AMOMX vs. SPLG
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and SPDR Portfolio S&P 500 ETF (SPLG).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. SPLG is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Nov 15, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOMX or SPLG.
Key characteristics
| AMOMX | SPLG | |
|---|---|---|
| YTD Return | 10.09% | 6.31% |
| 1Y Return | 29.54% | 26.43% |
| 3Y Return (Ann) | 7.02% | 8.11% |
| 5Y Return (Ann) | 13.42% | 13.32% |
| 10Y Return (Ann) | 12.29% | 12.76% |
| Sharpe Ratio | 1.22 | 2.22 |
| Daily Std Dev | 23.13% | 11.66% |
| Max Drawdown | -34.29% | -54.50% |
| Current Drawdown | -4.90% | -3.74% |
Correlation
The correlation between AMOMX and SPLG is 0.84, 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. SPLG - Performance Comparison
In the year-to-date period, AMOMX achieves a 10.09% return, which is significantly higher than SPLG's 6.31% return. Both investments have delivered pretty close results over the past 10 years, with AMOMX having a 12.29% annualized return and SPLG not far ahead at 12.76%. 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. SPLG - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is higher than SPLG's 0.03% expense ratio.
Risk-Adjusted Performance
AMOMX vs. SPLG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and SPDR Portfolio S&P 500 ETF (SPLG). 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. SPLG - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 12.79%, more than SPLG's 1.39% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 12.79% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% | 9.94% | 4.84% |
SPLG SPDR Portfolio S&P 500 ETF | 1.39% | 1.44% | 1.69% | 1.25% | 1.54% | 1.79% | 2.23% | 1.75% | 1.97% | 1.98% | 1.79% | 1.71% |
Drawdowns
AMOMX vs. SPLG - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.29%, smaller than the maximum SPLG drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for AMOMX and SPLG. For additional features, visit the drawdowns tool.
Volatility
AMOMX vs. SPLG - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 4.43% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 3.57%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than SPLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.