^OEX vs. AMOMX
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^OEX or AMOMX.
Performance
^OEX vs. AMOMX - Performance Comparison
Returns By Period
In the year-to-date period, ^OEX achieves a 28.09% return, which is significantly lower than AMOMX's 33.09% return. Over the past 10 years, ^OEX has outperformed AMOMX with an annualized return of 12.10%, while AMOMX has yielded a comparatively lower 2.08% annualized return.
^OEX
28.09%
1.18%
13.88%
32.89%
15.70%
12.10%
AMOMX
33.09%
4.32%
14.81%
23.44%
2.89%
2.08%
Key characteristics
| ^OEX | AMOMX | |
|---|---|---|
| Sharpe Ratio | 2.50 | 1.23 |
| Sortino Ratio | 3.31 | 1.54 |
| Omega Ratio | 1.47 | 1.27 |
| Calmar Ratio | 3.39 | 0.65 |
| Martin Ratio | 15.04 | 5.50 |
| Ulcer Index | 2.22% | 4.35% |
| Daily Std Dev | 13.36% | 19.49% |
| Max Drawdown | -61.31% | -39.97% |
| Current Drawdown | -1.15% | -13.41% |
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Correlation
The correlation between ^OEX and AMOMX is 0.91, 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.
Risk-Adjusted Performance
^OEX vs. AMOMX - Risk-Adjusted Performance 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.
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 -39.97%. Use the drawdown chart below to compare losses from any high point for ^OEX and AMOMX. For additional features, visit the drawdowns tool.
Volatility
^OEX vs. AMOMX - Volatility Comparison
The current volatility for S&P 100 Index (^OEX) is 4.24%, while AQR Large Cap Momentum Style Fund (AMOMX) has a volatility of 4.87%. 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.