AMOMX vs. MTUM
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOMX or MTUM.
Performance
AMOMX vs. MTUM - Performance Comparison
Returns By Period
In the year-to-date period, AMOMX achieves a 33.09% return, which is significantly lower than MTUM's 36.84% return. Over the past 10 years, AMOMX has underperformed MTUM with an annualized return of 2.08%, while MTUM has yielded a comparatively higher 13.51% annualized return.
AMOMX
33.09%
4.32%
14.81%
23.44%
2.89%
2.08%
MTUM
36.84%
2.76%
13.68%
42.28%
13.18%
13.51%
Key characteristics
| AMOMX | MTUM | |
|---|---|---|
| Sharpe Ratio | 1.23 | 2.30 |
| Sortino Ratio | 1.54 | 3.10 |
| Omega Ratio | 1.27 | 1.40 |
| Calmar Ratio | 0.65 | 1.99 |
| Martin Ratio | 5.50 | 13.35 |
| Ulcer Index | 4.35% | 3.18% |
| Daily Std Dev | 19.49% | 18.46% |
| Max Drawdown | -39.97% | -34.08% |
| Current Drawdown | -13.41% | -0.01% |
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AMOMX vs. MTUM - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Correlation
The correlation between AMOMX and MTUM is 0.93, 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. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and iShares Edge MSCI USA Momentum Factor ETF (MTUM). 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. MTUM - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 0.84%, more than MTUM's 0.54% 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% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.54% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
AMOMX vs. MTUM - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -39.97%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for AMOMX and MTUM. For additional features, visit the drawdowns tool.
Volatility
AMOMX vs. MTUM - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 4.87% compared to iShares Edge MSCI USA Momentum Factor ETF (MTUM) at 4.23%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.