Correlation
The correlation between AMOMX and SPLG is 0.90, 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.
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.
Performance
AMOMX vs. SPLG - Performance Comparison
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Key characteristics
AMOMX:
0.64
SPLG:
0.73
AMOMX:
0.91
SPLG:
1.04
AMOMX:
1.13
SPLG:
1.15
AMOMX:
0.59
SPLG:
0.68
AMOMX:
2.02
SPLG:
2.58
AMOMX:
6.57%
SPLG:
4.93%
AMOMX:
24.27%
SPLG:
19.61%
AMOMX:
-34.29%
SPLG:
-54.52%
AMOMX:
-3.35%
SPLG:
-3.53%
Returns By Period
In the year-to-date period, AMOMX achieves a 4.11% return, which is significantly higher than SPLG's 0.89% return. Both investments have delivered pretty close results over the past 10 years, with AMOMX having a 12.56% annualized return and SPLG not far ahead at 12.72%.
AMOMX
4.11%
9.11%
-1.17%
15.34%
14.91%
15.86%
12.56%
SPLG
0.89%
6.33%
-1.55%
14.28%
14.31%
15.91%
12.72%
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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 Rank
AMOMX
SPLG
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.
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Dividends
AMOMX vs. SPLG - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 13.50%, more than SPLG's 1.29% yield.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 13.50% | 14.05% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% | 9.94% |
SPLG SPDR Portfolio S&P 500 ETF | 1.29% | 1.28% | 1.44% | 1.69% | 1.25% | 1.54% | 1.79% | 2.23% | 1.75% | 1.97% | 1.98% | 1.79% |
Drawdowns
AMOMX vs. SPLG - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.29%, smaller than the maximum SPLG drawdown of -54.52%. Use the drawdown chart below to compare losses from any high point for AMOMX and SPLG.
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Volatility
AMOMX vs. SPLG - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 5.07% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 4.80%. 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.
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