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AQR Small Cap Momentum Style Fund (ASMOX)

Mutual Fund · Currency in USD · Last updated Dec 7, 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.

Summary

Fund Info

ISINUS00203H8007
CUSIP00203H800
IssuerAQR Funds
Inception DateJul 9, 2009
CategorySmall Cap Growth Equities
Minimum Investment$5,000,000
Asset ClassEquity

Asset Class Size

Small-Cap

Asset Class Style

Growth

Expense Ratio

The AQR Small Cap Momentum Style Fund has a high expense ratio of 0.61%, indicating higher-than-average management fees.


0.61%
0.00%2.15%

Share Price Chart


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Performance

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.


-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
0.05%
6.60%
ASMOX (AQR Small Cap Momentum Style Fund)
Benchmark (^GSPC)

S&P 500

Compare to other instruments

Search for stocks, ETFs, and funds to compare with ASMOX

AQR Small Cap Momentum Style Fund

Popular comparisons: ASMOX vs. AVUV

Return

AQR Small Cap Momentum Style Fund had a return of 7.39% year-to-date (YTD) and 5.41% in the last 12 months. Over the past 10 years, AQR Small Cap Momentum Style Fund had an annualized return of 6.72%, while the S&P 500 had an annualized return of 9.70%, indicating that AQR Small Cap Momentum Style Fund did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date7.39%18.49%
1 month7.07%4.20%
6 months0.05%6.60%
1 year5.41%15.43%
5 years (annualized)8.26%11.59%
10 years (annualized)6.72%9.70%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-0.29%8.40%4.77%-3.57%-5.47%-7.04%9.71%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for AQR Small Cap Momentum Style Fund (ASMOX) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
ASMOX
AQR Small Cap Momentum Style Fund
0.22
^GSPC
S&P 500
1.00

Sharpe Ratio

The current AQR Small Cap Momentum Style Fund Sharpe ratio is 0.22. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.


Rolling 12-month Sharpe Ratio0.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.22
1.00
ASMOX (AQR Small Cap Momentum Style Fund)
Benchmark (^GSPC)

Dividend History

AQR Small Cap Momentum Style Fund granted a 0.53% 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$1.26$0.85$4.74$2.32$0.17$0.24$2.39$1.40$0.18

Dividend yield

0.53%0.57%24.81%5.46%4.38%29.63%9.90%0.79%1.23%11.61%6.29%1.08%

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$0.00$0.00$0.00$0.00$0.00$0.00$0.00$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$1.26
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%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-22.28%
-5.15%
ASMOX (AQR Small Cap Momentum Style Fund)
Benchmark (^GSPC)

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.


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

Volatility Chart

The current AQR Small Cap Momentum Style Fund volatility is 6.90%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
6.90%
2.92%
ASMOX (AQR Small Cap Momentum Style Fund)
Benchmark (^GSPC)