ATMOX Performance — AQR TM Large Cap Momentum Style Fund, Class I
Data updated: 2021-02-24
ATMOX returned +29.23% over one year to Dec 2020. Over one year the fund trailed its US Large Growth category average: $100 grew to $129, against $135 for the category. Volatility over the past 12 months was 25.83% a year. In the 12 months to Dec 2020 the fund lost a net $14.1M, and assets reached $291.55M.
ATMOX Growth of $100
What $100 invested in AQR TM Large Cap Momentum Style Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the US Large Growth category average over the same months.
| Period | ATMOX | Category average |
|---|---|---|
| 1 year (Jan 2020 – Dec 2020) | $129 | $135 |
| Since data start (Jul 2019 – Dec 2020) | $138 | $146 |
ATMOX Trailing Returns
Total returns to Dec 2020, from SEC N-PORT.
| Period | Total return |
|---|---|
| 1 year | +29.23% |
ATMOX Annual Returns
Calendar-year total returns of AQR TM Large Cap Momentum Style Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2020 | +29.23% |
| 2019 (Jul–Dec) | +6.84% |
ATMOX Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | +2.1% | −7.3% | −11.9% | +12.1% | +6.9% | +3.2% | +6.9% | +8.3% | −4.0% | −2.9% | +10.8% | +4.9% |
| 2019 | — | — | — | — | — | — | +1.4% | +0.1% | −0.6% | +1.2% | +2.9% | +1.7% |
ATMOX Risk
Risk measures from monthly returns over Jan 2020 – Dec 2020.
- 1-year volatility (annualised): 25.83%
- Best month: +12.11% (Apr 2020)
- Worst month: −11.87% (Mar 2020)
ATMOX Fund Flows
Monthly money in and out of AQR TM Large Cap Momentum Style Fund, from SEC Form N-PORT.
- 12-month net flow: −$14.1M
- 12-month gross sales (incl. reinvestments): $73.7M
- Sales ÷ redemptions: 0.84×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Dec 2020 | $9.9M | $5.7M | $4.2M |
| Nov 2020 | $7.7M | $9.3M | −$1.6M |
| Oct 2020 | $2.1M | $3.8M | −$1.7M |
| Sep 2020 | $3.3M | $3.2M | $116K |
| Aug 2020 | $1.5M | $5.6M | −$4.1M |
| Jul 2020 | $2.0M | $5.6M | −$3.6M |
| Jun 2020 | $4.9M | $6.9M | −$2.0M |
| May 2020 | $8.6M | $4.6M | $4.0M |
| Apr 2020 | $12.0M | $19.7M | −$7.7M |
| Mar 2020 | $10.8M | $19.1M | −$8.3M |
| Feb 2020 | $3.0M | $1.9M | $1.1M |
| Jan 2020 | $7.9M | $2.4M | $5.4M |
ATMOX Assets Under Management
Net assets of AQR TM Large Cap Momentum Style Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2020-12-31 | $291.55M |
| 2020-09-30 | $263.24M |
| 2020-06-30 | $243.95M |
| 2020-03-31 | $202.49M |
| 2019-12-31 | $247.05M |
| 2019-09-30 | $230.67M |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.