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AMOMX vs. AUEIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

AMOMX vs. AUEIX - Performance Comparison

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

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
57.48%
253.94%
AMOMX
AUEIX

Key characteristics

Sharpe Ratio

AMOMX:

0.73

AUEIX:

-0.26

Sortino Ratio

AMOMX:

0.97

AUEIX:

-0.16

Omega Ratio

AMOMX:

1.18

AUEIX:

0.95

Calmar Ratio

AMOMX:

0.42

AUEIX:

-0.22

Martin Ratio

AMOMX:

4.53

AUEIX:

-1.74

Ulcer Index

AMOMX:

3.38%

AUEIX:

3.20%

Daily Std Dev

AMOMX:

21.05%

AUEIX:

21.27%

Max Drawdown

AMOMX:

-39.97%

AUEIX:

-33.57%

Current Drawdown

AMOMX:

-26.11%

AUEIX:

-24.70%

Returns By Period

In the year-to-date period, AMOMX achieves a 13.58% return, which is significantly higher than AUEIX's -7.15% return. Over the past 10 years, AMOMX has underperformed AUEIX with an annualized return of 1.35%, while AUEIX has yielded a comparatively higher 8.56% annualized return.


AMOMX

YTD

13.58%

1M

-13.78%

6M

-5.46%

1Y

13.88%

5Y*

-0.92%

10Y*

1.35%

AUEIX

YTD

-7.15%

1M

-21.30%

6M

-15.25%

1Y

-6.30%

5Y*

4.15%

10Y*

8.56%

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. AUEIX - Expense Ratio Comparison

AMOMX has a 0.41% expense ratio, which is higher than AUEIX's 0.37% expense ratio.


AMOMX
AQR Large Cap Momentum Style Fund
Expense ratio chart for AMOMX: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
Expense ratio chart for AUEIX: current value at 0.37% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.37%

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.


Sharpe ratio
The chart of Sharpe ratio for AMOMX, currently valued at 0.73, compared to the broader market-1.000.001.002.003.004.000.73-0.26
The chart of Sortino ratio for AMOMX, currently valued at 0.97, compared to the broader market-2.000.002.004.006.008.0010.000.97-0.16
The chart of Omega ratio for AMOMX, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.003.501.180.95
The chart of Calmar ratio for AMOMX, currently valued at 0.42, compared to the broader market0.002.004.006.008.0010.0012.0014.000.42-0.22
The chart of Martin ratio for AMOMX, currently valued at 4.53, compared to the broader market0.0020.0040.0060.004.53-1.74
AMOMX
AUEIX

The current AMOMX Sharpe Ratio is 0.73, which is higher than the AUEIX Sharpe Ratio of -0.26. The chart below compares the historical Sharpe Ratios of AMOMX and AUEIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.73
-0.26
AMOMX
AUEIX

Dividends

AMOMX vs. AUEIX - Dividend Comparison

Neither AMOMX nor AUEIX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
AMOMX
AQR Large Cap Momentum Style Fund
0.00%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
0.00%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.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-26.11%
-24.70%
AMOMX
AUEIX

Volatility

AMOMX vs. AUEIX - Volatility Comparison

The current volatility for AQR Large Cap Momentum Style Fund (AMOMX) is 14.69%, while AQR Large Cap Defensive Style Fund (AUEIX) has a volatility of 21.83%. This indicates that AMOMX experiences smaller price fluctuations and is considered to be less risky than AUEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
14.69%
21.83%
AMOMX
AUEIX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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