AQR Small Cap Momentum Style Fund Class I - Seasonality

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AQR Small Cap Momentum Style Fund Class I - Seasonality

Seasonality Charts

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Correlation

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Probability %	70%	60%	70%	60%	60%	78%	89%	56%	67%	67%	67%	78%
Average return %	+2.67%	+0.56%	-3.50%	+0.88%	+2.80%	+2.46%	+3.25%	+1.06%	-0.93%	+0.47%	+4.27%	-10.25%
2026	+6.29%	+0.95%	-5.64%	+14.27%	+0.50%	0.00%	0.00%	0.00%	0.00%	--	--	--
2025	+3.06%	-6.15%	-6.66%	-7.08%	+14.98%	+6.68%	+1.56%	+6.56%	+6.34%	+3.03%	-2.38%	-9.16%
2024	-1.96%	+8.72%	+3.58%	-6.81%	+4.91%	-0.05%	+9.50%	-1.09%	+1.50%	-1.39%	+11.10%	-23.67%
2023	+5.74%	-0.44%	-4.34%	-0.64%	-0.29%	+8.40%	+4.77%	-3.57%	-5.47%	-7.04%	+9.71%	+8.01%
2022	-11.91%	+2.08%	+2.29%	-9.79%	+0.62%	-10.28%	+10.95%	-1.41%	-9.15%	+12.03%	+2.47%	-6.42%
2021	+10.71%	+2.97%	-2.54%	+1.13%	-0.15%	+5.28%	-5.19%	+3.09%	-2.25%	+4.98%	-3.61%	-19.30%
2020	-1.08%	-7.46%	-20.06%	+13.81%	+7.55%	+3.80%	+5.44%	+3.95%	-1.47%	+0.05%	+16.58%	+1.94%
2019	+10.38%	+6.06%	-1.82%	+2.66%	-5.24%	+6.65%	+2.20%	-3.18%	-1.17%	+3.05%	+3.33%	-2.42%
2018	+4.22%	-3.19%	+0.55%	+0.38%	+7.41%	+0.39%	+1.71%	+6.64%	-2.90%	-12.56%	-0.59%	-32.17%
2017	+1.23%	+2.02%	-0.31%	+0.84%	-2.32%	+3.77%	+1.51%	-0.38%	+6.20%	+2.05%	+1.85%	-9.07%

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