- ISIN
- US00203H5862
- CUSIP
- 00203H586
- Issuer
- AQR Funds
- Inception Date
- Dec 17, 2012
- Category
- Small Cap Growth Equities
- Min. Investment
- $2,500
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Small-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
ASMNX Performance Chart
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Returns By Period
AQR Small Cap Momentum Style Fund Class N
- 1D
- —
- 1M
- —
- YTD
- —
- 6M
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
ASMNX Monthly Returns History
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.25% | 0.90% | -5.65% | 15.30% | 0.50% | 17.21% | |||||||
| 2025 | 3.01% | -6.10% | -6.71% | 0.06% | 6.73% | 6.68% | 1.57% | 6.51% | 6.30% | 2.99% | -2.39% | -1.87% | 16.62% |
| 2024 | -1.95% | 8.70% | 3.52% | -6.85% | 5.10% | -0.24% | 9.49% | -1.13% | 1.45% | -1.39% | 11.10% | -10.05% | 16.62% |
| 2023 | 5.74% | -0.44% | -4.34% | -0.70% | -0.29% | 8.40% | 4.71% | -3.62% | -5.48% | -7.04% | 9.65% | 12.36% | 18.09% |
| 2022 | -11.94% | 2.07% | 2.29% | -9.83% | 0.62% | -10.28% | 10.89% | -1.41% | -9.22% | 12.04% | 2.48% | -5.95% | -19.78% |
| 2021 | 10.66% | 2.92% | -2.58% | 1.17% | -0.03% | 5.24% | -5.23% | 3.09% | -2.96% | 5.67% | -3.62% | 0.89% | 15.05% |
Benchmark Metrics
AQR Small Cap Momentum Style Fund Class N has an annualized alpha of -1.53%, beta of 1.16, and R2 of 0.63 versus S&P 500 Index. Calculated based on daily prices since January 02, 2013.
- This fund participated in 114.24% of S&P 500 Index downside but only 107.30% of its upside - more exposed to losses than it benefited from rallies.
- Alpha
- -1.53%
- Beta
- 1.16
- R²
- 0.63
- Upside Capture
- 107.30%
- Downside Capture
- 114.24%
Expense Ratio
ASMNX has an expense ratio of 0.88%, placing it in the medium range.
Return for Risk
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AQR Small Cap Momentum Style Fund Class N (ASMNX) 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.
| ASMNX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | — | 1.37 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 2.78 | — |
| Martin ratioReturn relative to average drawdown | — | 12.44 | — |
Dividends
Dividend History
AQR Small Cap Momentum Style Fund Class N provided a 7.75% dividend yield over the last twelve months, with an annual payout of $1.88 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.88 | $1.67 | $3.68 | $0.69 | $0.05 | $5.23 | $1.26 | $0.74 | $4.70 | $2.26 | $0.00 | $0.19 |
Dividend yield | 7.75% | 8.05% | 19.09% | 3.54% | 0.27% | 24.51% | 5.45% | 3.83% | 29.34% | 9.61% | 0.00% | 0.97% |
Monthly Dividends
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.20 | $0.00 | $0.20 | |||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.67 | $1.67 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.68 | $3.68 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.69 | $0.69 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.05 | $0.05 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $5.19 | $5.23 |
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 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.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -42.57%Mar 2020 | 1y 6mo | 6mo 25d | 2y 1moSep 2018 - Oct 2020 |
Bear market2022 | -40.27%Sep 2022 | 9mo 3d | 2y 1mo | 2y 10moDec 2021 - Nov 2024 |
2025 selloff2025 | -28.71%Apr 2025 | 4mo 27d | 5mo 3d | 10moNov 2024 - Sep 2025 |
2016 bear market2016 | -26.95%Feb 2016 | 7mo 22d | 9mo 18d | 1y 5moJun 2015 - Nov 2016 |
2021 correction2021 | -17.93%May 2021 | 3mo 1d | 5mo 27d | 8mo 28dFeb 2021 - Nov 2021 |
Drawdown Indicators
| ASMNX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | — | -56.78% | — |
Max Drawdown (1Y)Largest decline over 1 year | — | -9.10% | — |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | — | -1.80% | — |
Average DrawdownAverage peak-to-trough decline | — | -10.71% | — |
Ulcer IndexDepth and duration of drawdowns from previous peaks | — | 2.03% | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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