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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in AQR Small 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.
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Returns By Period
AQR Small Cap Momentum Style Fund (ASMOX) has returned -3.17% so far this year and 25.34% over the past 12 months. Over the last ten years, ASMOX has returned 10.91% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
AQR Small Cap Momentum Style Fund
- 1D
- -2.56%
- 1M
- -9.75%
- YTD
- -3.17%
- 6M
- -4.45%
- 1Y
- 25.34%
- 3Y*
- 15.73%
- 5Y*
- 5.45%
- 10Y*
- 10.91%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jul 9, 2009, ASMOX's average daily return is +0.06%, while the average monthly return is +1.11%. At this rate, your investment would double in approximately 5.2 years.
Historically, 62% of months were positive and 38% were negative. The best month was Oct 2011 with a return of +17.6%, while the worst month was Mar 2020 at -20.1%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 5 months.
On a daily basis, ASMOX closed higher 53% of trading days. The best single day was Dec 23, 2021 with a return of +25.0%, while the worst single day was Dec 27, 2021 at -17.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.29% | 0.95% | -9.75% | -3.17% | |||||||||
| 2025 | 3.06% | -6.15% | -6.66% | 0.06% | 6.79% | 6.68% | 1.56% | 6.56% | 6.34% | 3.03% | -2.38% | -1.89% | 16.87% |
| 2024 | -1.96% | 8.72% | 3.58% | -6.81% | 5.11% | -0.24% | 9.50% | -1.09% | 1.50% | -1.39% | 11.10% | -10.31% | 16.54% |
| 2023 | 5.74% | -0.44% | -4.34% | -0.64% | -0.29% | 8.40% | 4.77% | -3.57% | -5.47% | -7.04% | 9.71% | 12.37% | 18.37% |
| 2022 | -11.91% | 2.08% | 2.29% | -9.79% | 0.62% | -10.28% | 10.95% | -1.41% | -9.15% | 12.03% | 2.47% | -5.88% | -19.56% |
| 2021 | 10.71% | 2.97% | -2.54% | 1.13% | 0.01% | 5.28% | -5.19% | 3.09% | -2.96% | 5.75% | -3.61% | 0.89% | 15.37% |
Benchmark Metrics
AQR Small Cap Momentum Style Fund has an annualized alpha of -1.65%, beta of 1.21, and R² of 0.68 versus S&P 500 Index. Calculated based on daily prices since July 10, 2009.
- This fund participated in 117.40% of S&P 500 Index downside but only 112.93% of its upside — more exposed to losses than it benefited from rallies.
- Alpha
- -1.65%
- Beta
- 1.21
- R²
- 0.68
- Upside Capture
- 112.93%
- Downside Capture
- 117.40%
Expense Ratio
ASMOX has an expense ratio of 0.61%, placing it in the medium range.
Return for Risk
Risk / Return Rank
ASMOX ranks 50 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.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AQR Small Cap Momentum Style Fund (ASMOX) and compare them to a chosen benchmark (S&P 500 Index).
| ASMOX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.95 | 0.90 | +0.06 |
Sortino ratioReturn per unit of downside risk | 1.43 | 1.39 | +0.04 |
Omega ratioGain probability vs. loss probability | 1.18 | 1.21 | -0.03 |
Calmar ratioReturn relative to maximum drawdown | 1.63 | 1.40 | +0.24 |
Martin ratioReturn relative to average drawdown | 4.95 | 6.61 | -1.66 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ASMOX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
AQR Small Cap Momentum Style Fund provided a 8.39% dividend yield over the last twelve months, with an annual payout of $1.69 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.69 | $1.69 | $3.62 | $0.76 | $0.10 | $5.29 | $1.26 | $0.85 | $4.74 | $2.32 | $0.17 | $0.24 |
Dividend yield | 8.39% | 8.12% | 18.80% | 3.92% | 0.57% | 24.81% | 5.46% | 4.38% | 29.63% | 9.90% | 0.79% | 1.23% |
Monthly Dividends
The table displays the monthly dividend distributions for AQR Small 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 | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $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 | $1.69 | $1.69 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.62 | $3.62 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.76 | $0.76 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.10 | $0.10 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $5.25 | $5.29 |
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. 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 was 42.16%, occurring on Mar 18, 2020. Recovery took 141 trading sessions.
The current AQR Small Cap Momentum Style Fund drawdown is 13.69%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -42.16% | Sep 4, 2018 | 387 | Mar 18, 2020 | 141 | Oct 7, 2020 | 528 |
| -40.32% | Dec 27, 2021 | 189 | Sep 26, 2022 | 534 | Nov 8, 2024 | 723 |
| -30.94% | Jul 8, 2011 | 61 | Oct 3, 2011 | 234 | Sep 6, 2012 | 295 |
| -28.88% | Nov 12, 2024 | 100 | Apr 8, 2025 | 104 | Sep 8, 2025 | 204 |
| -26.81% | Jun 24, 2015 | 161 | Feb 11, 2016 | 200 | Nov 25, 2016 | 361 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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