AMOMX vs. MTUM

In the year-to-date period, AMOMX achieves a 4.02% return, which is significantly lower than MTUM's 11.60% return. Over the past 10 years, AMOMX has underperformed MTUM with an annualized return of 12.51%, while MTUM has yielded a comparatively higher 13.71% annualized return.

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AMOMX has a 0.41% expense ratio, which is higher than MTUM's 0.15% expense ratio.

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.

The current AMOMX Sharpe Ratio is 0.58, which is lower than the MTUM Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of AMOMX and MTUM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

AMOMX's dividend yield for the trailing twelve months is around 13.51%, more than MTUM's 0.83% yield.

The maximum AMOMX drawdown since its inception was -34.29%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for AMOMX and MTUM.

AQR Large Cap Momentum Style Fund (AMOMX) and iShares Edge MSCI USA Momentum Factor ETF (MTUM) have volatilities of 5.07% and 5.02%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.