ALFAX vs. ASMOX

Last updated Jun 4, 2026

ALFAX (Lord Abbett Alpha Strategy Fund) and ASMOX (AQR Small Cap Momentum Style Fund) are both Small Cap Growth Equities funds. With a 0.95 correlation, they move nearly in lockstep. ALFAX charges 1.40%/yr vs 0.61%/yr for ASMOX.

Performance

ALFAX vs. ASMOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lord Abbett Alpha Strategy Fund (ALFAX) and AQR Small Cap Momentum Style Fund (ASMOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

ALFAX

• 1D: 0.76%
• 1M: 4.83%
• YTD: 18.69%
• 6M: 18.13%
• 1Y: 32.77%
• 3Y*: 15.74%
• 5Y*: 5.22%
• 10Y*: 10.51%

ASMOX

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

ALFAX vs. ASMOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ALFAX Lord Abbett Alpha Strategy Fund	18.69%	8.80%	13.18%	13.92%	-23.50%	15.01%	26.16%	24.95%	-9.72%	20.61%
ASMOX AQR Small Cap Momentum Style Fund	17.33%	16.87%	16.54%	18.37%	-19.56%	15.37%	25.76%	26.47%	-12.14%	17.43%

Correlation

The correlation between ALFAX and ASMOX is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.87
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (10Y) Calculated over the trailing 10-year period	0.94
Correlation (All Time) Calculated using the full available price history since Jul 10, 2009	0.95

The correlation between ALFAX and ASMOX has been stable across timeframes, ranging from 0.87 to 0.95 - a consistent structural relationship.

Return for Risk

ALFAX vs. ASMOX — Risk / Return Rank

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

ALFAX

ALFAX Risk / Return Rank: 55
ALFAX Sharpe Ratio Rank: 48
ALFAX Sortino Ratio Rank: 46
ALFAX Omega Ratio Rank: 42
ALFAX Calmar Ratio Rank: 72
ALFAX Martin Ratio Rank: 65

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.

ALFAX vs. ASMOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lord Abbett Alpha Strategy Fund (ALFAX) and AQR Small Cap Momentum Style Fund (ASMOX). 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.

	ALFAX	ASMOX	Difference
Sharpe ratio Return per unit of total volatility	2.03	—	—
Sortino ratio Return per unit of downside risk	2.87	—	—
Omega ratio Gain probability vs. loss probability	1.35	—	—
Calmar ratio Return relative to maximum drawdown	3.31	—	—
Martin ratio Return relative to average drawdown	12.75	—	—
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

Sharpe Ratios by Period

	ALFAX	ASMOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.03	—	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.26	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.51	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.43	—	—

Drawdowns

Drawdown Indicators

	ALFAX	ASMOX	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	—	—
Max Drawdown (1Y) Largest decline over 1 year	-10.31%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-25.01%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-33.88%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-40.29%	—	—
Current Drawdown Current decline from peak	-0.31%	—	—
Average Drawdown Average peak-to-trough decline	-12.87%	—	—
Ulcer Index Depth and duration of drawdowns from previous peaks	2.67%	—	—

Volatility

Volatility by Period

	ALFAX	ASMOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.84%	—	—
Volatility (6M) Calculated over the trailing 6-month period	13.10%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	16.86%	—	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.86%	—	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.72%	—	—

ALFAX vs. ASMOX - Expense Ratio Comparison

ALFAX has a 1.40% expense ratio, which is higher than ASMOX's 0.61% expense ratio.

Dividends

ALFAX vs. ASMOX - Dividend Comparison

ALFAX's dividend yield for the trailing twelve months is around 4.47%, less than ASMOX's 7.88% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ALFAX Lord Abbett Alpha Strategy Fund	4.47%	5.30%	0.80%	0.46%	6.94%	5.38%	7.99%	14.66%	16.61%	11.96%	11.85%	15.83%
ASMOX AQR Small Cap Momentum Style Fund	7.88%	8.12%	18.80%	3.92%	0.57%	24.81%	5.46%	4.38%	29.63%	9.90%	0.79%	1.23%

Frequently Asked Questions

Can I hold both ALFAX and ASMOX in my portfolio?

ALFAX and ASMOX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.