AQR International Momentum Style Fund

AIMOX
  • daily nav $17.32
  • change $-0.20
  • daily return -1.14%
  • inception date 7/9/2009
  • AUM $211MM

As of June 14, 2024

  About the Fund

Investment Objective

Seeks long-term capital appreciation.

On March 15, 2021, AQR TM International Momentum Style Fund was reorganized into AQR International Momentum Style Fund.

Investing in Continuing Price Trends Outside the U.S.

Through a systematic investment approach, the Fund is designed to capture momentum - the phenomenon that stocks which have performed well in the past relative to other stocks (winners) continue to perform well in the future, and stocks that have performed relatively poorly (losers) continue to perform poorly.

Investment Approach

The Fund invests in stocks of large- and mid-cap non-U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior 12 months relative to other stocks in the investment universe.

The Fund employs a systematic approach to construct the portfolio that starts by identifying the investment universe, ranks the stocks in the universe by their total return over the prior 12 months excluding the last month, selects those that rank in the top third, weights them by market capitalization, and rebalances at least quarterly.

The Fund is expected to have annual turnover in excess of 100%, and will therefore employ optimization and other sophisticated techniques to keep transaction costs as low as possible. The Fund will maintain flexibility to trade opportunistically in order to strike a balance between maintaining the desired exposure to positive momentum while attempting to keep transaction costs low.

Why Invest in the AQR International Momentum Style Fund?

Disciplined Investment Process
The Fund uses a systematic rules-based approach to select stocks for the portfolio. It ranks stocks according to momentum, capturing different signals including price, earnings announcement and residual momentum.
Potential to Outperform Over the Long Term
Stocks with positive momentum tend to outperform broad equity markets and growth style benchmarks over the long term.
Greater Diversification
Historically, momentum has been negatively correlated with value, and thus could provide diversification benefits when combined with value-driven strategies in an investor's portfolio. (Source: Asness, Clifford, Moskowitz, Tobias J., Pedersen, Lasse Heje, 2013.“Value and Momentum Everywhere.” Journal of Financial Economics 68, 929-985.)
  Portfolio Characteristics

Country Exposures

As of March 31, 2024

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Fund Benchmark Fund - Index
Australia 2.64% 5.89% -3.26%
Austria 0.11% 0.15% -0.04%
Belgium 0.14% 0.72% -0.57%
Canada 7.60% 14.29% -6.69%
Denmark 6.35% 2.77% 3.59%
Finland 0.30% 0.81% -0.51%
France 9.48% 9.33% 0.15%
Germany 8.30% 6.60% 1.70%
Hong Kong 0.16% 1.39% -1.23%
Ireland 0.00% 0.26% -0.26%
Israel 0.00% 0.56% -0.56%
Italy 5.15% 2.14% 3.01%
Japan 35.01% 22.20% 12.81%
Netherlands 4.62% 4.09% 0.53%
New Zealand 0.00% 0.15% -0.15%
Norway 0.43% 0.44% -0.02%
Portugal 0.00% 0.13% -0.13%
Singapore 0.09% 1.01% -0.92%
Spain 2.34% 2.00% 0.33%
Sweden 2.44% 2.32% 0.11%
Switzerland 4.98% 8.19% -3.21%
United Kingdom of Great Britain and Northern Ireland 9.79% 14.55% -4.76%
Total 99.93% 100.00% -0.07%

Top 10 Holdings

As of March 31, 2024

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% of Net Assets
Novo Nordisk 4.55%
Shell 3.94%
Toyota 2.87%
Hermes Intl 2.01%
SMFG 1.92%
ASML Holding 1.86%
Ferrari 1.75%
SAP SE 1.58%
Munich Re Group 1.55%
Itochu 1.52%
Total 23.57%

Portfolio Statistics

As of March 31, 2024

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# of stocks 272
Price Momentum 0.46
EPS Growth (5 Year) 11.90
P/B 2.19
P/E (trailing 12 months) 17.51
Median Market Cap ($MM) 23,898
Average Market Cap ($MM) 109,994

Sector Exposures

As of March 31, 2024

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Fund Benchmark Fund - Index
Communication Services 2.21% 3.74% -1.53%
Consumer Discretionary 15.22% 11.57% 3.65%
Consumer Staples 3.56% 8.13% -4.57%
Energy 4.89% 5.60% -0.72%
Financials 17.37% 21.03% -3.66%
Health Care 7.81% 11.35% -3.54%
Industrials 25.16% 16.45% 8.71%
Information Technology 15.04% 9.41% 5.63%
Materials 5.13% 7.51% -2.38%
Real Estate 1.79% 2.13% -0.34%
Utilities 1.83% 3.08% -1.25%
Total 100.00% 100.00% 0.00%

All Fund Statistics are subject to change. Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities. Please see disclosure section for a glossary of industry terms.

AQR Momentum Style Funds: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer.

AQR International Momentum Style Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty.

  Performance

Annualized Total Returns

As of May 31, 2024

MTD YTD 1YR 3YR 5YR 10YR Since Inception 7/9/2009 Gross Expense Ratio Net Expense Ratio*
AQR International Momentum Style Fund 5.23% 12.03% 25.96% 3.10% 8.80% 4.69% 6.95% 0.66% 0.58%
MSCI World Ex United States Net Index USD End of Day 3.82% 6.72% 18.48% 2.92% 8.15% 4.60% 7.12%
AQR International Momentum Style Fund MSCI World Ex United States Net Index USD End of Day
MTD 5.23% 3.82%
YTD 12.03% 6.72%
1YR 25.96% 18.48%
3YR 3.10% 2.92%
5YR 8.80% 8.15%
10YR 4.69% 4.60%
Since Inception 7/9/2009 6.95% 7.12%
Gross Expense Ratio 0.66%
Net Expense Ratio* 0.58%

As of March 29, 2024

QTD YTD 1YR 3YR 5YR 10YR Since Inception 7/9/2009 Gross Expense Ratio Net Expense Ratio*
AQR International Momentum Style Fund 11.08% 11.08% 22.89% 5.25% 8.33% 4.77% 6.97% 0.66% 0.58%
MSCI World Ex United States Net Index USD End of Day 5.49% 5.49% 15.18% 4.90% 7.46% 4.80% 7.12%
AQR International Momentum Style Fund MSCI World Ex United States Net Index USD End of Day
QTD 11.08% 5.49%
YTD 11.08% 5.49%
1YR 22.89% 15.18%
3YR 5.25% 4.90%
5YR 8.33% 7.46%
10YR 4.77% 4.80%
Since Inception 7/9/2009 6.97% 7.12%
Gross Expense Ratio 0.66%
Net Expense Ratio* 0.58%

The Adviser has contractually agreed to reimburse operating expenses of the Fund at least through April 30, 2025. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.

Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.

The MSCI-World ex USA Index is market capitalization weighted index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.- based companies. Indexes are unmanaged and one cannot invest directly in an index.

AQR Momentum Style Funds: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer.

AQR International Momentum Style Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty.

  Managers

Cliff Asness

Managing & Founding Principal

Ph.D., M.B.A., University of Chicago

B.S., B.S., University of Pennsylvania

Michele L. Aghassi

Principal

Ph.D., Massachusetts Institute of Technology

B.S., Brown University

Andrea Frazzini

Principal

Ph.D., Yale University

M.S., London School of Economics

B.S., University of Rome III

John J. Huss

Principal

S.B., Massachusetts Institute of Technology

Laura Serban

A.B., M.S., Ph.D., Harvard University

  Fees & Minimums

Investment Minimums

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Individual Investors $5 Million
Institutional Investors None
Accounts Offered by Financial Advisors None

Shareholder Fees

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Sales Load None
Deferred Sales Load None
Redemption Fees None

Annual Fund Operating Expenses

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Management Fee 0.40%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales and/or Interest Expense 0.03%
     All Other Expenses 0.23%
Acquired Fund Fees None
Gross Expenses 0.66%
Less: Expense Reimbursements 0.08%
Net Expenses* 0.58%

*As stated in the prospectus, the Adviser has contractually agreed to reimburse operating expenses of the Fund in an amount sufficient to limit certain Specified Expenses in the table above at no more than 0.15% for Class I Shares at least through January 28, 2025. "Specified Expenses" for this purpose include all Fund operating expenses other than management fees and 12b-1 fees and exclude interest, taxes, dividends on short sales, borrowing costs, acquired fund fees and expenses, interest expense relating to short sales, expenses related to class action claims, contingent expenses related to tax reclaim receipts, reorganization expenses and extraordinary expenses. The Expense Limitation Agreement may be terminated with the consent of the Board of Trustees.

AQR Momentum Style Funds: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer.

AQR International Momentum Style Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty.

Fund Adjusted Expense Ratio
Adjusted Expense Ratio** 0.55%

**Reflects the Net Expense Ratio adjusted for certain investment related expenses, such as interest expense from borrowing and repurchase agreements and dividend expenses from investments on short sales, incurred directly by the Fund, none of which are paid to the Advisor.

  Documents

Fund Literature

Fund Reporting

An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.

Information about how each Fund voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30 will be available no later than August 31. Please click here to view the most recent Form N-PX for the AQR Funds.

PRINCIPAL RISKS:
Past performance is no guarantee of future results. An investment in the Funds involves risk, including loss of principal.
The Fund is not suitable for all investors.

An investment in the Fund is subject to risks, including the possibility that the value of the Fund’s portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Securities with positive Momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the Momentum style is out of favor, and during which the investment performance of a Fund using a Momentum strategy generally will suffer.

An investor considering the funds should be able to tolerate potentially wide price fluctuations. The Fund is subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Fund. Since the Fund may also attempt to increase its income or total return through the use of securities lending, it may be subject to the possibility of additional loss as a result of this investment technique.

Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.

 

 

© AQR Funds are distributed by ALPS Distributors, Inc. AQR Capital Management, LLC is the Investment Manager of the Funds and a federally registered investment adviser. ALPS Distributors is not affiliated with AQR Capital Management. 

Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investingTo obtain a prospectus or summary prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest. 

View definitions of benchmarks and other terms used here.

Diversification does not eliminate risk. Indexes are unmanaged and one cannot invest directly in an index.

Prior to October 18, 2021 the AQR Macro Opportunities Fund was known as the AQR Global Macro Fund.

The information provided herein (including any separate documents that may be accessed through this website) is not directed at any investor or category of investors and is provided solely as general information about our products and services and to otherwise provide general investment education. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of AQR Capital Management, LLC (“AQR Capital”) nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement investor, contact your financial advisor or other fiduciary unrelated to AQR about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances.

There are risks involved with investing including the possible loss of principal.
Past performance does not guarantee future results.
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