Investment Objective

Seeks long-term capital appreciation

Investment Universe

The investment universe is comprised of small capitalization U.S. stocks, which are defined as those that are smaller than the 1000th largest company, whichever is larger. The companies must also be among the top 3000 companies by market capitalization, and meet certain liquidity and other criteria.

Fund Benchmark

Russell 2000 Growth Index

Investment Approach

The Fund invests in stocks of small-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months relative to other stocks in the investment universe.

The Fund uses a systematic approach to constructing its portfolio that starts with the investment universe, ranks the stocks in the universe by their total return over the prior twelve months excluding the last month, selects those that rank in the top third, weights them by market capitalization, and rebalances at least quarterly.

The Fund is expected to have annual turnover in excess of 100%, and will therefore employ optimization and other sophisticated techniques to keep transaction costs as low as possible. The Fund will 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 low.


December 2009
Fact Sheet


The Russell 2000 Growth Index measures the performance of those Russell 2000 companies that have higher price-to-book ratios and higher forecasted growth rates. Indexes are unmanaged and one cannot invest directly in an index.

Momentum Funds. Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer.

Small Cap Momentum Fund. Funds that emphasize investments in smaller companies generally will experience greater price volatility.


All AQR Funds. An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.

An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.