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.
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.
Compare to other instruments
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.
| Period | Return | Benchmark |
|---|---|---|
| 1 month | -4.34% | 3.51% |
| Year-To-Date | 0.70% | 7.03% |
| 6 months | 8.40% | 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
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 5.74% | -0.44% | ||||||||||
| 2022 | -9.15% | 12.03% | 2.47% | -5.88% |
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.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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.
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, 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 |
| -17.88% | Feb 10, 2021 | 64 | May 12, 2021 | 124 | Nov 5, 2021 | 188 |
| -17.2% | Mar 5, 2014 | 155 | Oct 13, 2014 | 92 | Feb 25, 2015 | 247 |
| -11.08% | Oct 16, 2009 | 12 | Nov 2, 2009 | 37 | Dec 24, 2009 | 49 |
| -10.9% | Jan 20, 2010 | 14 | Feb 8, 2010 | 17 | Mar 4, 2010 | 31 |
| -10.48% | May 2, 2011 | 30 | Jun 13, 2011 | 17 | Jul 7, 2011 | 47 |
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.