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AQR International Momentum Style Fund (AIMOX)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISINUS00203H8833
CUSIP00203H883
IssuerAQR Funds
Inception DateJul 8, 2009
CategoryForeign Large Cap Equities
Min. Investment$5,000,000
Asset ClassEquity

Asset Class Size

Large-Cap

Asset Class Style

Blend

Expense Ratio

AIMOX features an expense ratio of 0.57%, falling within the medium range.


Expense ratio chart for AIMOX: current value at 0.57% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.57%

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons: AIMOX vs. ^AW01

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in AQR International Momentum Style Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
3.57%
9.52%
AIMOX (AQR International Momentum Style Fund)
Benchmark (^GSPC)

Returns By Period

AQR International Momentum Style Fund had a return of 13.99% year-to-date (YTD) and 31.14% in the last 12 months. Over the past 10 years, AQR International Momentum Style Fund had an annualized return of 5.52%, while the S&P 500 had an annualized return of 11.26%, indicating that AQR International Momentum Style Fund did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date13.99%19.50%
1 month0.61%3.09%
6 months4.28%10.74%
1 year31.14%33.68%
5 years (annualized)8.58%14.10%
10 years (annualized)5.52%11.26%

Monthly Returns

The table below presents the monthly returns of AIMOX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.33%5.31%4.09%-4.16%4.04%0.29%1.99%2.57%-0.33%13.99%
20236.54%-2.74%1.75%2.64%-4.13%5.62%2.25%-3.64%-3.60%-2.74%9.85%4.93%16.69%
2022-5.89%-3.51%0.89%-7.70%1.74%-10.62%5.88%-5.11%-10.38%6.45%11.64%-2.08%-19.43%
2021-1.39%0.51%1.23%3.99%3.15%-1.39%1.52%2.43%-3.68%4.81%-3.79%4.53%12.04%
2020-0.51%-6.96%-11.63%7.68%6.26%3.29%3.65%3.52%0.06%-3.83%11.05%5.18%16.57%
20196.99%2.73%1.96%1.30%-2.57%5.28%-1.85%-0.67%1.35%2.54%1.11%2.81%22.63%
20186.50%-4.25%-0.69%1.19%-0.50%-2.37%1.47%-1.32%1.09%-10.05%-0.98%-5.61%-15.29%
20174.22%-0.37%3.46%1.67%2.50%0.70%3.67%0.67%2.85%2.32%0.25%0.91%25.25%
2016-4.55%-3.30%5.88%1.50%0.74%-0.88%2.59%-1.73%1.84%-4.04%-2.86%1.67%-3.62%
20150.22%5.05%-0.82%2.15%0.27%-1.62%1.58%-6.64%-3.99%5.89%-0.14%-1.06%0.23%
2014-5.15%4.29%-1.22%-0.78%2.36%1.41%-2.78%0.71%-3.61%-1.07%-0.20%-3.16%-9.19%
20134.74%0.07%2.55%5.90%-5.37%-1.21%4.09%-3.10%8.83%1.83%0.71%2.02%22.20%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AIMOX is 43, suggesting that the investment has average results relative to other mutual funds in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of AIMOX is 4343
AIMOX (AQR International Momentum Style Fund)
The Sharpe Ratio Rank of AIMOX is 4040Sharpe Ratio Rank
The Sortino Ratio Rank of AIMOX is 3636Sortino Ratio Rank
The Omega Ratio Rank of AIMOX is 3636Omega Ratio Rank
The Calmar Ratio Rank of AIMOX is 5858Calmar Ratio Rank
The Martin Ratio Rank of AIMOX is 4747Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for AQR International Momentum Style Fund (AIMOX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


AIMOX
Sharpe ratio
The chart of Sharpe ratio for AIMOX, currently valued at 2.12, compared to the broader market0.002.004.002.12
Sortino ratio
The chart of Sortino ratio for AIMOX, currently valued at 2.85, compared to the broader market0.005.0010.002.85
Omega ratio
The chart of Omega ratio for AIMOX, currently valued at 1.37, compared to the broader market1.002.003.004.001.37
Calmar ratio
The chart of Calmar ratio for AIMOX, currently valued at 1.50, compared to the broader market0.005.0010.0015.0020.001.50
Martin ratio
The chart of Martin ratio for AIMOX, currently valued at 12.65, compared to the broader market0.0020.0040.0060.0080.00100.0012.65
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.002.004.002.79
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.71, compared to the broader market0.005.0010.003.72
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.005.0010.0015.0020.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.96, compared to the broader market0.0020.0040.0060.0080.00100.0016.96

Sharpe Ratio

The current AQR International Momentum Style Fund Sharpe ratio is 2.12. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of AQR International Momentum Style Fund with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.50MayJuneJulyAugustSeptemberOctober
2.12
2.79
AIMOX (AQR International Momentum Style Fund)
Benchmark (^GSPC)

Dividends

Dividend History

AQR International Momentum Style Fund granted a 11.99% dividend yield in the last twelve months. The annual payout for that period amounted to $2.16 per share.


PeriodTTM20232022202120202019201820172016201520142013
Dividend$2.16$2.16$0.43$0.44$0.20$0.37$0.28$0.34$0.32$0.22$0.48$0.25

Dividend yield

11.99%13.66%2.77%2.22%1.12%2.34%2.16%2.19%2.52%1.62%3.46%1.57%

Monthly Dividends

The table displays the monthly dividend distributions for AQR International Momentum Style Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2023$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.16$2.16
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.43$0.43
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.44$0.44
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.20$0.20
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.37$0.37
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.28$0.28
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.34$0.34
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.32$0.32
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.22$0.22
2014$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.48$0.48
2013$0.25$0.25

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.91%
-1.09%
AIMOX (AQR International Momentum Style Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the AQR International Momentum Style Fund. 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 International Momentum Style Fund was 32.23%, occurring on Sep 27, 2022. Recovery took 358 trading sessions.

The current AQR International Momentum Style Fund drawdown is 2.91%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.23%Nov 15, 2021218Sep 27, 2022358Mar 1, 2024576
-31.86%Jan 29, 2018541Mar 23, 2020109Aug 26, 2020650
-28.84%May 2, 2011108Oct 3, 2011377Apr 8, 2013485
-21.25%Jul 7, 2014405Feb 11, 2016366Jul 26, 2017771
-20.17%Apr 16, 201036Jun 7, 201084Oct 5, 2010120

Volatility

Volatility Chart

The current AQR International Momentum Style Fund volatility is 5.45%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
5.45%
3.33%
AIMOX (AQR International Momentum Style Fund)
Benchmark (^GSPC)