ASMOX vs. XSMO

Last updated Jun 3, 2026

ASMOX (AQR Small Cap Momentum Style Fund) and XSMO (Invesco S&P SmallCap Momentum ETF) are both funds - ASMOX is a Small Cap Growth Equities fund managed by AQR Funds, while XSMO is a Momentum fund tracking the S&P SmallCap 600 Momentum Index. Over the past 10 years, ASMOX returned 13.09%/yr vs 14.68%/yr for XSMO. Their correlation of 0.90 suggests significant overlap in exposure. ASMOX charges 0.61%/yr vs 0.36%/yr for XSMO.

Performance

ASMOX vs. XSMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Small Cap Momentum Style Fund (ASMOX) and Invesco S&P SmallCap Momentum ETF (XSMO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ASMOX achieves a 17.33% return, which is significantly lower than XSMO's 22.64% return. Over the past 10 years, ASMOX has underperformed XSMO with an annualized return of 13.09%, while XSMO has yielded a comparatively higher 14.68% annualized return.

ASMOX

• 1D: 0.00%
• 1M: 0.00%
• YTD: 17.33%
• 6M: 17.63%
• 1Y: 41.61%
• 3Y*: 23.58%
• 5Y*: 9.78%
• 10Y*: 13.09%

XSMO

• 1D: 1.45%
• 1M: 1.22%
• YTD: 22.64%
• 6M: 21.99%
• 1Y: 34.67%
• 3Y*: 24.74%
• 5Y*: 11.36%
• 10Y*: 14.68%

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

ASMOX vs. XSMO - 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%
XSMO Invesco S&P SmallCap Momentum ETF	22.64%	9.80%	17.45%	21.55%	-15.44%	19.24%	21.96%	28.65%	-3.44%	23.95%

Correlation

The correlation between ASMOX and XSMO is 0.81, 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	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.89
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.91
Correlation (All Time) Calculated using the full available price history since Jul 10, 2009	0.90

The correlation between ASMOX and XSMO shifts across timeframes, from 0.81 (1 year) to 0.91 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

ASMOX vs. XSMO — Risk / Return Rank

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

ASMOX

ASMOX Risk / Return Rank: 53
ASMOX Sharpe Ratio Rank: 46
ASMOX Sortino Ratio Rank: 40
ASMOX Omega Ratio Rank: 38
ASMOX Calmar Ratio Rank: 81
ASMOX Martin Ratio Rank: 59

XSMO

XSMO Risk / Return Rank: 61
XSMO Sharpe Ratio Rank: 53
XSMO Sortino Ratio Rank: 55
XSMO Omega Ratio Rank: 50
XSMO Calmar Ratio Rank: 76
XSMO Martin Ratio Rank: 70

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. 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 ratio Return per unit of total volatility	2.00	1.86	+0.14
Sortino ratio Return per unit of downside risk	2.66	2.67	-0.01
Omega ratio Gain probability vs. loss probability	1.33	1.32	+0.02
Calmar ratio Return relative to maximum drawdown	3.70	3.90	-0.20
Martin ratio Return relative to average drawdown	11.84	13.35	-1.50
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ASMOX vs. XSMO - Sharpe Ratio Comparison

The current ASMOX Sharpe Ratio is 2.00, which is comparable to the XSMO Sharpe Ratio of 1.86. The chart below compares the historical Sharpe Ratios of ASMOX and XSMO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ASMOX	XSMO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.00	1.86	+0.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.35	0.50	-0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.61	-0.12
Sharpe Ratio (All Time) Calculated using the full available price history	0.52	0.39	+0.13

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.

Drawdown Indicators

	ASMOX	XSMO	Difference
Max Drawdown Largest peak-to-trough decline	-42.16%	-58.06%	+15.90%
Max Drawdown (1Y) Largest decline over 1 year	-13.69%	-8.89%	-4.80%
Max Drawdown (3Y) Largest decline over 3 years	-28.88%	-24.76%	-4.12%
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 Drawdown Current decline from peak	0.00%	-1.17%	+1.17%
Average Drawdown Average peak-to-trough decline	-10.58%	-11.13%	+0.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.28%	2.60%	+1.68%

Volatility

ASMOX vs. XSMO - Volatility Comparison

The current volatility for AQR Small Cap Momentum Style Fund (ASMOX) is 5.83%, while Invesco S&P SmallCap Momentum ETF (XSMO) has a volatility of 6.35%. This indicates that ASMOX experiences smaller price fluctuations and is considered to be less risky than XSMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ASMOX	XSMO	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.83%	6.35%	-0.52%
Volatility (6M) Calculated over the trailing 6-month period	18.83%	14.18%	+4.65%
Volatility (1Y) Calculated over the trailing 1-year period	23.44%	18.72%	+4.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.04%	22.71%	+5.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.54%	24.12%	+2.42%

ASMOX vs. XSMO - Expense Ratio Comparison

ASMOX has a 0.61% expense ratio, which is higher than XSMO's 0.36% expense ratio.

Dividends

ASMOX vs. XSMO - Dividend Comparison

ASMOX's dividend yield for the trailing twelve months is around 7.88%, more than XSMO's 0.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
XSMO Invesco S&P SmallCap Momentum ETF	0.53%	0.75%	0.63%	0.96%	1.19%	0.30%	0.82%	0.69%	0.66%	0.27%	0.30%	0.35%

Frequently Asked Questions

Can I hold both ASMOX and XSMO in my portfolio?

ASMOX and XSMO have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ASMOX or XSMO?

XSMO has higher volatility (6.35%) compared to ASMOX (5.83%). In terms of maximum drawdown, ASMOX dropped -42.16% vs XSMO's -58.06%.

Which has better risk-adjusted returns?

ASMOX currently has the higher Sharpe Ratio (2.00 vs 1.86), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.