AMOMX vs. XMMO
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and Invesco S&P MidCap Momentum ETF (XMMO).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009. XMMO is a passively managed fund by Invesco that tracks the performance of the S&P MidCap 400 Index. It was launched on Mar 3, 2005.
Performance
AMOMX vs. XMMO - Performance Comparison
Loading graphics...
AMOMX vs. XMMO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | -2.67% | 15.36% | 27.62% | 18.17% | -18.00% | 26.01% | 26.86% | 29.20% | -4.01% | 23.87% |
XMMO Invesco S&P MidCap Momentum ETF | 6.86% | 13.04% | 38.03% | 20.39% | -16.02% | 16.69% | 29.17% | 36.78% | 6.12% | 37.18% |
Returns By Period
In the year-to-date period, AMOMX achieves a -2.67% return, which is significantly lower than XMMO's 6.86% return. Over the past 10 years, AMOMX has underperformed XMMO with an annualized return of 13.59%, while XMMO has yielded a comparatively higher 18.41% annualized return.
AMOMX
- 1D
- 3.75%
- 1M
- -5.05%
- YTD
- -2.67%
- 6M
- -3.66%
- 1Y
- 18.41%
- 3Y*
- 18.72%
- 5Y*
- 11.03%
- 10Y*
- 13.59%
XMMO
- 1D
- 1.85%
- 1M
- -2.62%
- YTD
- 6.86%
- 6M
- 9.51%
- 1Y
- 29.37%
- 3Y*
- 25.85%
- 5Y*
- 12.62%
- 10Y*
- 18.41%
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. XMMO - Expense Ratio Comparison
AMOMX has a 0.41% expense ratio, which is higher than XMMO's 0.33% expense ratio.
Return for Risk
AMOMX vs. XMMO — Risk / Return Rank
AMOMX
XMMO
AMOMX vs. XMMO - Risk-Adjusted Trends 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.
| AMOMX | XMMO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.91 | 1.34 | -0.43 |
Sortino ratioReturn per unit of downside risk | 1.40 | 1.91 | -0.52 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.27 | -0.06 |
Calmar ratioReturn relative to maximum drawdown | 1.52 | 2.41 | -0.88 |
Martin ratioReturn relative to average drawdown | 6.88 | 11.42 | -4.55 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| AMOMX | XMMO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.91 | 1.34 | -0.43 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 0.60 | -0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | 0.83 | -0.18 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.71 | 0.55 | +0.16 |
Correlation
The correlation between AMOMX and XMMO is 0.86, 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.
Dividends
AMOMX vs. XMMO - Dividend Comparison
AMOMX's dividend yield for the trailing twelve months is around 26.19%, more than XMMO's 0.70% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMOMX AQR Large Cap Momentum Style Fund | 26.19% | 25.49% | 14.05% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% |
XMMO Invesco S&P MidCap Momentum ETF | 0.70% | 0.78% | 0.34% | 0.80% | 1.43% | 0.41% | 0.61% | 0.60% | 0.19% | 0.21% | 0.22% | 0.64% |
Drawdowns
AMOMX vs. XMMO - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.80%, 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.
Loading graphics...
Drawdown Indicators
| AMOMX | XMMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.80% | -55.37% | +20.57% |
Max Drawdown (1Y)Largest decline over 1 year | -12.96% | -12.81% | -0.15% |
Max Drawdown (5Y)Largest decline over 5 years | -34.80% | -27.91% | -6.89% |
Max Drawdown (10Y)Largest decline over 10 years | -34.80% | -36.74% | +1.94% |
Current DrawdownCurrent decline from peak | -6.02% | -2.62% | -3.40% |
Average DrawdownAverage peak-to-trough decline | -6.34% | -9.52% | +3.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.87% | 2.70% | +0.17% |
Volatility
AMOMX vs. XMMO - Volatility Comparison
The current volatility for AQR Large Cap Momentum Style Fund (AMOMX) is 7.05%, while Invesco S&P MidCap Momentum ETF (XMMO) has a volatility of 9.04%. This indicates that AMOMX experiences smaller price fluctuations and is considered to be less risky than XMMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading graphics...
Volatility by Period
| AMOMX | XMMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.05% | 9.04% | -1.99% |
Volatility (6M)Calculated over the trailing 6-month period | 12.38% | 14.39% | -2.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.46% | 22.03% | -0.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.51% | 21.27% | +0.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.93% | 22.11% | -1.18% |