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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

AMOMX has a high expense ratio of 0.41%, indicating higher-than-average management fees.


Expense ratio chart for AMOMX: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


AQR Large Cap Momentum Style Fund

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

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%December2024FebruaryMarchAprilMay
659.30%
502.87%
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 16.60% year-to-date (YTD) and 35.09% in the last 12 months. Over the past 10 years, AQR Large Cap Momentum Style Fund had an annualized return of 12.51%, outperforming the S&P 500 benchmark which had an annualized return of 10.87%.


PeriodReturnBenchmark
Year-To-Date16.60%11.56%
1 month8.10%7.13%
6 months22.85%17.26%
1 year35.09%26.92%
5 years (annualized)15.08%13.56%
10 years (annualized)12.51%10.87%

Monthly Returns

The table below presents the monthly returns of AMOMX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.91%8.34%3.45%-4.83%16.60%
20232.26%-2.63%1.62%1.38%-1.57%7.51%2.63%-0.77%-4.96%-2.66%10.05%5.01%18.17%
2022-7.79%-1.42%3.24%-9.79%0.23%-8.01%9.68%-3.30%-8.36%9.59%3.92%-5.09%-18.00%
2021-0.04%0.93%1.13%6.06%-0.15%4.18%2.31%3.44%-3.79%9.47%-1.15%1.60%26.01%
20201.75%-7.58%-12.77%12.44%6.86%3.19%7.22%8.05%-4.08%-2.57%10.28%4.47%26.86%
20198.01%4.01%1.98%2.93%-3.26%5.79%1.26%0.62%-0.62%0.93%3.03%1.67%29.20%
20187.10%-2.08%-2.39%0.54%3.79%-0.17%2.52%5.73%0.28%-9.80%0.71%-8.83%-4.01%
20172.74%3.02%0.30%0.89%1.62%0.48%2.79%1.12%1.90%4.05%2.58%0.18%23.87%
2016-5.50%-1.40%6.24%-0.31%1.91%1.93%2.74%-1.11%0.05%-2.25%1.50%1.26%4.66%
2015-0.77%4.58%-0.61%-1.69%2.96%-1.44%3.10%-6.34%-2.87%7.21%0.61%-1.17%2.89%
2014-1.69%6.10%-2.59%-2.33%3.46%3.72%-2.13%4.78%-3.10%1.96%2.69%-0.85%9.84%
20134.11%1.08%4.02%2.16%2.78%-1.84%6.29%-3.06%5.25%3.72%3.34%3.11%35.21%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AMOMX is 67, suggesting that the investment has average results relative to other mutual funds in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of AMOMX is 6767
AMOMX (AQR Large Cap Momentum Style Fund)
The Sharpe Ratio Rank of AMOMX is 5050Sharpe Ratio Rank
The Sortino Ratio Rank of AMOMX is 5050Sortino Ratio Rank
The Omega Ratio Rank of AMOMX is 8181Omega Ratio Rank
The Calmar Ratio Rank of AMOMX is 8282Calmar Ratio Rank
The Martin Ratio Rank of AMOMX is 7474Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


AMOMX
Sharpe ratio
The chart of Sharpe ratio for AMOMX, currently valued at 1.50, compared to the broader market-1.000.001.002.003.004.001.50
Sortino ratio
The chart of Sortino ratio for AMOMX, currently valued at 2.22, compared to the broader market-2.000.002.004.006.008.0010.0012.002.22
Omega ratio
The chart of Omega ratio for AMOMX, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.003.501.40
Calmar ratio
The chart of Calmar ratio for AMOMX, currently valued at 1.76, compared to the broader market0.002.004.006.008.0010.0012.001.76
Martin ratio
The chart of Martin ratio for AMOMX, currently valued at 7.29, compared to the broader market0.0020.0040.0060.0080.007.29
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.34, compared to the broader market-1.000.001.002.003.004.002.34
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.31, compared to the broader market-2.000.002.004.006.008.0010.0012.003.31
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.003.501.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.90, compared to the broader market0.002.004.006.008.0010.0012.001.90
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.93, compared to the broader market0.0020.0040.0060.0080.008.93

Sharpe Ratio

The current AQR Large Cap Momentum Style Fund Sharpe ratio is 1.50. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of AQR Large Cap Momentum Style Fund with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00December2024FebruaryMarchAprilMay
1.50
2.34
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)

Dividends

Dividend History

AQR Large Cap Momentum Style Fund granted a 12.08% 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

12.08%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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.00$0.00$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$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$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$4.51
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$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$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$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$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$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$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$2.06
2013$1.00$1.00

Drawdowns

Drawdowns Chart

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


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.04%
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 0.04%.


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 3.98%, 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%December2024FebruaryMarchAprilMay
3.98%
3.10%
AMOMX (AQR Large Cap Momentum Style Fund)
Benchmark (^GSPC)