PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
AMOMX vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

AMOMX vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Large Cap Momentum Style Fund (AMOMX) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
98.74%
602.93%
AMOMX
VOO

Key characteristics

Sharpe Ratio

AMOMX:

0.73

VOO:

2.25

Sortino Ratio

AMOMX:

0.97

VOO:

2.98

Omega Ratio

AMOMX:

1.18

VOO:

1.42

Calmar Ratio

AMOMX:

0.42

VOO:

3.31

Martin Ratio

AMOMX:

4.53

VOO:

14.77

Ulcer Index

AMOMX:

3.38%

VOO:

1.90%

Daily Std Dev

AMOMX:

21.05%

VOO:

12.46%

Max Drawdown

AMOMX:

-39.97%

VOO:

-33.99%

Current Drawdown

AMOMX:

-26.11%

VOO:

-2.47%

Returns By Period

In the year-to-date period, AMOMX achieves a 13.58% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, AMOMX has underperformed VOO with an annualized return of 1.35%, while VOO has yielded a comparatively higher 13.08% annualized return.


AMOMX

YTD

13.58%

1M

-13.78%

6M

-5.46%

1Y

13.88%

5Y*

-0.92%

10Y*

1.35%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


AMOMX vs. VOO - Expense Ratio Comparison

AMOMX has a 0.41% expense ratio, which is higher than VOO's 0.03% expense ratio.


AMOMX
AQR Large Cap Momentum Style Fund
Expense ratio chart for AMOMX: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

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.


Sharpe ratio
The chart of Sharpe ratio for AMOMX, currently valued at 0.73, compared to the broader market-1.000.001.002.003.004.000.732.25
The chart of Sortino ratio for AMOMX, currently valued at 0.97, compared to the broader market-2.000.002.004.006.008.0010.000.972.98
The chart of Omega ratio for AMOMX, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.003.501.181.42
The chart of Calmar ratio for AMOMX, currently valued at 0.42, compared to the broader market0.002.004.006.008.0010.0012.0014.000.423.31
The chart of Martin ratio for AMOMX, currently valued at 4.53, compared to the broader market0.0020.0040.0060.004.5314.77
AMOMX
VOO

The current AMOMX Sharpe Ratio is 0.73, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of AMOMX and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.73
2.25
AMOMX
VOO

Dividends

AMOMX vs. VOO - Dividend Comparison

AMOMX has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 0.91%.


TTM20232022202120202019201820172016201520142013
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%
VOO
Vanguard S&P 500 ETF
0.91%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.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-26.11%
-2.47%
AMOMX
VOO

Volatility

AMOMX vs. VOO - Volatility Comparison

AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 14.69% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
14.69%
3.75%
AMOMX
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab