PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
AQR Large Cap Momentum Style Fund (AMOMX)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISINUS00203H7017
CUSIP00203H701
IssuerAQR Funds
Inception DateJul 9, 2009
CategoryLarge Cap Growth Equities
Min. Investment$5,000,000
Asset ClassEquity

Asset Class Size

Large-Cap

Asset Class Style

Growth

Expense Ratio

The AQR Large Cap Momentum Style Fund has a high expense ratio of 0.41%, indicating higher-than-average management fees.


0.50%1.00%1.50%2.00%0.41%

Share Price Chart


Loading data...

Compare to other instruments

Search for stocks, ETFs, and funds to compare with AMOMX

AQR Large Cap Momentum Style Fund

Popular comparisons: AMOMX vs. SPLG, AMOMX vs. ^OEX

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in AQR Large Cap Momentum Style Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


400.00%450.00%500.00%550.00%600.00%650.00%OctoberNovemberDecember2024FebruaryMarch
651.17%
494.61%
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)

S&P 500

Returns By Period

AQR Large Cap Momentum Style Fund had a return of 15.35% year-to-date (YTD) and 38.24% in the last 12 months. Over the past 10 years, AQR Large Cap Momentum Style Fund had an annualized return of 12.46%, outperforming the S&P 500 benchmark which had an annualized return of 10.96%.


PeriodReturnBenchmark
Year-To-Date15.35%10.04%
1 month4.38%3.53%
6 months30.28%22.79%
1 year38.24%32.16%
5 years (annualized)15.08%13.15%
10 years (annualized)12.46%10.96%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20242.91%8.34%
2023-0.77%-4.96%-2.66%10.05%5.01%

Risk-Adjusted Performance

Risk-Adjusted Performance Indicators

This table presents risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and compares them with a selected benchmark (^GSPC). These performance indicators assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AMOMX
AQR Large Cap Momentum Style Fund
1.69
^GSPC
S&P 500
2.76

Sharpe Ratio

The current AQR Large Cap Momentum Style Fund Sharpe ratio is 1.69. A Sharpe ratio greater than 1.0 is considered acceptable.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
1.69
2.76
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)

Dividends

Dividend History

AQR Large Cap Momentum Style Fund granted a 12.21% dividend yield in the last twelve months. The annual payout for that period amounted to $2.71 per share.


PeriodTTM20232022202120202019201820172016201520142013
Dividend$2.71$2.71$2.04$4.51$3.81$2.21$2.25$1.97$1.56$1.66$2.06$1.00

Dividend yield

12.21%14.08%10.95%17.95%16.14%10.22%12.17%9.15%8.23%8.44%9.94%4.84%

Monthly Dividends

The table displays the monthly dividend distributions for AQR Large Cap Momentum Style Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDec
2024$0.00$0.00
2023$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.71
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.04
2021$0.00$0.00$0.00$0.00$0.14$0.00$0.00$0.00$0.00$0.00$0.00$4.37
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$3.81
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.21
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.25
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.97
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.56
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.66
2014$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$2.06
2013$1.00

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-0.36%
0
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the AQR Large Cap Momentum Style Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the AQR Large Cap Momentum Style Fund was 34.29%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.

The current AQR Large Cap Momentum Style Fund drawdown is 0.36%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.29%Feb 20, 202023Mar 23, 202082Jul 20, 2020105
-26.33%Nov 9, 2021153Jun 17, 2022375Dec 14, 2023528
-23.1%May 2, 2011108Oct 3, 2011120Mar 26, 2012228
-21.3%Oct 2, 201857Dec 21, 2018122Jun 19, 2019179
-19.45%Apr 26, 201049Jul 2, 201087Nov 4, 2010136

Volatility

Volatility Chart

The current AQR Large Cap Momentum Style Fund volatility is 3.83%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%OctoberNovemberDecember2024FebruaryMarch
3.83%
2.82%
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)