Correlation
The correlation between AMOMX and SPMO is 0.77, 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. SPMO
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and Invesco S&P 500® Momentum ETF (SPMO).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. SPMO is a passively managed fund by Invesco that tracks the performance of the S&P 500 Momentum Index. It was launched on Oct 9, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOMX or SPMO.
Performance
AMOMX vs. SPMO - Performance Comparison
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Key characteristics
AMOMX:
0.64
SPMO:
1.22
AMOMX:
0.91
SPMO:
1.64
AMOMX:
1.13
SPMO:
1.23
AMOMX:
0.59
SPMO:
1.39
AMOMX:
2.02
SPMO:
5.03
AMOMX:
6.57%
SPMO:
5.58%
AMOMX:
24.27%
SPMO:
25.08%
AMOMX:
-34.29%
SPMO:
-30.95%
AMOMX:
-3.35%
SPMO:
0.00%
Returns By Period
In the year-to-date period, AMOMX achieves a 4.11% return, which is significantly lower than SPMO's 11.09% return.
AMOMX
4.11%
9.11%
-1.17%
15.34%
14.91%
15.86%
12.56%
SPMO
11.09%
11.40%
9.23%
30.41%
24.56%
21.21%
N/A
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AMOMX vs. SPMO - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is higher than SPMO's 0.13% expense ratio.
Risk-Adjusted Performance
AMOMX vs. SPMO — Risk-Adjusted Performance Rank
AMOMX
SPMO
AMOMX vs. SPMO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and Invesco S&P 500® Momentum ETF (SPMO). 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. SPMO - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 13.50%, more than SPMO's 0.48% 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% |
SPMO Invesco S&P 500® Momentum ETF | 0.48% | 0.48% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% | 0.00% |
Drawdowns
AMOMX vs. SPMO - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.29%, which is greater than SPMO's maximum drawdown of -30.95%. Use the drawdown chart below to compare losses from any high point for AMOMX and SPMO.
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Volatility
AMOMX vs. SPMO - Volatility Comparison
The current volatility for AQR Large Cap Momentum Style Fund (AMOMX) is 5.07%, while Invesco S&P 500® Momentum ETF (SPMO) has a volatility of 5.51%. This indicates that AMOMX experiences smaller price fluctuations and is considered to be less risky than SPMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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