AQR Small Cap Momentum Style Fund (ASMOX)
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.
Fund Info
US00203H8007
00203H800
Jul 9, 2009
$5,000,000
Small-Cap
Growth
Expense Ratio
ASMOX has an expense ratio of 0.61%, placing it in the medium range.
Share Price Chart
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Compare to other instruments
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Performance
Performance Chart
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Returns By Period
AQR Small Cap Momentum Style Fund (ASMOX) returned -2.96% year-to-date (YTD) and 6.12% over the past 12 months. Over the past 10 years, ASMOX returned 7.91% annually, underperforming the S&P 500 benchmark at 10.84%.
ASMOX
-2.96%
6.56%
-12.34%
6.12%
8.44%
11.84%
7.91%
^GSPC (Benchmark)
0.52%
6.32%
-1.44%
12.25%
12.45%
14.20%
10.84%
Monthly Returns
The table below presents the monthly returns of ASMOX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.06% | -6.15% | -6.66% | 0.06% | 7.42% | -2.96% | |||||||
| 2024 | -1.96% | 8.72% | 3.58% | -6.81% | 5.11% | -0.24% | 9.50% | -1.09% | 1.50% | -1.39% | 11.10% | -10.03% | 16.90% |
| 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% | 18.36% |
| 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% |
| 2020 | -1.08% | -7.46% | -20.06% | 13.81% | 7.55% | 3.80% | 5.44% | 3.95% | -1.47% | 0.05% | 16.58% | 7.38% | 25.76% |
| 2019 | 10.37% | 6.06% | -1.82% | 2.67% | -5.24% | 6.65% | 2.20% | -3.18% | -1.17% | 3.05% | 3.33% | 1.84% | 26.47% |
| 2018 | 4.22% | -3.19% | 0.55% | 0.38% | 7.41% | 0.39% | 1.71% | 6.64% | -2.90% | -12.56% | -0.59% | -12.59% | -12.14% |
| 2017 | 1.23% | 2.02% | -0.31% | 0.84% | -2.32% | 3.77% | 1.51% | -0.38% | 6.20% | 2.05% | 1.85% | -0.04% | 17.43% |
| 2016 | -9.72% | -1.47% | 6.73% | 0.86% | 2.94% | 1.45% | 4.65% | 0.44% | 1.22% | -4.81% | 9.55% | 2.08% | 13.25% |
| 2015 | -2.33% | 5.22% | 2.08% | -4.31% | 3.24% | 1.22% | 0.65% | -7.36% | -5.16% | 5.03% | 3.59% | -4.77% | -3.89% |
| 2014 | -2.10% | 5.76% | -2.38% | -5.76% | -0.42% | 7.36% | -6.64% | 5.37% | -5.76% | 5.74% | 0.31% | 2.85% | 2.99% |
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of ASMOX is 20, meaning it’s performing worse than 80% of other mutual funds on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
The charts below present risk-adjusted performance metrics for AQR Small Cap Momentum Style Fund (ASMOX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.
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Dividends
Dividend History
AQR Small Cap Momentum Style Fund provided a 19.73% dividend yield over the last twelve months, with an annual payout of $3.69 per share. The fund has been increasing its distributions for 2 consecutive years.
| Period | TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $3.69 | $3.69 | $0.76 | $0.10 | $5.29 | $1.41 | $0.85 | $4.74 | $2.32 | $0.17 | $0.24 | $2.39 |
Dividend yield | 19.73% | 19.14% | 3.92% | 0.57% | 24.81% | 6.10% | 4.38% | 29.63% | 9.90% | 0.79% | 1.23% | 11.61% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.69 | $3.69 |
| 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 |
| 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 | $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 | $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 | $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 | $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 | $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 | $0.24 |
| 2014 | $2.39 | $2.39 |
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 13.52%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -42.16% | Sep 4, 2018 | 387 | Mar 18, 2020 | 141 | Oct 7, 2020 | 528 |
| -33.95% | Nov 9, 2021 | 221 | Sep 26, 2022 | 452 | Jul 16, 2024 | 673 |
| -30.94% | Jul 8, 2011 | 61 | Oct 3, 2011 | 233 | Sep 6, 2012 | 294 |
| -28.65% | Nov 12, 2024 | 100 | Apr 8, 2025 | — | — | — |
| -26.82% | 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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