AMOMX vs. VOO
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and Vanguard S&P 500 ETF (VOO).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOMX or VOO.
Performance
AMOMX vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, AMOMX achieves a 33.09% return, which is significantly higher than VOO's 26.16% return. Over the past 10 years, AMOMX has underperformed VOO with an annualized return of 2.08%, while VOO has yielded a comparatively higher 13.18% annualized return.
AMOMX
33.09%
4.32%
14.81%
23.44%
2.89%
2.08%
VOO
26.16%
1.77%
13.62%
32.33%
15.68%
13.18%
Key characteristics
| AMOMX | VOO | |
|---|---|---|
| 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 | 17.65 |
| Ulcer Index | 4.35% | 1.86% |
| Daily Std Dev | 19.49% | 12.19% |
| Max Drawdown | -39.97% | -33.99% |
| Current Drawdown | -13.41% | -0.86% |
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AMOMX vs. VOO - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is higher than VOO's 0.03% expense ratio.
Correlation
The correlation between AMOMX and VOO 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. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and Vanguard S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 0.84%, less than VOO's 1.24% 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% |
VOO Vanguard S&P 500 ETF | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
AMOMX vs. VOO - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -39.97%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for AMOMX and VOO. For additional features, visit the drawdowns tool.
Volatility
AMOMX vs. VOO - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 4.87% compared to Vanguard S&P 500 ETF (VOO) at 3.99%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.