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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

The AQR International Momentum Style Fund has a high expense ratio of 0.57%, indicating higher-than-average management fees.


0.50%1.00%1.50%2.00%0.57%

Share Price Chart


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AQR International Momentum Style Fund

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.


100.00%200.00%300.00%400.00%500.00%OctoberNovemberDecember2024FebruaryMarch
170.59%
495.27%
AIMOX (AQR International Momentum Style Fund)
Benchmark (^GSPC)

S&P 500

Returns By Period

AQR International Momentum Style Fund had a return of 11.08% year-to-date (YTD) and 24.68% in the last 12 months. Over the past 10 years, AQR International Momentum Style Fund had an annualized return of 4.77%, while the S&P 500 had an annualized return of 10.89%, indicating that AQR International Momentum Style Fund did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date11.08%10.16%
1 month4.09%3.47%
6 months23.76%22.20%
1 year24.68%30.45%
5 years (annualized)8.35%13.16%
10 years (annualized)4.77%10.89%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.33%5.31%
2023-3.64%-3.60%-2.74%9.85%4.93%

Risk-Adjusted Performance

Risk-Adjusted Performance Indicators

This table presents risk-adjusted performance metrics for AQR International Momentum Style Fund (AIMOX) and compares them with a selected benchmark (^GSPC). These performance indicators assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AIMOX
AQR International Momentum Style Fund
2.06
^GSPC
S&P 500
2.79

Sharpe Ratio

The current AQR International Momentum Style Fund Sharpe ratio is 2.06. A Sharpe ratio higher than 2.0 is considered very good.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.06
2.79
AIMOX (AQR International Momentum Style Fund)
Benchmark (^GSPC)

Dividends

Dividend History

AQR International Momentum Style Fund granted a 12.30% 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

12.30%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.


JanFebMarAprMayJunJulAugSepOctNovDec
2024$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
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
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
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
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
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
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
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
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
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
2013$0.25

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-0.34%
0
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 0.34%.


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 3.14%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
3.14%
2.80%
AIMOX (AQR International Momentum Style Fund)
Benchmark (^GSPC)