ATSMX Performance — AQR TM Small Cap Momentum Style Fund, Class I
Data updated: 2021-02-24
ATSMX returned +28.11% over one year to Dec 2020. Over one year the fund trailed its US Small Growth category average: $100 grew to $128, against $136 for the category. Volatility over the past 12 months was 33.27% a year. In the 12 months to Dec 2020 the fund lost a net $9.6M, and assets reached $57.52M.
ATSMX Growth of $100
What $100 invested in AQR TM Small Cap Momentum Style Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the US Small Growth category average over the same months.
| Period | ATSMX | Category average |
|---|---|---|
| 1 year (Jan 2020 – Dec 2020) | $128 | $136 |
| Since data start (Jul 2019 – Dec 2020) | $137 | $143 |
ATSMX Trailing Returns
Total returns to Dec 2020, from SEC N-PORT.
| Period | Total return |
|---|---|
| 1 year | +28.11% |
ATSMX Annual Returns
Calendar-year total returns of AQR TM Small Cap Momentum Style Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2020 | +28.11% |
| 2019 (Jul–Dec) | +6.85% |
ATSMX 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 | −0.8% | −7.6% | −19.2% | +13.9% | +7.6% | +3.2% | +5.1% | +4.4% | −1.2% | −0.1% | +17.1% | +7.9% |
| 2019 | — | — | — | — | — | — | +2.1% | −3.4% | −1.0% | +2.9% | +4.0% | +2.2% |
ATSMX Risk
Risk measures from monthly returns over Jan 2020 – Dec 2020.
- 1-year volatility (annualised): 33.27%
- Best month: +17.11% (Nov 2020)
- Worst month: −19.21% (Mar 2020)
ATSMX Fund Flows
Monthly money in and out of AQR TM Small Cap Momentum Style Fund, from SEC Form N-PORT.
- 12-month net flow: −$9.6M
- 12-month gross sales (incl. reinvestments): $17.4M
- Sales ÷ redemptions: 0.64×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Dec 2020 | $1.3M | $1.1M | $195K |
| Nov 2020 | $2.9M | $3.1M | −$177K |
| Oct 2020 | $314K | $1.0M | −$734K |
| Sep 2020 | $630K | $693K | −$63K |
| Aug 2020 | $373K | $1.3M | −$963K |
| Jul 2020 | $1.9M | $2.1M | −$237K |
| Jun 2020 | $1.2M | $1.2M | $6K |
| May 2020 | $1.3M | $1.4M | −$78K |
| Apr 2020 | $2.4M | $6.4M | −$4.0M |
| Mar 2020 | $3.6M | $6.9M | −$3.4M |
| Feb 2020 | $607K | $801K | −$194K |
| Jan 2020 | $862K | $843K | $20K |
ATSMX Assets Under Management
Net assets of AQR TM Small Cap Momentum Style Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2020-12-31 | $57.52M |
| 2020-09-30 | $47.17M |
| 2020-06-30 | $44.67M |
| 2020-03-31 | $39.27M |
| 2019-12-31 | $58.10M |
| 2019-09-30 | $53.92M |
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.