AMOMX vs. SPY
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOMX or SPY.
Performance
AMOMX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, AMOMX achieves a 33.09% return, which is significantly higher than SPY's 26.08% return. Over the past 10 years, AMOMX has underperformed SPY with an annualized return of 2.08%, while SPY has yielded a comparatively higher 13.10% annualized return.
AMOMX
33.09%
4.32%
14.81%
23.44%
2.89%
2.08%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| AMOMX | SPY | |
|---|---|---|
| Sharpe Ratio | 1.23 | 2.70 |
| Sortino Ratio | 1.54 | 3.60 |
| Omega Ratio | 1.27 | 1.50 |
| Calmar Ratio | 0.65 | 3.90 |
| Martin Ratio | 5.50 | 17.52 |
| Ulcer Index | 4.35% | 1.87% |
| Daily Std Dev | 19.49% | 12.14% |
| Max Drawdown | -39.97% | -55.19% |
| Current Drawdown | -13.41% | -0.85% |
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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.
Correlation
The correlation between AMOMX and SPY is 0.93, 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.
Risk-Adjusted Performance
AMOMX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and 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.
Dividends
AMOMX vs. SPY - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 0.84%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 0.84% | 1.11% | 1.29% | 0.51% | 0.72% | 1.14% | 1.20% | 0.97% | 1.67% | 1.05% | 0.65% | 0.64% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
AMOMX vs. SPY - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -39.97%, 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. For additional features, visit the drawdowns tool.
Volatility
AMOMX vs. SPY - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 4.87% compared to SPDR S&P 500 ETF (SPY) at 3.98%. 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.