AMOMX vs. ^OEX

Last updated Jun 24, 2026

AMOMX (AQR Large Cap Momentum Style Fund) is Large Cap Growth Equities fund managed by AQR Funds, while ^OEX (S&P 100 Index) is an index. Their correlation of 0.91 suggests significant overlap in exposure.

Performance

AMOMX vs. ^OEX - Performance Comparison

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

Returns By Period

AMOMX

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

^OEX

• 1D: -1.46%
• 1M: -2.80%
• YTD: 5.15%
• 6M: 4.24%
• 1Y: 22.49%
• 3Y*: 21.03%
• 5Y*: 13.11%
• 10Y*: 14.89%

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

AMOMX vs. ^OEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AMOMX AQR Large Cap Momentum Style Fund	11.26%	15.36%	27.62%	18.17%	-18.00%	26.01%	26.86%	29.20%	-4.01%	23.87%
^OEX S&P 100 Index	5.15%	18.76%	29.25%	30.83%	-22.12%	27.55%	19.30%	29.47%	-5.86%	19.34%

Correlation

The correlation between AMOMX and ^OEX is 0.80, 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	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.89
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.91
Correlation (All Time) Calculated using the full available price history since Jul 9, 2009	0.91

The correlation between AMOMX and ^OEX shifts across timeframes, from 0.80 (1 year) to 0.91 (all time), reflecting how their relationship changes across market environments.

Return for Risk

AMOMX vs. ^OEX — Risk / Return Rank

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

AMOMX

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

^OEX

^OEX Risk / Return Rank: 51
^OEX Sharpe Ratio Rank: 54
^OEX Sortino Ratio Rank: 52
^OEX Omega Ratio Rank: 56
^OEX Calmar Ratio Rank: 41
^OEX Martin Ratio Rank: 52

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.

AMOMX vs. ^OEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and S&P 100 Index (^OEX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	AMOMX	^OEX	Difference
Sharpe ratio: Return per unit of total volatility	—	1.68	—
Sortino ratio: Return per unit of downside risk	—	2.31	—
Omega ratio: Gain probability vs. loss probability	—	1.30	—
Calmar ratio: Return relative to maximum drawdown	—	2.00	—
Martin ratio: Return relative to average drawdown	—	8.02	—

Drawdowns

Drawdown Indicators

	AMOMX	^OEX	Difference
Max Drawdown Largest peak-to-trough decline	—	-61.31%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-11.30%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-19.89%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.23%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-31.53%	—
Current Drawdown Current decline from peak	—	-4.59%	—
Average Drawdown Average peak-to-trough decline	—	-12.65%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	2.81%	—

Volatility

Volatility by Period

	AMOMX	^OEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	5.28%	—
Volatility (6M) Calculated over the trailing 6-month period	—	10.59%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	13.45%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	17.88%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	18.51%	—

Frequently Asked Questions

Can I hold both AMOMX and ^OEX in my portfolio?

AMOMX and ^OEX have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.