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 0.94, 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.
Performance
AMOMX vs. SPY - Performance Comparison
Key characteristics
AMOMX:
0.12
SPY:
0.30
AMOMX:
0.33
SPY:
0.56
AMOMX:
1.05
SPY:
1.08
AMOMX:
0.12
SPY:
0.31
AMOMX:
0.48
SPY:
1.40
AMOMX:
5.80%
SPY:
4.18%
AMOMX:
23.58%
SPY:
19.64%
AMOMX:
-34.29%
SPY:
-55.19%
AMOMX:
-16.82%
SPY:
-13.86%
Returns By Period
The year-to-date returns for both investments are quite close, with AMOMX having a -10.40% return and SPY slightly higher at -9.91%. Over the past 10 years, AMOMX has underperformed SPY with an annualized return of 10.91%, while SPY has yielded a comparatively higher 11.54% annualized return.
AMOMX
-10.40%
-6.24%
-10.81%
6.01%
14.58%
10.91%
SPY
-9.91%
-6.63%
-9.38%
7.66%
15.04%
11.54%
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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.
Dividends
AMOMX vs. SPY - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 15.69%, more than SPY's 1.36% yield.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 15.69% | 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 | 1.36% | 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. 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 15.55% compared to SPDR S&P 500 ETF (SPY) at 14.52%. 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.