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AMOMX vs. XMMO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between AMOMX and XMMO is 0.83, 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. XMMO - Performance Comparison

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

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Key characteristics

Sharpe Ratio

AMOMX:

0.58

XMMO:

0.42

Sortino Ratio

AMOMX:

0.91

XMMO:

0.59

Omega Ratio

AMOMX:

1.13

XMMO:

1.08

Calmar Ratio

AMOMX:

0.60

XMMO:

0.30

Martin Ratio

AMOMX:

2.04

XMMO:

0.87

Ulcer Index

AMOMX:

6.57%

XMMO:

8.54%

Daily Std Dev

AMOMX:

24.28%

XMMO:

24.59%

Max Drawdown

AMOMX:

-34.29%

XMMO:

-55.37%

Current Drawdown

AMOMX:

-3.43%

XMMO:

-8.49%

Returns By Period

In the year-to-date period, AMOMX achieves a 4.02% return, which is significantly higher than XMMO's 0.85% return. Over the past 10 years, AMOMX has underperformed XMMO with an annualized return of 12.51%, while XMMO has yielded a comparatively higher 15.13% annualized return.


AMOMX

YTD

4.02%

1M

9.06%

6M

-0.72%

1Y

14.01%

3Y*

14.49%

5Y*

15.84%

10Y*

12.51%

XMMO

YTD

0.85%

1M

7.44%

6M

-7.44%

1Y

10.19%

3Y*

15.96%

5Y*

16.68%

10Y*

15.13%

*Annualized

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AQR Large Cap Momentum Style Fund

Invesco S&P MidCap Momentum ETF

AMOMX vs. XMMO - Expense Ratio Comparison

AMOMX has a 0.41% expense ratio, which is higher than XMMO's 0.33% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

AMOMX vs. XMMO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AMOMX
The Risk-Adjusted Performance Rank of AMOMX is 4747
Overall Rank
The Sharpe Ratio Rank of AMOMX is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of AMOMX is 4545
Sortino Ratio Rank
The Omega Ratio Rank of AMOMX is 4545
Omega Ratio Rank
The Calmar Ratio Rank of AMOMX is 5454
Calmar Ratio Rank
The Martin Ratio Rank of AMOMX is 4646
Martin Ratio Rank

XMMO
The Risk-Adjusted Performance Rank of XMMO is 3333
Overall Rank
The Sharpe Ratio Rank of XMMO is 4141
Sharpe Ratio Rank
The Sortino Ratio Rank of XMMO is 3131
Sortino Ratio Rank
The Omega Ratio Rank of XMMO is 3030
Omega Ratio Rank
The Calmar Ratio Rank of XMMO is 3434
Calmar Ratio Rank
The Martin Ratio Rank of XMMO is 2929
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

AMOMX vs. XMMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and Invesco S&P MidCap Momentum ETF (XMMO). 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.


The current AMOMX Sharpe Ratio is 0.58, which is higher than the XMMO Sharpe Ratio of 0.42. The chart below compares the historical Sharpe Ratios of AMOMX and XMMO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

AMOMX vs. XMMO - Dividend Comparison

AMOMX's dividend yield for the trailing twelve months is around 13.51%, more than XMMO's 0.49% yield.


TTM20242023202220212020201920182017201620152014
AMOMX
AQR Large Cap Momentum Style Fund
13.51%14.05%14.08%10.95%17.95%16.14%10.22%12.17%9.15%8.23%8.44%9.94%
XMMO
Invesco S&P MidCap Momentum ETF
0.49%0.34%0.80%1.43%0.41%0.61%0.60%0.19%0.21%0.22%0.64%1.24%

Drawdowns

AMOMX vs. XMMO - Drawdown Comparison

The maximum AMOMX drawdown since its inception was -34.29%, smaller than the maximum XMMO drawdown of -55.37%. Use the drawdown chart below to compare losses from any high point for AMOMX and XMMO.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

AMOMX vs. XMMO - Volatility Comparison

AQR Large Cap Momentum Style Fund (AMOMX) and Invesco S&P MidCap Momentum ETF (XMMO) have volatilities of 5.07% and 5.28%, 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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