AIMOX vs. FEZ
Compare and contrast key facts about AQR International Momentum Style Fund (AIMOX) and SPDR EURO STOXX 50 ETF (FEZ).
AIMOX is managed by AQR Funds. It was launched on Jul 8, 2009. FEZ is a passively managed fund by State Street that tracks the performance of the EURO STOXX 50 Index. It was launched on Oct 21, 2002.
Performance
AIMOX vs. FEZ - Performance Comparison
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AIMOX vs. FEZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AIMOX AQR International Momentum Style Fund | -3.40% | 34.89% | 8.70% | 16.69% | -19.43% | 12.04% | 16.57% | 22.63% | -15.29% | 25.25% |
FEZ SPDR EURO STOXX 50 ETF | -3.44% | 37.81% | 3.57% | 27.16% | -14.27% | 14.84% | 4.84% | 26.04% | -15.85% | 24.80% |
Returns By Period
The year-to-date returns for both stocks are quite close, with AIMOX having a -3.40% return and FEZ slightly lower at -3.44%. Over the past 10 years, AIMOX has underperformed FEZ with an annualized return of 8.47%, while FEZ has yielded a comparatively higher 9.68% annualized return.
AIMOX
- 1D
- 0.00%
- 1M
- -11.46%
- YTD
- -3.40%
- 6M
- 0.38%
- 1Y
- 20.00%
- 3Y*
- 16.16%
- 5Y*
- 8.26%
- 10Y*
- 8.47%
FEZ
- 1D
- 3.76%
- 1M
- -9.30%
- YTD
- -3.44%
- 6M
- 0.89%
- 1Y
- 17.45%
- 3Y*
- 14.62%
- 5Y*
- 9.71%
- 10Y*
- 9.68%
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AIMOX vs. FEZ - Expense Ratio Comparison
AIMOX has a 0.57% expense ratio, which is higher than FEZ's 0.29% expense ratio.
Return for Risk
AIMOX vs. FEZ — Risk / Return Rank
AIMOX
FEZ
AIMOX vs. FEZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR International Momentum Style Fund (AIMOX) and SPDR EURO STOXX 50 ETF (FEZ). 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.
| AIMOX | FEZ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.10 | 0.88 | +0.22 |
Sortino ratioReturn per unit of downside risk | 1.55 | 1.36 | +0.19 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.18 | +0.05 |
Calmar ratioReturn relative to maximum drawdown | 1.54 | 1.19 | +0.35 |
Martin ratioReturn relative to average drawdown | 6.13 | 4.39 | +1.73 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AIMOX | FEZ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.10 | 0.88 | +0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.49 | 0.48 | +0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.51 | 0.46 | +0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.36 | 0.29 | +0.07 |
Correlation
The correlation between AIMOX and FEZ is 0.88, 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.
Dividends
AIMOX vs. FEZ - Dividend Comparison
AIMOX's dividend yield for the trailing twelve months is around 15.74%, more than FEZ's 2.80% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AIMOX AQR International Momentum Style Fund | 15.74% | 15.20% | 22.64% | 13.66% | 2.77% | 2.22% | 1.12% | 2.34% | 2.17% | 2.19% | 2.52% | 1.62% |
FEZ SPDR EURO STOXX 50 ETF | 2.80% | 2.78% | 2.94% | 2.75% | 3.06% | 2.61% | 2.13% | 2.61% | 3.45% | 2.44% | 3.35% | 3.03% |
Drawdowns
AIMOX vs. FEZ - Drawdown Comparison
The maximum AIMOX drawdown since its inception was -32.23%, smaller than the maximum FEZ drawdown of -64.21%. Use the drawdown chart below to compare losses from any high point for AIMOX and FEZ.
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Drawdown Indicators
| AIMOX | FEZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.23% | -64.21% | +31.98% |
Max Drawdown (1Y)Largest decline over 1 year | -11.66% | -13.63% | +1.97% |
Max Drawdown (5Y)Largest decline over 5 years | -32.23% | -35.05% | +2.82% |
Max Drawdown (10Y)Largest decline over 10 years | -32.23% | -39.69% | +7.46% |
Current DrawdownCurrent decline from peak | -11.66% | -10.33% | -1.33% |
Average DrawdownAverage peak-to-trough decline | -8.28% | -17.17% | +8.89% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.93% | 3.68% | -0.75% |
Volatility
AIMOX vs. FEZ - Volatility Comparison
The current volatility for AQR International Momentum Style Fund (AIMOX) is 7.64%, while SPDR EURO STOXX 50 ETF (FEZ) has a volatility of 8.77%. This indicates that AIMOX experiences smaller price fluctuations and is considered to be less risky than FEZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AIMOX | FEZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.64% | 8.77% | -1.13% |
Volatility (6M)Calculated over the trailing 6-month period | 11.85% | 12.59% | -0.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.65% | 19.94% | -2.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.92% | 20.38% | -3.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.77% | 21.00% | -4.23% |