AMOMX vs. AUEIX
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and AQR Large Cap Defensive Style Fund (AUEIX).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOMX or AUEIX.
Performance
AMOMX vs. AUEIX - Performance Comparison
Returns By Period
In the year-to-date period, AMOMX achieves a 33.09% return, which is significantly higher than AUEIX's 19.22% return. Over the past 10 years, AMOMX has underperformed AUEIX with an annualized return of 2.08%, while AUEIX has yielded a comparatively higher 11.56% annualized return.
AMOMX
33.09%
4.32%
14.81%
23.44%
2.89%
2.08%
AUEIX
19.22%
1.47%
10.60%
22.49%
10.28%
11.56%
Key characteristics
| AMOMX | AUEIX | |
|---|---|---|
| Sharpe Ratio | 1.23 | 0.74 |
| Sortino Ratio | 1.54 | 1.28 |
| Omega Ratio | 1.27 | 1.44 |
| Calmar Ratio | 0.65 | 1.14 |
| Martin Ratio | 5.50 | 1.98 |
| Ulcer Index | 4.35% | 11.66% |
| Daily Std Dev | 19.49% | 31.09% |
| Max Drawdown | -39.97% | -33.57% |
| Current Drawdown | -13.41% | -3.32% |
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AMOMX vs. AUEIX - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is higher than AUEIX's 0.37% expense ratio.
Correlation
The correlation between AMOMX and AUEIX is 0.88, 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.
Risk-Adjusted Performance
AMOMX vs. AUEIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and AQR Large Cap Defensive Style Fund (AUEIX). 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.
Dividends
AMOMX vs. AUEIX - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 0.84%, less than AUEIX's 1.99% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 0.84% | 1.11% | 1.29% | 0.51% | 0.72% | 1.14% | 1.20% | 0.97% | 1.67% | 1.05% | 0.65% | 0.64% |
AUEIX AQR Large Cap Defensive Style Fund | 1.99% | 2.38% | 1.39% | 1.06% | 1.29% | 1.10% | 1.22% | 1.44% | 1.45% | 0.95% | 1.98% | 0.63% |
Drawdowns
AMOMX vs. AUEIX - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -39.97%, which is greater than AUEIX's maximum drawdown of -33.57%. Use the drawdown chart below to compare losses from any high point for AMOMX and AUEIX. For additional features, visit the drawdowns tool.
Volatility
AMOMX vs. AUEIX - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 4.87% compared to AQR Large Cap Defensive Style Fund (AUEIX) at 3.33%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than AUEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.