AMOMX vs. SPY
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and State Street SPDR S&P 500 ETF (SPY).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Performance
AMOMX vs. SPY - Performance Comparison
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AMOMX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | -6.19% | 15.36% | 27.62% | 18.17% | -18.00% | 26.01% | 26.86% | 29.20% | -4.01% | 23.87% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, AMOMX achieves a -6.19% return, which is significantly lower than SPY's -4.37% return. Over the past 10 years, AMOMX has underperformed SPY with an annualized return of 13.17%, while SPY has yielded a comparatively higher 13.98% annualized return.
AMOMX
- 1D
- -1.37%
- 1M
- -8.17%
- YTD
- -6.19%
- 6M
- -7.18%
- 1Y
- 15.03%
- 3Y*
- 17.28%
- 5Y*
- 10.57%
- 10Y*
- 13.17%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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AMOMX vs. SPY - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
AMOMX vs. SPY — Risk / Return Rank
AMOMX
SPY
AMOMX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and State Street SPDR S&P 500 ETF (SPY). 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.
| AMOMX | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.73 | 0.93 | -0.19 |
Sortino ratioReturn per unit of downside risk | 1.16 | 1.45 | -0.30 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.22 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 0.99 | 1.53 | -0.54 |
Martin ratioReturn relative to average drawdown | 4.50 | 7.30 | -2.80 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AMOMX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.73 | 0.93 | -0.19 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.50 | 0.69 | -0.19 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.63 | 0.78 | -0.15 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.69 | 0.56 | +0.13 |
Correlation
The correlation between AMOMX and SPY is 0.94, 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.
Dividends
AMOMX vs. SPY - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 27.17%, more than SPY's 1.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 27.17% | 25.49% | 14.05% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
AMOMX vs. SPY - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.80%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AMOMX and SPY.
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Drawdown Indicators
| AMOMX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.80% | -55.19% | +20.39% |
Max Drawdown (1Y)Largest decline over 1 year | -12.96% | -12.05% | -0.91% |
Max Drawdown (5Y)Largest decline over 5 years | -34.80% | -24.50% | -10.30% |
Max Drawdown (10Y)Largest decline over 10 years | -34.80% | -33.72% | -1.08% |
Current DrawdownCurrent decline from peak | -9.42% | -6.24% | -3.18% |
Average DrawdownAverage peak-to-trough decline | -6.34% | -9.09% | +2.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.85% | 2.52% | +0.33% |
Volatility
AMOMX vs. SPY - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 5.77% compared to State Street SPDR S&P 500 ETF (SPY) at 5.31%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AMOMX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.77% | 5.31% | +0.46% |
Volatility (6M)Calculated over the trailing 6-month period | 11.81% | 9.47% | +2.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.18% | 19.05% | +2.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.46% | 17.06% | +4.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.89% | 17.92% | +2.97% |