AQR Diversified Arbitrage Fund - Seasonality

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AQR Diversified Arbitrage Fund - Seasonality

Seasonality Charts

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Correlation

2024

77.79%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Probability %	70%	90%	70%	70%	70%	90%	70%	80%	89%	56%	56%	78%
Average return %	+0.94%	+0.75%	-0.72%	+0.62%	+0.23%	+1.10%	+0.60%	+0.58%	+0.41%	+0.03%	+0.67%	-1.40%
2026	+0.78%	-0.08%	+0.23%	+1.31%	+0.69%	+0.08%	+0.30%	+0.15%	-0.15%	--	--	--
2025	+0.58%	+1.31%	+0.57%	+0.08%	+1.45%	+0.48%	+0.71%	+0.47%	+0.31%	+1.09%	+0.38%	-1.76%
2024	-0.34%	+0.25%	+1.18%	-0.75%	+0.25%	+0.59%	+1.41%	+0.98%	+0.24%	-0.73%	-0.49%	-0.66%
2023	+1.03%	+0.08%	-0.17%	-0.17%	-1.02%	+1.46%	+0.93%	+0.50%	+0.25%	-1.25%	+1.43%	-1.33%
2022	-1.40%	+0.08%	+0.59%	-0.83%	-1.68%	-1.11%	+1.38%	+1.19%	-2.10%	+0.52%	-0.26%	+0.26%
2021	+5.41%	+3.64%	-3.43%	+0.91%	-0.33%	+0.74%	-0.90%	+0.16%	+0.58%	+0.82%	-0.49%	-1.39%
2020	+0.97%	+0.53%	-8.05%	+3.46%	+1.34%	+4.84%	+2.10%	+2.46%	+3.01%	-0.58%	+6.07%	+5.72%
2019	+1.49%	+0.90%	+0.89%	+0.77%	+0.11%	+1.32%	+0.43%	-0.11%	+0.22%	+0.54%	+0.54%	-0.96%
2018	-0.22%	+0.44%	+0.55%	+0.54%	+0.65%	+1.51%	-0.11%	+0.21%	+0.42%	-0.21%	-0.63%	-7.01%
2017	+1.08%	+0.32%	+0.43%	+0.85%	+0.84%	+1.05%	-0.21%	-0.21%	+0.73%	+0.10%	-0.52%	-5.49%

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