AQR Large Cap Momentum Style Fund (AMOMX)
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.
Fund Info
ISIN | US00203H7017 |
---|---|
CUSIP | 00203H701 |
Issuer | AQR Funds |
Inception Date | Jul 9, 2009 |
Category | Large Cap Growth Equities |
Min. Investment | $5,000,000 |
Asset Class | Equity |
Asset Class Size | Large-Cap |
Asset Class Style | Growth |
Expense Ratio
The AQR Large Cap Momentum Style Fund has a high expense ratio of 0.41%, indicating higher-than-average management fees.
Share Price Chart
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Compare to other instruments
Popular comparisons: AMOMX vs. SPLG, AMOMX vs. ^OEX
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in AQR Large Cap 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.
Returns By Period
AQR Large Cap Momentum Style Fund had a return of 15.35% year-to-date (YTD) and 38.24% in the last 12 months. Over the past 10 years, AQR Large Cap Momentum Style Fund had an annualized return of 12.46%, outperforming the S&P 500 benchmark which had an annualized return of 10.96%.
Period | Return | Benchmark |
---|---|---|
Year-To-Date | 15.35% | 10.04% |
1 month | 4.38% | 3.53% |
6 months | 30.28% | 22.79% |
1 year | 38.24% | 32.16% |
5 years (annualized) | 15.08% | 13.15% |
10 years (annualized) | 12.46% | 10.96% |
Monthly Returns Heatmap
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 2.91% | 8.34% | ||||||||||
2023 | -0.77% | -4.96% | -2.66% | 10.05% | 5.01% |
Risk-Adjusted Performance
Risk-Adjusted Performance Indicators
This table presents risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) 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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
---|---|---|---|---|---|
AQR Large Cap Momentum Style Fund | 1.69 | ||||
S&P 500 | 2.76 |
Dividends
Dividend History
AQR Large Cap Momentum Style Fund granted a 12.21% dividend yield in the last twelve months. The annual payout for that period amounted to $2.71 per share.
Period | TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividend | $2.71 | $2.71 | $2.04 | $4.51 | $3.81 | $2.21 | $2.25 | $1.97 | $1.56 | $1.66 | $2.06 | $1.00 |
Dividend yield | 12.21% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% | 9.94% | 4.84% |
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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | $2.71 |
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 | $1.00 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the AQR Large Cap 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 Large Cap Momentum Style Fund was 34.29%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.
The current AQR Large Cap Momentum Style Fund drawdown is 0.36%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-34.29% | Feb 20, 2020 | 23 | Mar 23, 2020 | 82 | Jul 20, 2020 | 105 |
-26.33% | Nov 9, 2021 | 153 | Jun 17, 2022 | 375 | Dec 14, 2023 | 528 |
-23.1% | May 2, 2011 | 108 | Oct 3, 2011 | 120 | Mar 26, 2012 | 228 |
-21.3% | Oct 2, 2018 | 57 | Dec 21, 2018 | 122 | Jun 19, 2019 | 179 |
-19.45% | Apr 26, 2010 | 49 | Jul 2, 2010 | 87 | Nov 4, 2010 | 136 |
Volatility
Volatility Chart
The current AQR Large Cap Momentum Style Fund volatility is 3.83%, 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.