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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.
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Returns By Period
AQR International Momentum Style Fund (AIMOX) has returned -3.40% so far this year and 20.00% over the past 12 months. Over the last ten years, AIMOX has returned 8.47% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
AQR International Momentum Style Fund
- 1D
- 0.00%
- 1M
- -11.46%
- YTD
- -3.40%
- 6M
- 0.38%
- 1Y
- 20.00%
- 3Y*
- 16.16%
- 5Y*
- 8.26%
- 10Y*
- 8.47%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jan 4, 2010, AIMOX's average daily return is +0.03%, while the average monthly return is +0.62%. At this rate, your investment would double in approximately 9.3 years.
Historically, 61% of months were positive and 39% were negative. The best month was Sep 2010 with a return of +12.4%, while the worst month was Sep 2011 at -13.8%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 5 months.
On a daily basis, AIMOX closed higher 52% of trading days. The best single day was Mar 24, 2020 with a return of +7.8%, while the worst single day was Mar 12, 2020 at -10.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.49% | 4.42% | -11.46% | -3.40% | |||||||||
| 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 -2.75%, beta of 0.87, and R² of 0.72 versus S&P 500 Index. Calculated based on daily prices since January 05, 2010.
- This fund participated in 99.92% of S&P 500 Index downside but only 79.60% of its upside — more exposed to losses than it benefited from rallies.
- This fund had an annualized alpha of -2.75% 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
- -2.75%
- Beta
- 0.87
- R²
- 0.72
- Upside Capture
- 79.60%
- Downside Capture
- 99.92%
Expense Ratio
AIMOX has an expense ratio of 0.57%, placing it in the medium range.
Return for Risk
Risk / Return Rank
AIMOX ranks 60 for risk / return — on par with similar mutual funds. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AQR International Momentum Style Fund (AIMOX) and compare them to a chosen benchmark (S&P 500 Index).
| AIMOX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.10 | 0.90 | +0.21 |
Sortino ratioReturn per unit of downside risk | 1.55 | 1.39 | +0.16 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.21 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.54 | 1.40 | +0.14 |
Martin ratioReturn relative to average drawdown | 6.13 | 6.61 | -0.48 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore AIMOX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
AQR International Momentum Style Fund provided a 15.74% dividend yield over the last twelve months, with an annual payout of $2.50 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $2.50 | $2.50 | $3.19 | $2.16 | $0.43 | $0.44 | $0.20 | $0.37 | $0.28 | $0.34 | $0.32 | $0.22 |
Dividend yield | 15.74% | 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 | $0.00 | |||||||||
| 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.
The current AQR International Momentum Style Fund drawdown is 11.66%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.23% | Nov 15, 2021 | 218 | Sep 27, 2022 | 358 | Mar 1, 2024 | 576 |
| -31.86% | Jan 29, 2018 | 541 | Mar 23, 2020 | 109 | Aug 26, 2020 | 650 |
| -28.84% | May 2, 2011 | 108 | Oct 3, 2011 | 378 | Apr 8, 2013 | 486 |
| -21.24% | Jul 7, 2014 | 405 | Feb 11, 2016 | 366 | Jul 26, 2017 | 771 |
| -20.38% | Apr 16, 2010 | 36 | Jun 7, 2010 | 84 | Oct 5, 2010 | 120 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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