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AQR Large Cap Momentum Style Fund (AMOMX)

Mutual Fund · Currency in USD · Last updated Mar 22, 2023

The fund pursues a momentum investment style by investing primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and real estate investment trusts) of large-cap companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. Under normal market circumstances, it will invest at least 80% of its net assets (including any borrowings for investment purposes) in large-cap U.S. companies.

Share Price Chart


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Performance

The chart shows the growth of $10,000 invested in AQR Large Cap Momentum Style Fund in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $54,487 for a total return of roughly 444.87%. All prices are adjusted for splits and dividends.


300.00%350.00%400.00%450.00%500.00%NovemberDecember2023FebruaryMarch
444.87%
350.68%
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)

S&P 500

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AQR Large Cap Momentum Style Fund

Return

AQR Large Cap Momentum Style Fund had a return of -1.13% year-to-date (YTD) and -12.63% in the last 12 months. Over the past 10 years, AQR Large Cap Momentum Style Fund had an annualized return of 11.41%, outperforming the S&P 500 benchmark which had an annualized return of 9.92%.


PeriodReturnBenchmark
1 month-2.96%-1.87%
Year-To-Date-1.13%4.25%
6 months-1.06%2.64%
1 year-12.63%-10.31%
5 years (annualized)8.66%8.11%
10 years (annualized)11.41%9.92%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.26%-2.63%
2022-8.36%9.59%3.92%-5.09%

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current AQR Large Cap Momentum Style Fund Sharpe ratio is -0.48. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-0.80-0.60-0.40-0.20NovemberDecember2023FebruaryMarch
-0.48
-0.44
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)

Dividend History

AQR Large Cap Momentum Style Fund granted a 11.08% dividend yield in the last twelve months. The annual payout for that period amounted to $2.04 per share.


PeriodTTM20222021202020192018201720162015201420132012
Dividend$2.04$2.04$4.51$3.81$2.21$2.25$1.97$1.56$1.66$2.06$1.00$0.25

Dividend yield

11.08%10.95%19.91%21.20%15.60%20.47%17.25%16.93%18.78%23.99%12.82%4.41%

Monthly Dividends

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


JanFebMarAprMayJunJulAugSepOctNovDec
2023$0.00$0.00
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.04
2021$0.00$0.00$0.00$0.00$0.14$0.00$0.00$0.00$0.00$0.00$0.00$4.37
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$3.81
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.21
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.25
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.97
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.56
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.66
2014$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.06
2013$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.00
2012$0.25

Drawdowns Chart

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


-25.00%-20.00%-15.00%-10.00%NovemberDecember2023FebruaryMarch
-20.85%
-16.55%
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below shows the maximum drawdowns of the AQR Large Cap Momentum Style Fund. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the AQR Large Cap Momentum Style Fund is 34.29%, recorded on Mar 23, 2020. It took 82 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.29%Feb 20, 202023Mar 23, 202082Jul 20, 2020105
-26.33%Nov 9, 2021153Jun 17, 2022
-23.1%May 2, 2011108Oct 3, 2011120Mar 26, 2012228
-21.3%Oct 2, 201857Dec 21, 2018122Jun 19, 2019179
-19.45%Apr 26, 201049Jul 2, 201087Nov 4, 2010136
-15.95%Jul 21, 2015143Feb 11, 2016103Jul 11, 2016246
-10.57%Sep 3, 201429Oct 13, 201426Nov 18, 201455
-10.42%Sep 3, 202014Sep 23, 202046Nov 27, 202060
-10.4%Jan 11, 201020Feb 8, 201021Mar 10, 201041
-9.9%Jan 29, 20189Feb 8, 201879Jun 4, 201888

Volatility Chart

Current AQR Large Cap Momentum Style Fund volatility is 22.11%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


0.00%20.00%40.00%60.00%80.00%NovemberDecember2023FebruaryMarch
22.11%
22.09%
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)