- ISIN
- US00203H6027
- CUSIP
- 00203H602
- Issuer
- AQR Funds
- Inception Date
- Jan 15, 2009
- Category
- Multistrategy
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
Share Price Chart
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Performance
ADAIX Performance Chart
AQR Diversified Arbitrage Fund Class I (ADAIX) is up 3.0% since the beginning of the year. ADAIX is currently trading at $13 per share. Investors who bought $1,000 worth of ADAIX shares 5 years ago would now be looking at an investment worth $1,154.
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Returns By Period
AQR Diversified Arbitrage Fund Class I (ADAIX) has returned 3.04% so far this year and 6.23% over the past 12 months. Over the last ten years, ADAIX has returned 6.89% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
AQR Diversified Arbitrage Fund Class I
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 3.04%
- 6M
- 3.04%
- 1Y
- 6.23%
- 3Y*
- 5.98%
- 5Y*
- 2.91%
- 10Y*
- 6.89%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
ADAIX Monthly Returns History
Based on dividend-adjusted daily data since Jan 15, 2009, ADAIX's average daily return is +0.02%, while the average monthly return is +0.37%. At this rate, an investment would double in approximately 15.6 years.
Historically, 67% of months were positive and 33% were negative. The best month was Dec 2020 with a return of +7.5%, while the worst month was Mar 2020 at -8.1%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 9 months.
On a daily basis, ADAIX closed higher 41% of trading days. The best single day was Mar 19, 2020 with a return of +2.2%, while the worst single day was Mar 16, 2020 at -5.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.78% | -0.08% | 0.23% | 1.31% | 0.69% | 0.08% | 3.04% | ||||||
| 2025 | 0.58% | 1.31% | 0.57% | 0.81% | 0.72% | 0.48% | 0.71% | 0.47% | 0.31% | 1.09% | 0.38% | 0.33% | 8.03% |
| 2024 | -0.34% | 0.25% | 1.18% | -0.75% | 0.34% | 0.50% | 1.41% | 0.98% | 0.24% | -0.73% | -0.49% | 0.57% | 3.19% |
| 2023 | 1.03% | 0.08% | -0.17% | -0.17% | -1.02% | 1.46% | 0.93% | 0.50% | 0.25% | -1.25% | 1.43% | 1.39% | 4.51% |
| 2022 | -1.40% | 0.08% | 0.59% | -0.83% | -1.68% | -1.11% | 1.38% | 1.19% | -2.10% | 0.52% | -0.26% | 0.35% | -3.30% |
| 2021 | 5.41% | 3.64% | -3.43% | 0.91% | -0.33% | 0.74% | -0.90% | 0.16% | 0.58% | 0.82% | -0.49% | -0.75% | 6.27% |
Benchmark Metrics
AQR Diversified Arbitrage Fund Class I has an annualized alpha of 3.56%, beta of 0.06, and R2 of 0.09 versus S&P 500 Index. Calculated based on daily prices since January 15, 2009.
- This fund participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (14.25%) than losses (2.64%) - typical of diversified or defensive assets.
- Beta of 0.06 may look defensive, but with R2 of 0.09 this fund is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
- R2 of 0.09 means this fund moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 3.56%
- Beta
- 0.06
- R²
- 0.09
- Upside Capture
- 14.25%
- Downside Capture
- 2.64%
Expense Ratio
ADAIX has a high expense ratio of 1.38%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
ADAIX ranks 99 for risk / return — in the top 99% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AQR Diversified Arbitrage Fund Class I (ADAIX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ADAIX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.52 | ||
| Sortino ratioReturn per unit of downside risk | +4.82 | ||
| Omega ratioGain probability vs. loss probability | 2.13 | 1.37 | +0.77 |
| Calmar ratioReturn relative to maximum drawdown | 13.87 | 2.78 | +11.09 |
| Martin ratioReturn relative to average drawdown | 41.91 | 12.44 | +29.47 |
Dividends
Dividend History
AQR Diversified Arbitrage Fund Class I provided a 2.06% dividend yield over the last twelve months, with an annual payout of $0.27 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.27 | $0.27 | $0.15 | $0.33 | $0.01 | $0.08 | $0.18 | $0.20 | $0.57 | $0.65 | $0.66 | $0.45 |
Dividend yield | 2.06% | 2.12% | 1.23% | 2.74% | 0.10% | 0.65% | 1.60% | 2.11% | 6.53% | 7.17% | 7.18% | 4.93% |
Monthly Dividends
The table displays the monthly dividend distributions for AQR Diversified Arbitrage Fund Class I. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.27 | $0.27 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.15 | $0.15 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.33 | $0.33 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.01 | $0.01 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.08 | $0.08 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the AQR Diversified Arbitrage Fund Class I. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the AQR Diversified Arbitrage Fund Class I was 14.75%, occurring on Mar 18, 2020. Recovery took 71 trading sessions.
The current AQR Diversified Arbitrage Fund Class I drawdown is 0.08%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -14.75%Mar 2020 | 23d | 3mo 13d | 4mo 6dFeb 2020 - Jun 2020 |
2016 correction2016 | -13.01%Feb 2016 | 1y 11mo | 1y 4mo | 3y 3moMar 2014 - Jun 2017 |
Bear market2022 | -11.27%Jun 2022 | 1y 3mo | 2y 8mo | 4y 7dFeb 2021 - Feb 2025 |
Financial crisis2007–2009 | -2.46%Dec 2009 | 2mo 18d | 4mo 9d | 6mo 27dOct 2009 - Apr 2010 |
Rate-hike selloffLate 2018 | -2.34%Dec 2018 | 2mo 6d | 1mo 19d | 3mo 25dOct 2018 - Feb 2019 |
Drawdown Indicators
| ADAIX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.75% | -56.78% | +42.03% |
Max Drawdown (1Y)Largest decline over 1 year | -0.46% | -9.10% | +8.64% |
Max Drawdown (3Y)Largest decline over 3 years | -1.78% | -18.90% | +17.12% |
Max Drawdown (5Y)Largest decline over 5 years | -7.40% | -25.43% | +18.03% |
Max Drawdown (10Y)Largest decline over 10 years | -14.75% | -33.92% | +19.17% |
Current DrawdownCurrent decline from peak | -0.08% | -1.80% | +1.72% |
Average DrawdownAverage peak-to-trough decline | -2.82% | -10.71% | +7.89% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.15% | 2.03% | -1.88% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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