AMOMX vs. IWB
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and iShares Russell 1000 ETF (IWB).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. IWB is a passively managed fund by iShares that tracks the performance of the Russell 1000 Index. It was launched on May 15, 2000.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOMX or IWB.
Key characteristics
| AMOMX | IWB | |
|---|---|---|
| YTD Return | 14.83% | 10.00% |
| 1Y Return | 33.68% | 28.67% |
| 3Y Return (Ann) | 9.99% | 8.57% |
| 5Y Return (Ann) | 14.45% | 14.20% |
| 10Y Return (Ann) | 12.62% | 12.50% |
| Sharpe Ratio | 1.47 | 2.48 |
| Daily Std Dev | 23.13% | 11.77% |
| Max Drawdown | -34.29% | -55.38% |
| Current Drawdown | -0.81% | -0.17% |
Correlation
The correlation between AMOMX and IWB is 0.94, 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. IWB - Performance Comparison
In the year-to-date period, AMOMX achieves a 14.83% return, which is significantly higher than IWB's 10.00% return. Both investments have delivered pretty close results over the past 10 years, with AMOMX having a 12.62% annualized return and IWB not far behind at 12.50%. 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. IWB - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is higher than IWB's 0.15% expense ratio.
Risk-Adjusted Performance
AMOMX vs. IWB - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and iShares Russell 1000 ETF (IWB). 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. IWB - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 12.26%, more than IWB's 1.21% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 12.26% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% | 9.94% | 4.84% |
IWB iShares Russell 1000 ETF | 1.21% | 1.31% | 1.56% | 1.09% | 1.37% | 1.71% | 2.06% | 1.64% | 1.89% | 1.95% | 1.70% | 1.68% |
Drawdowns
AMOMX vs. IWB - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.29%, smaller than the maximum IWB drawdown of -55.38%. Use the drawdown chart below to compare losses from any high point for AMOMX and IWB. For additional features, visit the drawdowns tool.
Volatility
AMOMX vs. IWB - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 4.40% compared to iShares Russell 1000 ETF (IWB) at 3.35%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than IWB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.