AQR Small Cap Momentum Style Fund

ASMOX
  • daily nav $19.89
  • change $0.16
  • daily return 0.81%
  • inception date 7/9/2009
  • AUM $272MM

As of December 06, 2019

  About the Fund

Investment Objective

Seeks long-term capital appreciation.

Investing in Continuing Price Trends of U.S. Small Cap Companies

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 small-cap 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 Small Cap 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

Sector Exposures

As of September 30, 2019

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Fund Benchmark Fund - Index
Communication Services 2.70% 2.44% 0.26%
Consumer Discretionary 11.76% 11.11% 0.65%
Consumer Staples 4.70% 3.02% 1.68%
Energy 1.68% 3.31% -1.64%
Financials 10.41% 18.23% -7.82%
Health Care 17.01% 16.19% 0.82%
Industrials 16.81% 16.13% 0.68%
Information Technology 17.09% 13.38% 3.71%
Materials 1.60% 3.83% -2.23%
Real Estate 9.19% 8.21% 0.98%
Utilities 7.05% 4.13% 2.92%
Total 100.00% 100.00% 0.00%

Top 10 Holdings

As of September 30, 2019

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% of Net Assets
Novocure 0.77%
PS Business Park 0.66%
Portland Gen Ele 0.60%
EastGroup Prop 0.58%
ACADIA Pharm 0.57%
Black Hills 0.56%
ONE Gas 0.56%
NorthWestern US 0.54%
Generac Hldg 0.52%
Rexford Indl 0.50%
Total 5.86%

Portfolio Statistics

As of September 30, 2019

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# of stocks 699
Price Momentum 0.27
EPS Growth (5 Year) 11.11
P/B 2.83
P/E (trailing 12 months) 22.49
Median Market Cap ($MM) 1,374
Average Market Cap ($MM) 2,597
  Performance

Annualized Total Returns

As of November 30, 2019

MTD YTD 1YR 3YR 5YR 10YR Since Inception 7/9/2009 Gross Expense Ratio Net Expense Ratio*
AQR Small Cap Momentum Style Fund 3.33% 24.19% 9.16% 9.55% 7.59% 12.90% 13.60% 0.63% 0.60%
Russell 2000 4.12% 22.01% 7.51% 8.57% 8.22% 12.38% 13.99%
AQR Small Cap Momentum Style Fund Russell 2000
QTD 3.33 % 4.12 %
YTD 24.19 % 22.01 %
1YR 9.16 % 7.51 %
3YR 9.55 % 8.57 %
5YR 7.59 % 8.22 %
10YR 12.9 % 12.38 %
Since Inception 7/9/2009 13.6 % 13.99 %
Gross Expense Ratio 0.63%
Net Expense Ratio* 0.60%

As of September 30, 2019

QTD YTD 1YR 3YR 5YR 10YR Since Inception 7/9/2009 Gross Expense Ratio Net Expense Ratio*
AQR Small Cap Momentum Style Fund -2.20% 16.63% -10.90% 8.79% 7.50% 11.48% 13.14% 0.63% 0.60%
Russell 2000 -2.40% 14.18% -8.89% 8.23% 8.19% 11.19% 13.50%
AQR Small Cap Momentum Style Fund Russell 2000
QTD -2.2 % -2.40 %
YTD 16.63 % 14.18 %
1YR -10.9 % -8.89 %
3YR 8.79 % 8.23 %
5YR 7.5 % 8.19 %
10YR 11.48 % 11.19 %
Since Inception 7/9/2009 13.14 % 13.50 %
Gross Expense Ratio 0.63%
Net Expense Ratio* 0.60%
  Managers

Cliff Asness

Managing & Founding Principal

  • 27 years of experience
  • 21 years at AQR

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

B.S., B.S., University of Pennyslvania

Jacques A. Friedman

Principal

  • 23 years of experience
  • 21 years at AQR

M.S., University of Washington

B.S., Brown University

Ronen Israel

Principal

  • 23 years of experience
  • 20 years at AQR

M.A., Columbia University

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

Andrea Frazzini

Principal

  • 14 years of experience
  • 11 years at AQR

Ph.D., Yale University

M.S., London School of Economics

B.S., University of Rome III

  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 0.45%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales None
     All Other Expenses 0.18%
Acquired Fund Fees 0.00%
Gross Expenses 0.63%
Less: Fee Waivers and/or Expense Reimbursements 0.03%
Net Expenses* 0.60%

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 or Summary Prospectus containing this and other important information, please call 1-866-290-2688 or download the file from www.aqrfunds.com. Read the Prospectus or Summary Prospectus carefully before you invest. There are risks involved with investing including the possible loss of principal. Past performance does not guarantee future results. AQR Funds are distributed by ALPS Distributors, Inc. [AQR007160 Exp: 06/30/2021]

 

 

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.

Performance shown prior to a share class’s inception date reflects the historical performance of the Fund’s Class I shares, calculated using the fees and expenses of the Class N or Class R6 shares, respectively.

© 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 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. 

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.

The Adviser has contractually agreed to reimburse operating expenses of the Funds at least through January 28, 2020 for, Large Cap Defensive Style Fund, International Defensive Style Fund, Emerging Defensive Style Fund, Large Cap Momentum Style Fund, Small Cap Momentum Style Fund, International Momentum Style Fund, TM Large Cap Momentum Style Fund, TM Small Cap Momentum Style Fund, TM International Momentum Style Fund, Large Cap Multi-Style Fund, Small Cap Multi-Style Fund, International Multi-Style Fund, Emerging Multi-Style Fund, TM Large Cap Multi-Style Fund, TM Small Cap Multi-Style Fund, TM International Multi-Style Fund, TM Emerging Multi-Style Fund, Large Cap Relaxed Constraint Equity Fund, International Relaxed Constraint Equity Fund, Emerging Relaxed Constraint Equity Fund, Global Equity Fund, International Equity Fund, Core Plus Bond Fund and April 30, 2020 for Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund,  Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Style Premia Alternative Fund, Style Premia Alternative LV Fund, Volatility Risk, Premium Fund, Multi-Asset Fund, Risk Parity II HV Fund, Risk Parity II MV Fund. For additional details on annual fund operating expenses for each Fund, please see the underlying Funds’ prospectus.

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.
©2019 AQR Funds. All rights reserved.