AQMIX vs. AMOMX

Last updated Jun 4, 2026

AQMIX (AQR Managed Futures Strategy Fund) and AMOMX (AQR Large Cap Momentum Style Fund) are both mutual funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while AMOMX is a Large Cap Growth Equities fund managed by AQR Funds. At a 0.10 correlation, their price movements are largely independent. AQMIX charges 1.25%/yr vs 0.41%/yr for AMOMX.

Performance

AQMIX vs. AMOMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund (AQMIX) and AQR Large Cap Momentum Style Fund (AMOMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

AQMIX

• 1D: 0.46%
• 1M: 1.22%
• YTD: 12.96%
• 6M: 14.94%
• 1Y: 24.94%
• 3Y*: 12.51%
• 5Y*: 12.71%
• 10Y*: 5.00%

AMOMX

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

AQMIX vs. AMOMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQMIX AQR Managed Futures Strategy Fund	12.96%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%
AMOMX AQR Large Cap Momentum Style Fund	11.26%	15.36%	27.62%	18.17%	-18.00%	26.01%	26.86%	29.20%	-4.01%	23.87%

Correlation

The correlation between AQMIX and AMOMX is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.23
Correlation (3Y) Calculated over the trailing 3-year period	0.13
Correlation (5Y) Calculated over the trailing 5-year period	-0.01
Correlation (10Y) Calculated over the trailing 10-year period	0.06
Correlation (All Time) Calculated using the full available price history since Jan 6, 2010	0.10

The correlation between AQMIX and AMOMX shifts across timeframes, from -0.01 (5 years) to 0.23 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQMIX vs. AMOMX — Risk / Return Rank

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

AQMIX

AQMIX Risk / Return Rank: 89
AQMIX Sharpe Ratio Rank: 89
AQMIX Sortino Ratio Rank: 84
AQMIX Omega Ratio Rank: 80
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AQMIX vs. AMOMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and AQR Large Cap Momentum Style Fund (AMOMX). 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.

	AQMIX	AMOMX	Difference
Sharpe ratio: Return per unit of total volatility	2.90	—	—
Sortino ratio: Return per unit of downside risk	3.96	—	—
Omega ratio: Gain probability vs. loss probability	1.52	—	—
Calmar ratio: Return relative to maximum drawdown	8.34	—	—
Martin ratio: Return relative to average drawdown	25.80	—	—
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

Sharpe Ratios by Period

	AQMIX	AMOMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.90	—	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.10	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	—	—

Drawdowns

Drawdown Indicators

	AQMIX	AMOMX	Difference
Max Drawdown Largest peak-to-trough decline	-26.52%	—	—
Max Drawdown (1Y) Largest decline over 1 year	-3.02%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-13.57%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-13.57%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-23.34%	—	—
Current Drawdown Current decline from peak	-0.64%	—	—
Average Drawdown Average peak-to-trough decline	-10.01%	—	—
Ulcer Index Depth and duration of drawdowns from previous peaks	0.97%	—	—

Volatility

Volatility by Period

	AQMIX	AMOMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.59%	—	—
Volatility (6M) Calculated over the trailing 6-month period	6.60%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	8.70%	—	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.62%	—	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.37%	—	—

AQMIX vs. AMOMX - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is higher than AMOMX's 0.41% expense ratio.

Dividends

AQMIX vs. AMOMX - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 2.00%, less than AMOMX's 30.65% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AMOMX AQR Large Cap Momentum Style Fund	30.65%	25.49%	14.05%	14.08%	10.95%	17.95%	16.14%	10.22%	12.17%	9.15%	8.23%	8.44%
AQMIX AQR Managed Futures Strategy Fund	2.00%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%

Frequently Asked Questions

Can I hold both AQMIX and AMOMX in my portfolio?

AQMIX and AMOMX have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.