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
| ISIN | US00203H8007 |
|---|---|
| CUSIP | 00203H800 |
| Issuer | AQR Funds |
| Inception Date | Jul 9, 2009 |
| Category | Small Cap Growth Equities |
| Minimum Investment | $5,000,000 |
| Asset Class | Equity |
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.
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.
Compare to other instruments
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.
| Period | Return | Benchmark |
|---|---|---|
| Year-To-Date | 7.39% | 18.49% |
| 1 month | 7.07% | 4.20% |
| 6 months | 0.05% | 6.60% |
| 1 year | 5.41% | 15.43% |
| 5 years (annualized) | 8.26% | 11.59% |
| 10 years (annualized) | 6.72% | 9.70% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
ASMOX AQR Small Cap Momentum Style Fund | 0.22 | ||||
^GSPC S&P 500 | 1.00 |
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.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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.
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, 2018 | 387 | Mar 18, 2020 | 141 | Oct 7, 2020 | 528 |
| -33.95% | Nov 9, 2021 | 221 | Sep 26, 2022 | — | — | — |
| -30.94% | Jul 8, 2011 | 61 | Oct 3, 2011 | 233 | Sep 6, 2012 | 294 |
| -26.82% | Jun 24, 2015 | 161 | Feb 11, 2016 | 200 | Nov 25, 2016 | 361 |
| -23.46% | Apr 27, 2010 | 49 | Jul 6, 2010 | 105 | Dec 2, 2010 | 154 |
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.