	1.57	14.05	13.88	39.07	12.31	37.5	25.19
1956	5.9	-1.38	-1.07	2.46	19.04	-6.11	12.48	-8.57	10.02	18.59
1957	-13.16	-2.76	-6.42	3.14	9.9	-25.44	-1.81	-28.58	-4.95	23.63
1958	43.45	14.78	13.14	1.54	-9.56	71.77	53.01	70.23	51.47	-18.76
1959	9.76	5.59	1.51	2.95	19.23	-2.06	35.21	-5.01	32.26	37.27
1960	-1.46	-2.69	-4.67	2.66	17.21	-13.43	17.67	-16.09	15.01	31.1
1961	24.81	0.07	7.11	2.13	10.75	33.64	30.29	31.51	28.16	-3.35
1962	-12.9	-8.62	9.29	2.73	11.96	-20.14	-9.59	-22.87	-12.32	10.55
1963	17.84	-5.82	15.47	3.12	11.67	6.85	28.95	3.73	25.83	22.1
1964	12.54	-1.08	10.09	3.54	4.7	8.79	20.64	5.25	17.1	11.85
1965	10.52	21.68	7.53	3.93	20.55	22.24	51.6	18.31	47.67	29.36
1966	-13.51	2.68	-0.86	4.76	10.47	-15.44	5.39	-20.2	0.63	20.83
1967	24.49	51.09	-8.92	4.21	22.49	36.65	66.12	32.44	61.91	29.47
1968	8.79	24.52	18.56	5.21	2.24	20.29	32.67	15.08	27.46	12.38
1969	-17.54	-13.97	-9.86	6.58	9.86	-35.66	-5.92	-42.24	-12.5	29.74
1970	-6.49	-11.68	22.46	6.52	-3.22	-20.59	-8.96	-27.11	-15.48	11.63
1971	11.78	5.73	-11.18	4.39	3.54	11.75	28.56	7.36	24.17	16.81
1972	13.05	-11.94	1.79	3.84	15.55	-4.6	30.57	-8.44	26.73	35.17
1973	-26.24	-23.5	18.19	6.93	29.27	-53.22	-3.42	-60.15	-10.35	49.8
1974	-35.74	-0.62	10.03	8	8.31	-39.18	-31.25	-47.18	-39.25	7.93
1975	32.45	15.52	8.87	5.8	-18.8	55.38	41.01	49.58	35.21	-14.37
1976	21.89	14.61	24.77	5.08	7.43	18.08	34.6	13	29.52	16.52
1977	-8.27	22.95	7.48	5.12	17.87	-17.68	15.24	-22.8	10.12	32.92
1978	1.03	14.35	0.52	7.18	12.05	-0.76	30.26	-7.94	23.08	31.02
1979	13.08	21.62	-1.52	10.38	27.02	16.95	58.24	6.57	47.86	41.29
1980	22.12	5.53	-25.17	11.24	37.13	29.8	53.74	18.56	42.5	23.94
1981	-18.13	7.31	25.17	14.71	-8.32	-0.65	-14.09	-15.36	-28.8	-13.44
1982	10.66	8.94	13.62	10.54	34.67	-11.2	35.29	-21.74	24.75	46.49
1983	13.75	13.74	20.59	8.8	-9.9	34.17	16.35	25.37	7.55	-17.82
1984	-6.06	-8.15	19.31	9.85	9.16	-20.47	-3.75	-30.32	-13.6	16.72
1985	24.91	0.27	1.1	7.72	14.83	10.62	36.27	2.9	28.55	25.65
1986	10.12	-9.78	9.25	6.16	8.37	-2.21	18.86	-8.37	12.7	21.07
1987	-3.87	-11.05	-1.53	5.47	-3.71	-8.4	10.51	-13.87	5.04	18.91
1988	11.55	5.95	14.91	6.35	-5.46	17.99	12.6	11.64	6.25	-5.39
1989	20.49	-12.58	-4.42	8.37	28	-9.82	40.84	-18.19	32.47	50.66
1990	-13.95	-14.21	-9.63	7.81	17.64	-41.61	-6.85	-49.42	-14.66	34.76
1991	29.17	16.07	-14.63	5.6	14.57	26	60.27	20.4	54.67	34.27
1992	6.23	7.59	24.29	3.51	3.15	7.43	19.15	3.92	15.64	11.72
1993	8.21	5.86	19.02	2.9	23.77	0.81	35.39	-2.09	32.49	34.58
1994	-4.11	-1.49	-0.81	3.9	3.24	-3.4	-0.14	-7.3	-4.04	3.26
1995	31.21	-7.8	1.51	5.6	17.75	17.81	35.33	12.21	29.73	17.52
1996	15.97	-2.35	3.21	5.21	6.64	14.59	18.1	9.38	12.89	3.51
1997	25.97	-5.2	13.11	5.26	11.85	5.26	32.93	0	27.67	27.67
1998	19.46	-24.91	-10.24	4.86	23.38	0.54	54.61	-4.32	49.75	54.07
1999	20.56	15.18	-33.96	4.68	34.61	13.03	63.02	8.35	58.34	49.99
2000	-17.59	-1.58	39.39	5.89	15.01	-47.49	-21.93	-53.38	-27.82	25.56
2001	-15.2	18.59	18.66	3.83	4.77	-17.27	-7.46	-21.1	-11.29	9.81
2002	-22.76	3.58	10.5	1.65	25.68	-36.65	-10.98	-38.3	-12.63	25.67
2003	30.75	27.69	5.19	1.02	-24.53	79.94	41.32	78.92	40.3	-38.62
2004	10.72	5.12	9.9	1.2	-0.39	22.73	9.11	21.53	7.91	-13.62
2005	3.09	-2.14	9.21	2.98	14.87	2.19	19.13	-0.79	16.15	16.94
2006	10.6	0.25	14.48	4.8	-7.66	22.54	4.08	17.74	-0.72	-18.46
2007	1.04	-8.17	-12.23	4.66	21.56	-18.83	24.58	-23.49	19.92	43.41
2008	-38.34	3.85	0.88	1.6	13.26	-69.25	-39.68	-70.85	-41.28	29.57
2009	28.26	8.53	-5.7	0.1	-83.02	131.45	12.33	131.35	12.23	-119.12
2010	17.37	13.67	-3.06	0.12	6.07	23.99	32	23.87	31.88	8.01
2011	0.44	-6.08	-6.46	0.04	7.34	-28.75	-7.83	-28.79	-7.87	20.92
2012	16.28	0.34	8.02	0.06	1.22	15	17.79	14.94	17.73	2.79
2013	35.19	7.94	0.1	0.02	8.63	45.48	43.17	45.46	43.15	-2.31
2014	11.7	-7.98	-3.29	0.02	1.54	2.68	14.21	2.66	14.19	11.53

Should AQR launch momentum mutual funds to retail investors? In your answer, clearly discuss at least one pro and one con to AQR offering momentum mutual funds and then discuss what your team would ultimately decide.