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AQR Small Cap Momentum Style Fund (ASMOX)

Mutual Fund · Currency in USD · Last updated Apr 1, 2023

The investment seeks long-term capital appreciation. 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 small-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 small-cap U.S. companies. The fund invests significantly in common stocks.

Share Price Chart


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Performance

The chart shows the growth of $10,000 invested in AQR Small Cap Momentum Style Fund in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $45,234 for a total return of roughly 352.34%. All prices are adjusted for splits and dividends.


300.00%320.00%340.00%360.00%380.00%NovemberDecember2023FebruaryMarch
352.34%
362.67%
ASMOX (AQR Small Cap Momentum Style Fund)
Benchmark (^GSPC)

S&P 500

Compare to other instruments

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AQR Small Cap Momentum Style Fund

Return

AQR Small Cap Momentum Style Fund had a return of 0.70% year-to-date (YTD) and -12.99% in the last 12 months. Over the past 10 years, AQR Small Cap Momentum Style Fund had an annualized return of 8.33%, while the S&P 500 had an annualized return of 10.16%, indicating that AQR Small Cap Momentum Style Fund did not perform as well as the benchmark.


PeriodReturnBenchmark
1 month-4.34%3.51%
Year-To-Date0.70%7.03%
6 months8.40%12.88%
1 year-12.99%-10.71%
5 years (annualized)5.31%9.25%
10 years (annualized)8.33%10.16%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20235.74%-0.44%
2022-9.15%12.03%2.47%-5.88%

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current AQR Small Cap Momentum Style Fund Sharpe ratio is -0.50. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.80-0.60-0.40-0.200.00NovemberDecember2023FebruaryMarch
-0.50
-0.46
ASMOX (AQR Small Cap Momentum Style Fund)
Benchmark (^GSPC)

Dividend History

AQR Small Cap Momentum Style Fund granted a 0.57% dividend yield in the last twelve months. The annual payout for that period amounted to $0.10 per share.


PeriodTTM20222021202020192018201720162015201420132012
Dividend$0.10$0.10$5.29$1.41$0.85$4.74$2.32$0.17$0.24$2.39$1.40$0.18

Dividend yield

0.57%0.57%24.95%7.67%5.84%41.28%17.77%1.55%2.44%23.38%14.14%2.60%

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.


JanFebMarAprMayJunJulAugSepOctNovDec
2023$0.00$0.00
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
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
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.41
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.85
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$4.74
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.32
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.17
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.24
2014$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.39
2013$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.40
2012$0.18

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-30.00%-25.00%-20.00%-15.00%NovemberDecember2023FebruaryMarch
-27.12%
-14.33%
ASMOX (AQR Small Cap Momentum Style Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below shows the maximum drawdowns of the AQR Small Cap Momentum Style Fund. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the AQR Small Cap Momentum Style Fund is 42.16%, recorded on Mar 18, 2020. It took 141 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-42.16%Sep 4, 2018387Mar 18, 2020141Oct 7, 2020528
-33.95%Nov 9, 2021221Sep 26, 2022
-30.94%Jul 8, 201161Oct 3, 2011233Sep 6, 2012294
-26.82%Jun 24, 2015161Feb 11, 2016200Nov 25, 2016361
-23.46%Apr 27, 201049Jul 6, 2010105Dec 2, 2010154
-17.88%Feb 10, 202164May 12, 2021124Nov 5, 2021188
-17.2%Mar 5, 2014155Oct 13, 201492Feb 25, 2015247
-11.08%Oct 16, 200912Nov 2, 200937Dec 24, 200949
-10.9%Jan 20, 201014Feb 8, 201017Mar 4, 201031
-10.48%May 2, 201130Jun 13, 201117Jul 7, 201147

Volatility Chart

Current AQR Small Cap Momentum Style Fund volatility is 21.38%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


15.00%20.00%25.00%30.00%35.00%40.00%NovemberDecember2023FebruaryMarch
21.38%
15.42%
ASMOX (AQR Small Cap Momentum Style Fund)
Benchmark (^GSPC)