AMOMX vs. ^OEX

Last updated Apr 2, 2026

Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and S&P 100 Index (^OEX).

AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009.

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.

AMOMX vs. ^OEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AMOMX AQR Large Cap Momentum Style Fund	-2.67%	15.36%	27.62%	18.17%	-18.00%	26.01%	26.86%	29.20%	-4.01%	23.87%
^OEX S&P 100 Index	-6.49%	18.76%	29.25%	30.83%	-22.12%	27.55%	19.30%	29.47%	-5.86%	19.34%

Returns By Period

In the year-to-date period, AMOMX achieves a -2.67% return, which is significantly higher than ^OEX's -6.49% return. Both investments have delivered pretty close results over the past 10 years, with AMOMX having a 13.59% annualized return and ^OEX not far behind at 13.32%.

AMOMX

• 1D: 3.75%
• 1M: -5.05%
• YTD: -2.67%
• 6M: -3.66%
• 1Y: 18.41%
• 3Y*: 18.72%
• 5Y*: 11.03%
• 10Y*: 13.59%

^OEX

• 1D: 0.73%
• 1M: -4.22%
• YTD: -6.49%
• 6M: -4.06%
• 1Y: 17.96%
• 3Y*: 19.64%
• 5Y*: 11.98%
• 10Y*: 13.32%

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

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

AMOMX Risk / Return Rank: 53
AMOMX Sharpe Ratio Rank: 41
AMOMX Sortino Ratio Rank: 45
AMOMX Omega Ratio Rank: 47
AMOMX Calmar Ratio Rank: 63
AMOMX Martin Ratio Rank: 70

^OEX

^OEX Risk / Return Rank: 67
^OEX Sharpe Ratio Rank: 64
^OEX Sortino Ratio Rank: 66
^OEX Omega Ratio Rank: 70
^OEX Calmar Ratio Rank: 66
^OEX Martin Ratio Rank: 69

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.

	AMOMX	^OEX	Difference
Sharpe ratio Return per unit of total volatility	0.91	0.93	-0.03
Sortino ratio Return per unit of downside risk	1.40	1.46	-0.06
Omega ratio Gain probability vs. loss probability	1.21	1.22	-0.01
Calmar ratio Return relative to maximum drawdown	1.52	1.53	0.00
Martin ratio Return relative to average drawdown	6.88	5.98	+0.90
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AMOMX vs. ^OEX - Sharpe Ratio Comparison

The current AMOMX Sharpe Ratio is 0.91, which is comparable to the ^OEX Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of AMOMX and ^OEX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	AMOMX	^OEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.91	0.93	-0.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.52	0.68	-0.16
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.65	0.72	-0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.71	0.49	+0.21

Correlation

The correlation between AMOMX and ^OEX is 0.92, 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.

Drawdowns

AMOMX vs. ^OEX - Drawdown Comparison

The maximum AMOMX drawdown since its inception was -34.80%, smaller than the maximum ^OEX drawdown of -61.31%. Use the drawdown chart below to compare losses from any high point for AMOMX and ^OEX.

Drawdown Indicators

	AMOMX	^OEX	Difference
Max Drawdown Largest peak-to-trough decline	-34.80%	-61.31%	+26.51%
Max Drawdown (1Y) Largest decline over 1 year	-12.96%	-12.08%	-0.88%
Max Drawdown (5Y) Largest decline over 5 years	-34.80%	-27.23%	-7.57%
Max Drawdown (10Y) Largest decline over 10 years	-34.80%	-31.53%	-3.27%
Current Drawdown Current decline from peak	-6.02%	-7.80%	+1.78%
Average Drawdown Average peak-to-trough decline	-6.34%	-12.87%	+6.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.87%	3.09%	-0.22%

Volatility

AMOMX vs. ^OEX - Volatility Comparison

AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 7.05% compared to S&P 100 Index (^OEX) at 5.63%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than ^OEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AMOMX	^OEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.05%	5.63%	+1.42%
Volatility (6M) Calculated over the trailing 6-month period	12.38%	10.07%	+2.31%
Volatility (1Y) Calculated over the trailing 1-year period	21.46%	19.34%	+2.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.51%	17.74%	+3.77%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.93%	18.44%	+2.49%