AMOMX vs. ^OEX
Compare and contrast key facts about AQR Large Cap Momentum Style Fund (AMOMX) and S&P 100 Index (^OEX).
AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOMX or ^OEX.
Key characteristics
| AMOMX | ^OEX | |
|---|---|---|
| YTD Return | 10.09% | 6.63% |
| 1Y Return | 29.54% | 28.29% |
| 3Y Return (Ann) | 7.02% | 7.85% |
| 5Y Return (Ann) | 13.42% | 12.86% |
| 10Y Return (Ann) | 12.29% | 11.15% |
| Sharpe Ratio | 1.22 | 2.26 |
| Daily Std Dev | 23.13% | 12.50% |
| Max Drawdown | -34.29% | -61.31% |
| Current Drawdown | -4.90% | -3.83% |
Correlation
The correlation between AMOMX and ^OEX is 0.92, 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. ^OEX - Performance Comparison
In the year-to-date period, AMOMX achieves a 10.09% return, which is significantly higher than ^OEX's 6.63% return. Over the past 10 years, AMOMX has outperformed ^OEX with an annualized return of 12.29%, while ^OEX has yielded a comparatively lower 11.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
AMOMX vs. ^OEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Momentum Style Fund (AMOMX) and S&P 100 Index (^OEX). 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.
Drawdowns
AMOMX vs. ^OEX - Drawdown Comparison
The maximum AMOMX drawdown since its inception was -34.29%, smaller than the maximum ^OEX drawdown of -61.31%. Use the drawdown chart below to compare losses from any high point for AMOMX and ^OEX. For additional features, visit the drawdowns tool.
Volatility
AMOMX vs. ^OEX - Volatility Comparison
AQR Large Cap Momentum Style Fund (AMOMX) has a higher volatility of 4.43% compared to S&P 100 Index (^OEX) at 3.82%. This indicates that AMOMX's price experiences larger fluctuations and is considered to be riskier than ^OEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.