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.
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.
Performance
AMOMX vs. SPY - Performance Comparison
Key characteristics
AMOMX:
0.73
SPY:
2.21
AMOMX:
0.97
SPY:
2.93
AMOMX:
1.18
SPY:
1.41
AMOMX:
0.42
SPY:
3.26
AMOMX:
4.53
SPY:
14.43
AMOMX:
3.38%
SPY:
1.90%
AMOMX:
21.05%
SPY:
12.41%
AMOMX:
-39.97%
SPY:
-55.19%
AMOMX:
-26.11%
SPY:
-2.74%
Returns By Period
In the year-to-date period, AMOMX achieves a 13.58% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, AMOMX has underperformed SPY with an annualized return of 1.35%, while SPY has yielded a comparatively higher 12.97% annualized return.
AMOMX
13.58%
-13.78%
-5.46%
13.88%
-0.92%
1.35%
SPY
25.54%
-0.42%
8.90%
25.98%
14.66%
12.97%
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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 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 has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.86%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 0.00% | 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 | 0.86% | 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 14.69% compared to SPDR S&P 500 ETF (SPY) at 3.72%. 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.