^OEX vs. AMOMX

Last updated Apr 4, 2026

Compare and contrast key facts about S&P 100 Index (^OEX) and AQR Large Cap Momentum Style Fund (AMOMX).

AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009.

Performance

^OEX vs. AMOMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 100 Index (^OEX) and AQR Large Cap Momentum Style Fund (AMOMX). The values are adjusted to include any dividend payments, if applicable.

^OEX vs. AMOMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^OEX S&P 100 Index	-6.48%	18.76%	29.25%	30.83%	-22.12%	27.55%	19.30%	29.47%	-5.86%	19.34%
AMOMX AQR Large Cap Momentum Style Fund	-1.11%	15.36%	27.62%	18.17%	-18.00%	26.01%	26.86%	29.20%	-4.01%	23.87%

Returns By Period

In the year-to-date period, ^OEX achieves a -6.48% return, which is significantly lower than AMOMX's -1.11% return. Both investments have delivered pretty close results over the past 10 years, with ^OEX having a 13.35% annualized return and AMOMX not far ahead at 13.82%.

^OEX

• 1D: 0.01%
• 1M: -4.40%
• YTD: -6.48%
• 6M: -3.95%
• 1Y: 23.43%
• 3Y*: 19.46%
• 5Y*: 11.99%
• 10Y*: 13.35%

AMOMX

• 1D: 0.10%
• 1M: -3.01%
• YTD: -1.11%
• 6M: -1.92%
• 1Y: 26.93%
• 3Y*: 18.94%
• 5Y*: 11.39%
• 10Y*: 13.82%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^OEX vs. AMOMX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^OEX

^OEX Risk / Return Rank: 63
^OEX Sharpe Ratio Rank: 62
^OEX Sortino Ratio Rank: 64
^OEX Omega Ratio Rank: 66
^OEX Calmar Ratio Rank: 60
^OEX Martin Ratio Rank: 63

AMOMX

AMOMX Risk / Return Rank: 42
AMOMX Sharpe Ratio Rank: 33
AMOMX Sortino Ratio Rank: 36
AMOMX Omega Ratio Rank: 38
AMOMX Calmar Ratio Rank: 48
AMOMX Martin Ratio Rank: 56

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^OEX vs. AMOMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 100 Index (^OEX) and AQR Large Cap Momentum Style Fund (AMOMX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	^OEX	AMOMX	Difference
Sharpe ratio Return per unit of total volatility	0.90	0.89	+0.01
Sortino ratio Return per unit of downside risk	1.41	1.37	+0.04
Omega ratio Gain probability vs. loss probability	1.21	1.20	+0.01
Calmar ratio Return relative to maximum drawdown	1.49	1.57	-0.08
Martin ratio Return relative to average drawdown	5.75	7.00	-1.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^OEX vs. AMOMX - Sharpe Ratio Comparison

The current ^OEX Sharpe Ratio is 0.90, which is comparable to the AMOMX Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of ^OEX and AMOMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^OEX	AMOMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.90	0.89	+0.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.68	0.53	+0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.73	0.66	+0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	0.71	-0.22

Correlation

The correlation between ^OEX and AMOMX is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

^OEX vs. AMOMX - Drawdown Comparison

The maximum ^OEX drawdown since its inception was -61.31%, which is greater than AMOMX's maximum drawdown of -34.80%. Use the drawdown chart below to compare losses from any high point for ^OEX and AMOMX.

Drawdown Indicators

	^OEX	AMOMX	Difference
Max Drawdown Largest peak-to-trough decline	-61.31%	-34.80%	-26.51%
Max Drawdown (1Y) Largest decline over 1 year	-11.30%	-9.42%	-1.88%
Max Drawdown (5Y) Largest decline over 5 years	-27.23%	-34.80%	+7.57%
Max Drawdown (10Y) Largest decline over 10 years	-31.53%	-34.80%	+3.27%
Current Drawdown Current decline from peak	-7.79%	-4.52%	-3.27%
Average Drawdown Average peak-to-trough decline	-12.87%	-6.34%	-6.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.13%	2.90%	+0.23%

Volatility

^OEX vs. AMOMX - Volatility Comparison

The current volatility for S&P 100 Index (^OEX) is 5.54%, while AQR Large Cap Momentum Style Fund (AMOMX) has a volatility of 7.05%. This indicates that ^OEX experiences smaller price fluctuations and is considered to be less risky than AMOMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^OEX	AMOMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.54%	7.05%	-1.51%
Volatility (6M) Calculated over the trailing 6-month period	10.06%	12.47%	-2.41%
Volatility (1Y) Calculated over the trailing 1-year period	19.33%	21.49%	-2.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.74%	21.50%	-3.76%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.44%	20.92%	-2.48%