ATMNX — AQR TM Large Cap Momentum Style Fund
Data updated: 2021-02-24
ATMNX — AQR TM Large Cap Momentum Style Fund. United States Large Cap Growth Equity · $291.55M AUM. Holdings, fees, performance and SEC filings.
ATMNX Fund Overview
ATMNX — AQR TM Large Cap Momentum Style Fund is a US mutual fund managed by AQR Funds, categorised as United States Large Cap Growth Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: AQR Funds
- Category: United States Large Cap Growth Equity
- Assets under management: $291.55M
- 1-year return: 28.9%
- Ticker: ATMNX
- SEC CIK: 0001444822
- SEC series ID: S000035776
- Share class ID: C000120478
ATMNX Investment Objective and Strategy
AQR TM Large Cap Momentum Style Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by AQR Funds.
Investment objective
The AQR TM Large Cap Momentum Style Fund (the “Fund”) seeks long-term after-tax capital appreciation.
Principal investment strategy
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 depositary receipts) of large-cap companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Adviser considers a security to have positive momentum primarily if it has outperformed other securities on a relative basis over a recent time period. Relative performance may be based on price momentum, earnings momentum, or other types of momentum, and will generally be measured over time periods ranging from one to twelve months. The criteria the Adviser uses for determining positive momentum may change from time to time. The TM in the Funds name reflects that the Fund employs a tax management strategy which considers the potential impact of federal income tax on shareholders investment return.
Under normal market circumstances, the Fund will invest at least 80% of its net assets (including any borrowings for investment purposes) in large-cap U.S. companies. As of the date of this prospectus, the Adviser generally considers large-cap U.S. companies to be those companies with market capitalizations within the range of the Russell 1000 Index at the time of purchase. The Fund may also invest in mid-cap companies. The Adviser determines the weight of each security in the portfolio using a combination of the market capitalization of the security and the Advisers determination of the attractiveness of the security based on the Advisers assessment of the securitys momentum and additional criteria that form part of the Advisers security selection process. When selecting securities for the portfolio, the Adviser also employs a tax management strategy which considers the potential impact of federal income tax on shareholders investment return.
This tax management strategy is generally designed so investors receive lower distributions of realized capital gains than funds that do not take tax consequences into account. Investors should not expect that there will be no capital gain distributions, however, as the Fund will balance investment considerations with tax consequences in making investment decisions. The techniques and strategies that may be used to attempt to reduce the impact of federal income tax on shareholders investment returns include: when believed by the Adviser to be appropriate, selling stocks to realize losses, with the specific purpose of offsetting gains; deferring realizations of net capital gains; limiting portfolio turnover that may result in taxable gains; and choosing a tax accounting method that reduces tax liability: for example, using the highest-in, first-out (HIFO) method which sells tax lots of securities that have a higher tax basis before selling tax lots of securities that have a lower tax basis.
The Adviser believes that effective management of transaction costs is essential. Transaction costs include commissions, bid-ask spreads, market impact and time delays (the time between the investment decision and implementation, during which a market may move in favor of or against the Fund). In order to manage transaction costs and minimize adverse tax consequences, the Adviser does not intend to rebalance the Funds portfolio mechanically or to purchase and sell exclusively those securities defined by the eligibility criteria described above. The Adviser will seek to 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 reasonably low and to minimize federal income taxes on returns.
The Fund invests significantly in common stocks. The Fund may also invest in or use financial futures contracts and other types of equity-linked derivative instruments such as equity swaps and equity index swaps, as well as exchange-traded funds and similar pooled investment vehicles to gain exposure to the equity market and to maintain liquidity to pay for redemptions. A portion of the Funds assets may be held in cash or cash-equivalent investments, including, but not limited to, short-term investment funds. To attempt to increase its income or total return, the Fund may lend its portfolio securities to certain types of eligible borrowers.
ATMNX Performance
Total returns for ATMNX (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 28.9% |
ATMNX Risk Information
Risk metrics for ATMNX, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 25.8%
ATMNX Costs and Fees
ATMNX costs about $65 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.65%
- Gross expense ratio: 0.70%
- Portfolio turnover: 60%
- Brokerage commissions: 0.20 bps of average net assets (SEC N-CEN)
ATMNX Cashflows
Over the 12 months to 2020-12, AQR TM Large Cap Momentum Style Fund had net outflows of $14.08M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2020-12 | $4.20M |
| 2020-11 | −$1.59M |
| 2020-10 | −$1.68M |
| 2020-09 | $116.11K |
| 2020-08 | −$4.07M |
| 2020-07 | −$3.64M |
ATMNX Debt Constituents
No individual debt constituents are reported in AQR TM Large Cap Momentum Style Fund's latest SEC N-PORT filing.
ATMNX Prospectus and SEC Filings
Official AQR TM Large Cap Momentum Style Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2021-01-28
- Prospectus (485BPOS) — filed 2020-02-19
- Prospectus (485BPOS) — filed 2019-02-19
- Portfolio holdings (N-PORT) — filed 2021-02-24
- Portfolio holdings (N-PORT) — filed 2020-11-20
- Portfolio holdings (N-PORT) — filed 2020-08-28
- Annual census (N-CEN) — filed 2020-12-11
- Annual census (N-CEN) — filed 2019-12-16
Related Funds
Other United States Large Cap Growth Equity funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.