AQR Small Cap Momentum Style Fund Class N (ASMNX)

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The chart shows the growth of an initial investment of $10,000 in AQR Small Cap Momentum Style Fund Class N, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.

AQR Small Cap Momentum Style Fund Class N (ASMNX) has returned -3.27% so far this year and 25.01% over the past 12 months. Over the last ten years, ASMNX has returned 10.66% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.

Based on dividend-adjusted daily data since Jan 2, 2013, ASMNX's average daily return is +0.05%, while the average monthly return is +0.98%. At this rate, your investment would double in approximately 5.9 years.

Historically, 61% of months were positive and 39% were negative. The best month was Nov 2020 with a return of +16.6%, while the worst month was Mar 2020 at -20.1%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.

On a daily basis, ASMNX closed higher 53% of trading days. The best single day was Dec 23, 2021 with a return of +24.7%, while the worst single day was Dec 27, 2021 at -17.6%.

AQR Small Cap Momentum Style Fund Class N has an annualized alpha of -1.67%, beta of 1.16, and R² of 0.63 versus S&P 500 Index. Calculated based on daily prices since January 03, 2013.

• This fund participated in 114.77% of S&P 500 Index downside but only 106.87% of its upside — more exposed to losses than it benefited from rallies.

ASMNX has an expense ratio of 0.88%, placing it in the medium range.

ASMNX ranks 49 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.

The table below present risk-adjusted performance metrics for AQR Small Cap Momentum Style Fund Class N (ASMNX) and compare them to a chosen benchmark (S&P 500 Index).

AQR Small Cap Momentum Style Fund Class N provided a 8.32% dividend yield over the last twelve months, with an annual payout of $1.67 per share.

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

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.

The table below displays the maximum drawdowns of the AQR Small Cap Momentum Style 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 Small Cap Momentum Style Fund Class N was 42.57%, occurring on Mar 18, 2020. Recovery took 143 trading sessions.

The current AQR Small Cap Momentum Style Fund Class N drawdown is 13.75%.

The chart below shows the rolling one-month volatility.