AMOMX vs. AQMIX
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and AQR Managed Futures Strategy Fund (AQMIX).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.
Performance
AMOMX vs. AQMIX - Performance Comparison
Loading graphics...
AMOMX vs. AQMIX - 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% |
AQMIX AQR Managed Futures Strategy Fund | 9.72% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
Returns By Period
In the year-to-date period, AMOMX achieves a -2.67% return, which is significantly lower than AQMIX's 9.72% return. Over the past 10 years, AMOMX has outperformed AQMIX with an annualized return of 13.59%, while AQMIX has yielded a comparatively lower 4.43% annualized return.
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%
AQMIX
- 1D
- -0.47%
- 1M
- 0.96%
- YTD
- 9.72%
- 6M
- 12.93%
- 1Y
- 20.27%
- 3Y*
- 13.32%
- 5Y*
- 12.58%
- 10Y*
- 4.43%
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
AMOMX vs. AQMIX - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is lower than AQMIX's 1.25% expense ratio.
Return for Risk
AMOMX vs. AQMIX — Risk / Return Rank
AMOMX
AQMIX
AMOMX vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and AQR Managed Futures Strategy Fund (AQMIX). 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 | AQMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.91 | 2.16 | -1.25 |
Sortino ratioReturn per unit of downside risk | 1.40 | 2.71 | -1.31 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.40 | -0.19 |
Calmar ratioReturn relative to maximum drawdown | 1.52 | 3.92 | -2.39 |
Martin ratioReturn relative to average drawdown | 6.88 | 11.52 | -4.65 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| AMOMX | AQMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.91 | 2.16 | -1.25 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 1.10 | -0.58 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | 0.43 | +0.22 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.71 | 0.41 | +0.30 |
Correlation
The correlation between AMOMX and AQMIX is 0.11, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
AMOMX vs. AQMIX - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 26.19%, more than AQMIX's 2.06% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 26.19% | 25.49% | 14.05% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% |
AQMIX AQR Managed Futures Strategy Fund | 2.06% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
Drawdowns
AMOMX vs. AQMIX - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.80%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for AMOMX and AQMIX.
Loading graphics...
Drawdown Indicators
| AMOMX | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.80% | -26.52% | -8.28% |
Max Drawdown (1Y)Largest decline over 1 year | -12.96% | -5.45% | -7.51% |
Max Drawdown (5Y)Largest decline over 5 years | -34.80% | -13.57% | -21.23% |
Max Drawdown (10Y)Largest decline over 10 years | -34.80% | -23.34% | -11.46% |
Current DrawdownCurrent decline from peak | -6.02% | -0.94% | -5.08% |
Average DrawdownAverage peak-to-trough decline | -6.34% | -10.10% | +3.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.87% | 1.85% | +1.02% |
Volatility
AMOMX vs. AQMIX - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 7.05% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.58%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading graphics...
Volatility by Period
| AMOMX | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.05% | 2.58% | +4.47% |
Volatility (6M)Calculated over the trailing 6-month period | 12.38% | 6.71% | +5.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.46% | 9.62% | +11.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.51% | 11.55% | +9.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.93% | 10.36% | +10.57% |