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

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.


-0.50.00.51.00.9

Performance

AMOMX vs. MTUM - Performance Comparison

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

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
39.32%
374.09%
AMOMX
MTUM

Key characteristics

Sharpe Ratio

AMOMX:

0.73

MTUM:

1.94

Sortino Ratio

AMOMX:

0.97

MTUM:

2.62

Omega Ratio

AMOMX:

1.18

MTUM:

1.34

Calmar Ratio

AMOMX:

0.42

MTUM:

1.98

Martin Ratio

AMOMX:

4.53

MTUM:

11.33

Ulcer Index

AMOMX:

3.38%

MTUM:

3.23%

Daily Std Dev

AMOMX:

21.05%

MTUM:

18.94%

Max Drawdown

AMOMX:

-39.97%

MTUM:

-34.08%

Current Drawdown

AMOMX:

-26.11%

MTUM:

-3.55%

Returns By Period

In the year-to-date period, AMOMX achieves a 13.58% return, which is significantly lower than MTUM's 34.29% return. Over the past 10 years, AMOMX has underperformed MTUM with an annualized return of 1.35%, while MTUM has yielded a comparatively higher 13.18% annualized return.


AMOMX

YTD

13.58%

1M

-13.78%

6M

-5.46%

1Y

13.88%

5Y*

-0.92%

10Y*

1.35%

MTUM

YTD

34.29%

1M

-0.84%

6M

7.61%

1Y

34.86%

5Y*

12.03%

10Y*

13.18%

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. MTUM - Expense Ratio Comparison

AMOMX has a 0.41% expense ratio, which is higher than MTUM's 0.15% 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 MTUM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

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.


Sharpe ratio
The chart of Sharpe ratio for AMOMX, currently valued at 0.73, compared to the broader market-1.000.001.002.003.004.000.731.94
The chart of Sortino ratio for AMOMX, currently valued at 0.97, compared to the broader market-2.000.002.004.006.008.0010.000.972.62
The chart of Omega ratio for AMOMX, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.003.501.181.34
The chart of Calmar ratio for AMOMX, currently valued at 0.42, compared to the broader market0.002.004.006.008.0010.0012.0014.000.421.98
The chart of Martin ratio for AMOMX, currently valued at 4.53, compared to the broader market0.0020.0040.0060.004.5311.33
AMOMX
MTUM

The current AMOMX Sharpe Ratio is 0.73, which is lower than the MTUM Sharpe Ratio of 1.94. 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.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.73
1.94
AMOMX
MTUM

Dividends

AMOMX vs. MTUM - Dividend Comparison

AMOMX has not paid dividends to shareholders, while MTUM's dividend yield for the trailing twelve months is around 0.74%.


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%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.74%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.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-26.11%
-3.55%
AMOMX
MTUM

Volatility

AMOMX vs. MTUM - Volatility Comparison

AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 14.69% compared to iShares Edge MSCI USA Momentum Factor ETF (MTUM) at 5.67%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
14.69%
5.67%
AMOMX
MTUM
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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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