ASMOX vs. XSMO
Compare and contrast key facts about AQR Small Cap Momentum Style Fund (ASMOX) and Invesco S&P SmallCap Momentum ETF (XSMO).
ASMOX is managed by AQR Funds. It was launched on Jul 9, 2009. XSMO is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Index. It was launched on Mar 3, 2005.
Performance
ASMOX vs. XSMO - Performance Comparison
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ASMOX vs. XSMO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ASMOX AQR Small Cap Momentum Style Fund | 1.25% | 16.87% | 16.54% | 18.37% | -19.56% | 15.37% | 25.76% | 26.47% | -12.14% | 17.43% |
XSMO Invesco S&P SmallCap Momentum ETF | 7.05% | 9.80% | 17.45% | 21.55% | -15.44% | 19.24% | 21.96% | 28.65% | -3.44% | 23.95% |
Returns By Period
In the year-to-date period, ASMOX achieves a 1.25% return, which is significantly lower than XSMO's 7.05% return. Over the past 10 years, ASMOX has underperformed XSMO with an annualized return of 11.41%, while XSMO has yielded a comparatively higher 13.73% annualized return.
ASMOX
- 1D
- 4.56%
- 1M
- -6.72%
- YTD
- 1.25%
- 6M
- -0.36%
- 1Y
- 30.76%
- 3Y*
- 17.47%
- 5Y*
- 6.05%
- 10Y*
- 11.41%
XSMO
- 1D
- 1.24%
- 1M
- -4.33%
- YTD
- 7.05%
- 6M
- 4.97%
- 1Y
- 23.58%
- 3Y*
- 19.37%
- 5Y*
- 8.69%
- 10Y*
- 13.73%
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ASMOX vs. XSMO - Expense Ratio Comparison
ASMOX has a 0.61% expense ratio, which is higher than XSMO's 0.39% expense ratio.
Return for Risk
ASMOX vs. XSMO — Risk / Return Rank
ASMOX
XSMO
ASMOX vs. XSMO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Small Cap Momentum Style Fund (ASMOX) and Invesco S&P SmallCap Momentum ETF (XSMO). 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.
| ASMOX | XSMO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.16 | 1.07 | +0.09 |
Sortino ratioReturn per unit of downside risk | 1.69 | 1.59 | +0.09 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.21 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 2.26 | 1.75 | +0.51 |
Martin ratioReturn relative to average drawdown | 6.77 | 7.23 | -0.46 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ASMOX | XSMO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.16 | 1.07 | +0.09 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.22 | 0.38 | -0.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.57 | -0.14 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.48 | 0.36 | +0.12 |
Correlation
The correlation between ASMOX and XSMO is 0.90, 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
ASMOX vs. XSMO - Dividend Comparison
ASMOX's dividend yield for the trailing twelve months is around 8.02%, more than XSMO's 0.60% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASMOX AQR Small Cap Momentum Style Fund | 8.02% | 8.12% | 18.80% | 3.92% | 0.57% | 24.81% | 5.46% | 4.38% | 29.63% | 9.90% | 0.79% | 1.23% |
XSMO Invesco S&P SmallCap Momentum ETF | 0.60% | 0.75% | 0.63% | 0.96% | 1.19% | 0.30% | 0.82% | 0.69% | 0.66% | 0.27% | 0.30% | 0.35% |
Drawdowns
ASMOX vs. XSMO - Drawdown Comparison
The maximum ASMOX drawdown since its inception was -42.16%, smaller than the maximum XSMO drawdown of -58.06%. Use the drawdown chart below to compare losses from any high point for ASMOX and XSMO.
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Drawdown Indicators
| ASMOX | XSMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -42.16% | -58.06% | +15.90% |
Max Drawdown (1Y)Largest decline over 1 year | -13.69% | -13.42% | -0.27% |
Max Drawdown (5Y)Largest decline over 5 years | -40.32% | -29.62% | -10.70% |
Max Drawdown (10Y)Largest decline over 10 years | -42.16% | -39.39% | -2.77% |
Current DrawdownCurrent decline from peak | -9.76% | -4.59% | -5.17% |
Average DrawdownAverage peak-to-trough decline | -10.63% | -11.21% | +0.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.57% | 3.24% | +1.33% |
Volatility
ASMOX vs. XSMO - Volatility Comparison
AQR Small Cap Momentum Style Fund (ASMOX) has a higher volatility of 9.83% compared to Invesco S&P SmallCap Momentum ETF (XSMO) at 7.71%. This indicates that ASMOX's price experiences larger fluctuations and is considered to be riskier than XSMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASMOX | XSMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.83% | 7.71% | +2.12% |
Volatility (6M)Calculated over the trailing 6-month period | 19.35% | 13.63% | +5.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 26.96% | 22.11% | +4.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.04% | 22.87% | +5.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 26.49% | 24.05% | +2.44% |