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.
Key characteristics
AMOMX | AUEIX | |
---|---|---|
YTD Return | 21.70% | 16.21% |
1Y Return | 30.09% | 21.45% |
3Y Return (Ann) | 7.67% | 4.83% |
5Y Return (Ann) | 14.67% | 10.28% |
10Y Return (Ann) | 12.12% | 11.94% |
Sharpe Ratio | 1.23 | 0.67 |
Daily Std Dev | 24.38% | 31.09% |
Max Drawdown | -34.29% | -33.57% |
Current Drawdown | -1.56% | -5.76% |
Correlation
The correlation between AMOMX and AUEIX is 0.89, 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.
Performance
AMOMX vs. AUEIX - Performance Comparison
In the year-to-date period, AMOMX achieves a 21.70% return, which is significantly higher than AUEIX's 16.21% return. Both investments have delivered pretty close results over the past 10 years, with AMOMX having a 12.12% annualized return and AUEIX not far behind at 11.94%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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 11.57%, less than AUEIX's 20.89% yield.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 11.57% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% | 9.94% | 4.84% |
AUEIX AQR Large Cap Defensive Style Fund | 20.89% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.66% | 2.36% | 1.99% | 6.18% | 4.90% | 0.95% |
Drawdowns
AMOMX vs. AUEIX - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.29%, roughly equal to the maximum AUEIX 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 7.08% compared to AQR Large Cap Defensive Style Fund (AUEIX) at 3.18%. 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.