- ISIN
- US00203H8007
- CUSIP
- 00203H800
- Issuer
- AQR Funds
- Inception Date
- Jul 9, 2009
- Category
- Small Cap Growth Equities
- Min. Investment
- $5,000,000
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Small-Cap
- Asset Class Style
- Growth
Share Price Chart
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Performance
ASMOX Performance Chart
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Returns By Period
AQR Small Cap Momentum Style Fund
- 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%
ASMOX Monthly Returns History
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.29% | 0.95% | -5.64% | 15.31% | 0.50% | 17.33% | |||||||
| 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 -1.44%, beta of 1.21, and R2 of 0.68 versus S&P 500 Index. Calculated based on daily prices since July 09, 2009.
- This fund participated in 117.05% of S&P 500 Index downside but only 113.79% of its upside - more exposed to losses than it benefited from rallies.
- Alpha
- -1.44%
- Beta
- 1.21
- R²
- 0.68
- Upside Capture
- 113.79%
- Downside Capture
- 117.05%
Expense Ratio
ASMOX has an expense ratio of 0.61%, 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 (ASMOX) 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.
| ASMOX | 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 provided a 7.88% dividend yield over the last twelve months, with an annual payout of $1.91 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.91 | $1.69 | $3.62 | $0.76 | $0.10 | $5.29 | $1.26 | $0.85 | $4.74 | $2.32 | $0.17 | $0.24 |
Dividend yield | 7.88% | 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 | $0.22 | $0.00 | $0.22 | |||||||
| 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.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -42.16%Mar 2020 | 1y 6mo | 6mo 23d | 2y 1moSep 2018 - Oct 2020 |
Bear market2022 | -40.32%Sep 2022 | 9mo 3d | 2y 1mo | 2y 10moDec 2021 - Nov 2024 |
2011 bear market2011 | -30.94%Oct 2011 | 2mo 27d | 11mo 9d | 1y 2moJul 2011 - Sep 2012 |
2025 selloff2025 | -28.88%Apr 2025 | 4mo 27d | 5mo 3d | 10moNov 2024 - Sep 2025 |
2016 bear market2016 | -26.81%Feb 2016 | 7mo 22d | 9mo 18d | 1y 5moJun 2015 - Nov 2016 |
Drawdown Indicators
| ASMOX | 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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