ASMOX vs. ALFAX

Last updated Jun 4, 2026

ASMOX (AQR Small Cap Momentum Style Fund) and ALFAX (Lord Abbett Alpha Strategy Fund) are both Small Cap Growth Equities funds. With a 0.95 correlation, they move nearly in lockstep. ASMOX charges 0.61%/yr vs 1.40%/yr for ALFAX.

Performance

ASMOX vs. ALFAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Small Cap Momentum Style Fund (ASMOX) and Lord Abbett Alpha Strategy Fund (ALFAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

ASMOX

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

ALFAX

• 1D: 0.76%
• 1M: 4.83%
• YTD: 18.69%
• 6M: 18.13%
• 1Y: 32.77%
• 3Y*: 15.74%
• 5Y*: 5.22%
• 10Y*: 10.51%

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

ASMOX vs. ALFAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ASMOX AQR Small Cap Momentum Style Fund	17.33%	16.87%	16.54%	18.37%	-19.56%	15.37%	25.76%	26.47%	-12.14%	17.43%
ALFAX Lord Abbett Alpha Strategy Fund	18.69%	8.80%	13.18%	13.92%	-23.50%	15.01%	26.16%	24.95%	-9.72%	20.61%

Correlation

The correlation between ASMOX and ALFAX is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.87
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (10Y) Calculated over the trailing 10-year period	0.94
Correlation (All Time) Calculated using the full available price history since Jul 10, 2009	0.95

The correlation between ASMOX and ALFAX has been stable across timeframes, ranging from 0.87 to 0.95 - a consistent structural relationship.

Return for Risk

ASMOX vs. ALFAX — Risk / Return Rank

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

ALFAX

ALFAX Risk / Return Rank: 55
ALFAX Sharpe Ratio Rank: 48
ALFAX Sortino Ratio Rank: 46
ALFAX Omega Ratio Rank: 42
ALFAX Calmar Ratio Rank: 72
ALFAX Martin Ratio Rank: 65

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.

ASMOX vs. ALFAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Small Cap Momentum Style Fund (ASMOX) and Lord Abbett Alpha Strategy Fund (ALFAX). 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	ASMOX	ALFAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	2.03	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.26	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.51	—
Sharpe Ratio (All Time) Calculated using the full available price history	—	0.43	—

Drawdowns

Drawdown Indicators

	ASMOX	ALFAX	Difference
Max Drawdown Largest peak-to-trough decline	—	-57.11%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-10.31%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-25.01%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-33.88%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-40.29%	—
Current Drawdown Current decline from peak	—	-0.31%	—
Average Drawdown Average peak-to-trough decline	—	-12.87%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	2.67%	—

Volatility

Volatility by Period

	ASMOX	ALFAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	5.84%	—
Volatility (6M) Calculated over the trailing 6-month period	—	13.10%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	16.86%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	19.86%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	20.72%	—

ASMOX vs. ALFAX - Expense Ratio Comparison

ASMOX has a 0.61% expense ratio, which is lower than ALFAX's 1.40% expense ratio.

Dividends

ASMOX vs. ALFAX - Dividend Comparison

ASMOX's dividend yield for the trailing twelve months is around 7.88%, more than ALFAX's 4.47% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ALFAX Lord Abbett Alpha Strategy Fund	4.47%	5.30%	0.80%	0.46%	6.94%	5.38%	7.99%	14.66%	16.61%	11.96%	11.85%	15.83%
ASMOX AQR Small Cap Momentum Style Fund	7.88%	8.12%	18.80%	3.92%	0.57%	24.81%	5.46%	4.38%	29.63%	9.90%	0.79%	1.23%

Frequently Asked Questions

Can I hold both ASMOX and ALFAX in my portfolio?

ASMOX and ALFAX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.