- Issuer
- AQR
- Inception Date
- Sep 30, 2010
- Category
- Diversified Portfolio
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Multi-Asset
- Asset Class Size
- Multi-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
AQRNX Performance Chart
AQR Multi-Asset Fund Class N (AQRNX) is up 8.5% since the beginning of the year. AQRNX is currently trading at $13 per share. Investors who bought $1,000 worth of AQRNX shares 5 years ago would now be looking at an investment worth $1,453.
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Returns By Period
AQR Multi-Asset Fund Class N (AQRNX) has returned 8.49% so far this year and 19.78% over the past 12 months. Over the last ten years, AQRNX has returned 7.82% per year, falling short of the S&P 500 Index benchmark, which averaged 13.41% annually.
AQR Multi-Asset Fund Class N
- 1D
- 0.86%
- 1M
- 0.08%
- 6M
- 6.17%
- YTD
- 8.49%
- 1Y
- 19.78%
- 3Y*
- 14.86%
- 5Y*
- 7.76%
- 10Y*
- 7.82%
Benchmark (S&P 500 Index)
- 1D
- 0.42%
- 1M
- 1.94%
- 6M
- 8.74%
- YTD
- 10.66%
- 1Y
- 21.02%
- 3Y*
- 19.50%
- 5Y*
- 11.63%
- 10Y*
- 13.41%
AQRNX Monthly Returns History
Based on dividend-adjusted daily data since Sep 30, 2010, AQRNX's average daily return is +0.03%, while the average monthly return is +0.59%. At this rate, an investment would double in approximately 9.8 years.
Historically, 63% of months were positive and 37% were negative. The best month was Jun 2019 with a return of +6.3%, while the worst month was Jun 2022 at -7.7%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 5 months.
On a daily basis, AQRNX closed higher 51% of trading days. The best single day was Dec 23, 2021 with a return of +6.3%, while the worst single day was Dec 27, 2021 at -5.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.52% | 4.84% | -5.16% | 5.03% | 2.44% | -1.46% | 0.39% | 8.49% | |||||
| 2025 | 4.42% | 2.30% | -2.07% | -1.19% | 2.14% | 3.09% | 0.18% | 2.38% | 3.10% | 2.25% | 0.82% | -0.15% | 18.46% |
| 2024 | 1.46% | 1.44% | 4.76% | -2.13% | 2.96% | 0.10% | 0.29% | 0.19% | 2.77% | -4.18% | 4.46% | -2.08% | 10.07% |
| 2023 | 5.45% | -1.83% | 0.66% | 0.22% | -2.94% | 4.15% | 3.12% | -0.94% | -1.79% | -2.68% | 4.52% | 3.39% | 11.38% |
| 2022 | -0.86% | -0.67% | 0.29% | -3.37% | 1.40% | -7.67% | 5.32% | -3.34% | -6.38% | 4.13% | 3.43% | -2.67% | -10.73% |
| 2021 | -0.51% | -0.82% | 3.00% | 3.62% | 2.72% | 1.23% | 3.36% | 0.54% | -3.68% | 1.68% | -0.73% | 3.11% | 14.06% |
Benchmark Metrics
AQR Multi-Asset Fund Class N has an annualized alpha of 2.64%, beta of 0.33, and R2 of 0.39 versus S&P 500 Index. Calculated based on daily prices since September 30, 2010.
- This fund participated in 59.32% of S&P 500 Index downside but only 50.14% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.33 may look defensive, but with R2 of 0.39 this fund is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
- R2 of 0.39 means the benchmark explains less than half of this fund's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 2.64%
- Beta
- 0.33
- R²
- 0.39
- Upside Capture
- 50.14%
- Downside Capture
- 59.32%
Expense Ratio
AQRNX has a high expense ratio of 1.31%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
AQRNX ranks 67 for risk / return — better than 67% of mutual funds on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AQR Multi-Asset Fund Class N (AQRNX) 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.
| AQRNX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.20 | ||
| Sortino ratioReturn per unit of downside risk | +0.29 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.30 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.54 | 2.28 | +0.27 |
| Martin ratioReturn relative to average drawdown | 9.97 | 9.88 | +0.08 |
Dividends
Dividend History
AQR Multi-Asset Fund Class N provided a 3.39% dividend yield over the last twelve months, with an annual payout of $0.44 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.44 | $0.44 | $0.15 | $0.21 | $0.59 | $0.65 | $0.07 | $0.72 | $0.60 | $1.01 | $0.63 | $0.23 |
Dividend yield | 3.39% | 3.67% | 1.44% | 2.18% | 6.67% | 6.21% | 0.72% | 7.45% | 7.08% | 10.27% | 6.78% | 2.51% |
Monthly Dividends
The table displays the monthly dividend distributions for AQR Multi-Asset Fund Class N. 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 | $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 | $0.44 | $0.44 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.15 | $0.15 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.21 | $0.21 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.59 | $0.59 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.65 | $0.65 |
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 Multi-Asset Fund Class N. 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 Multi-Asset Fund Class N was 19.37%, occurring on Sep 30, 2022. Recovery took 368 trading sessions.
The current AQR Multi-Asset Fund Class N drawdown is 1.98%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -19.37%Sep 2022 | 9mo 7d | 1y 5mo | 2y 2moDec 2021 - Mar 2024 |
COVID crash2020 | -17.72%Mar 2020 | 27d | 10mo 8d | 11mo 5dFeb 2020 - Jan 2021 |
2016 correction2016 | -17.57%Jan 2016 | 9mo 8d | 1y 4mo | 2y 1moApr 2015 - Jun 2017 |
2013 correction2013 | -13.45%Jun 2013 | 1mo 16d | 11mo 3d | 1y 14dMay 2013 - May 2014 |
Rate-hike selloffLate 2018 | -12.17%Dec 2018 | 10mo 26d | 3mo 20d | 1y 2moJan 2018 - Apr 2019 |
Drawdown Indicators
| AQRNX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.37% | -56.78% | +37.41% |
Max Drawdown (1Y)Largest decline over 1 year | -7.43% | -9.10% | +1.67% |
Max Drawdown (3Y)Largest decline over 3 years | -11.09% | -18.90% | +7.81% |
Max Drawdown (5Y)Largest decline over 5 years | -19.37% | -25.43% | +6.06% |
Max Drawdown (10Y)Largest decline over 10 years | -19.37% | -33.92% | +14.55% |
Current DrawdownCurrent decline from peak | -1.98% | -0.45% | -1.53% |
Average DrawdownAverage peak-to-trough decline | -4.87% | -10.71% | +5.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.90% | 2.09% | -0.19% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with AQRNX
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