- ISIN
- US00203H8833
- CUSIP
- 00203H883
- Issuer
- AQR Funds
- Inception Date
- Jul 8, 2009
- Category
- Foreign Large Cap Equities
- Min. Investment
- $5,000,000
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
AIMOX Performance Chart
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Returns By Period
AQR International Momentum Style Fund
- 1D
- —
- 1M
- —
- YTD
- —
- 6M
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
AIMOX Monthly Returns History
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.49% | 4.42% | -8.29% | 6.87% | -0.78% | 6.10% | |||||||
| 2025 | 5.04% | 2.43% | 0.92% | 5.29% | 5.52% | 3.06% | -0.91% | 3.05% | 2.24% | 0.55% | 0.60% | 2.74% | 34.89% |
| 2024 | 1.33% | 5.31% | 4.09% | -4.16% | 5.23% | -0.85% | 1.99% | 2.57% | -0.33% | -4.21% | 1.71% | -3.68% | 8.70% |
| 2023 | 6.54% | -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% | 5.87% | -5.11% | -10.38% | 6.45% | 11.64% | -2.08% | -19.43% |
| 2021 | -1.39% | 0.51% | 1.23% | 3.99% | 3.15% | -1.40% | 1.52% | 2.43% | -3.68% | 4.81% | -3.79% | 4.53% | 12.04% |
Benchmark Metrics
AQR International Momentum Style Fund has an annualized alpha of -2.92%, beta of 0.87, and R2 of 0.72 versus S&P 500 Index. Calculated based on daily prices since January 04, 2010.
- This fund participated in 100.47% of S&P 500 Index downside but only 79.14% of its upside - more exposed to losses than it benefited from rallies.
- This fund had an annualized alpha of -2.92% versus S&P 500 Index - delivering less than market exposure alone would predict.
- With beta of 0.87 and R2 of 0.72, this fund moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- -2.92%
- Beta
- 0.87
- R²
- 0.72
- Upside Capture
- 79.14%
- Downside Capture
- 100.47%
Expense Ratio
AIMOX has an expense ratio of 0.57%, placing it in the medium range.
Return for Risk
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AQR International Momentum Style Fund (AIMOX) 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.
| AIMOX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | — | 1.32 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 2.46 | — |
| Martin ratioReturn relative to average drawdown | — | 10.92 | — |
Dividends
Dividend History
AQR International Momentum Style Fund provided a 20.85% dividend yield over the last twelve months, with an annual payout of $3.45 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $3.45 | $2.50 | $3.19 | $2.16 | $0.43 | $0.44 | $0.20 | $0.37 | $0.28 | $0.34 | $0.32 | $0.22 |
Dividend yield | 20.85% | 15.20% | 22.64% | 13.66% | 2.77% | 2.22% | 1.12% | 2.34% | 2.17% | 2.19% | 2.52% | 1.62% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.94 | $0.00 | $0.94 | |||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2.50 | $2.50 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.19 | $3.19 |
| 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 |
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 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.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -32.23%Sep 2022 | 10mo 16d | 1y 5mo | 2y 3moNov 2021 - Mar 2024 |
COVID crash2020 | -31.86%Mar 2020 | 2y 1mo | 5mo 6d | 2y 7moJan 2018 - Aug 2020 |
2011 bear market2011 | -28.84%Oct 2011 | 5mo 4d | 1y 6mo | 1y 11moMay 2011 - Apr 2013 |
2016 bear market2016 | -21.24%Feb 2016 | 1y 7mo | 1y 5mo | 3y 20dJul 2014 - Jul 2017 |
2010 bear market2010 | -20.38%Jun 2010 | 1mo 22d | 4mo | 5mo 22dApr 2010 - Oct 2010 |
Drawdown Indicators
| AIMOX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | — | -56.78% | — |
Max Drawdown (1Y)Largest decline over 1 year | — | -9.10% | — |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | — | -3.21% | — |
Average DrawdownAverage peak-to-trough decline | — | -10.71% | — |
Ulcer IndexDepth and duration of drawdowns from previous peaks | — | 2.04% | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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