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.
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
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Key characteristics
AMOMX:
0.64
SPY:
0.70
AMOMX:
0.91
SPY:
1.02
AMOMX:
1.13
SPY:
1.15
AMOMX:
0.59
SPY:
0.68
AMOMX:
2.02
SPY:
2.57
AMOMX:
6.57%
SPY:
4.93%
AMOMX:
24.27%
SPY:
20.42%
AMOMX:
-34.29%
SPY:
-55.19%
AMOMX:
-3.35%
SPY:
-3.55%
Returns By Period
In the year-to-date period, AMOMX achieves a 4.11% return, which is significantly higher than SPY's 0.87% return. Both investments have delivered pretty close results over the past 10 years, with AMOMX having a 12.56% annualized return and SPY not far ahead at 12.73%.
AMOMX
4.11%
9.11%
-1.17%
15.34%
14.91%
15.86%
12.56%
SPY
0.87%
6.28%
-1.56%
14.21%
14.25%
15.81%
12.73%
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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.
Risk-Adjusted Performance
AMOMX vs. SPY — Risk-Adjusted Performance Rank
AMOMX
SPY
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.
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Dividends
AMOMX vs. SPY - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 13.50%, more than SPY's 1.22% 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% |
SPY SPDR S&P 500 ETF | 1.22% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
Drawdowns
AMOMX vs. SPY - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.29%, 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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Volatility
AMOMX vs. SPY - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) and SPDR S&P 500 ETF (SPY) have volatilities of 5.07% and 4.86%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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