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.
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
Key characteristics
AMOMX:
0.58
SPLG:
2.22
AMOMX:
0.81
SPLG:
2.95
AMOMX:
1.15
SPLG:
1.42
AMOMX:
0.34
SPLG:
3.26
AMOMX:
3.82
SPLG:
14.44
AMOMX:
3.22%
SPLG:
1.90%
AMOMX:
21.07%
SPLG:
12.37%
AMOMX:
-39.97%
SPLG:
-54.50%
AMOMX:
-27.02%
SPLG:
-2.90%
Returns By Period
In the year-to-date period, AMOMX achieves a 12.17% return, which is significantly lower than SPLG's 25.49% return. Over the past 10 years, AMOMX has underperformed SPLG with an annualized return of 1.19%, while SPLG has yielded a comparatively higher 13.13% annualized return.
AMOMX
12.17%
-14.72%
-6.95%
13.89%
-1.17%
1.19%
SPLG
25.49%
0.01%
8.64%
27.50%
14.74%
13.13%
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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 has not paid dividends to shareholders, while SPLG's dividend yield for the trailing twelve months is around 0.92%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPLG SPDR Portfolio S&P 500 ETF | 0.92% | 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 -39.97%, 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 14.57% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 3.71%. 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.