AIMOX vs. SPY
Compare and contrast key facts about AQR International Momentum Style Fund (AIMOX) and State Street SPDR S&P 500 ETF (SPY).
AIMOX is managed by AQR Funds. It was launched on Jul 8, 2009. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Performance
AIMOX vs. SPY - Performance Comparison
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AIMOX vs. SPY - 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% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, AIMOX achieves a -3.40% return, which is significantly higher than SPY's -4.37% return. Over the past 10 years, AIMOX has underperformed SPY with an annualized return of 8.47%, while SPY has yielded a comparatively higher 13.98% 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%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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AIMOX vs. SPY - Expense Ratio Comparison
AIMOX has a 0.57% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
AIMOX vs. SPY — Risk / Return Rank
AIMOX
SPY
AIMOX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR International Momentum Style Fund (AIMOX) and State Street SPDR S&P 500 ETF (SPY). 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 | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.10 | 0.93 | +0.18 |
Sortino ratioReturn per unit of downside risk | 1.55 | 1.45 | +0.10 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.22 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 1.54 | 1.53 | +0.01 |
Martin ratioReturn relative to average drawdown | 6.13 | 7.30 | -1.17 |
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 | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.10 | 0.93 | +0.18 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.49 | 0.69 | -0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.51 | 0.78 | -0.28 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.36 | 0.56 | -0.20 |
Correlation
The correlation between AIMOX and SPY is 0.80, 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. SPY - Dividend Comparison
AIMOX's dividend yield for the trailing twelve months is around 15.74%, more than SPY's 1.14% 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% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
AIMOX vs. SPY - Drawdown Comparison
The maximum AIMOX drawdown since its inception was -32.23%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AIMOX and SPY.
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Drawdown Indicators
| AIMOX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.23% | -55.19% | +22.96% |
Max Drawdown (1Y)Largest decline over 1 year | -11.66% | -12.05% | +0.39% |
Max Drawdown (5Y)Largest decline over 5 years | -32.23% | -24.50% | -7.73% |
Max Drawdown (10Y)Largest decline over 10 years | -32.23% | -33.72% | +1.49% |
Current DrawdownCurrent decline from peak | -11.66% | -6.24% | -5.42% |
Average DrawdownAverage peak-to-trough decline | -8.28% | -9.09% | +0.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.93% | 2.52% | +0.41% |
Volatility
AIMOX vs. SPY - Volatility Comparison
AQR International Momentum Style Fund (AIMOX) has a higher volatility of 7.64% compared to State Street SPDR S&P 500 ETF (SPY) at 5.31%. This indicates that AIMOX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AIMOX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.64% | 5.31% | +2.33% |
Volatility (6M)Calculated over the trailing 6-month period | 11.85% | 9.47% | +2.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.65% | 19.05% | -1.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.92% | 17.06% | -0.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.77% | 17.92% | -1.15% |