MTUM vs. AMOMX

Last updated Jun 5, 2026

MTUM (iShares MSCI USA Momentum Factor ETF) and AMOMX (AQR Large Cap Momentum Style Fund) are both funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while AMOMX is a Large Cap Growth Equities fund managed by AQR Funds. Their correlation of 0.94 suggests significant overlap in exposure. MTUM charges 0.15%/yr vs 0.41%/yr for AMOMX.

Performance

MTUM vs. AMOMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Momentum Factor ETF (MTUM) and AQR Large Cap Momentum Style Fund (AMOMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

MTUM

• 1D: -1.10%
• 1M: 11.94%
• YTD: 30.30%
• 6M: 29.99%
• 1Y: 40.55%
• 3Y*: 34.34%
• 5Y*: 14.96%
• 10Y*: 17.19%

AMOMX

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

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

MTUM vs. AMOMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MTUM iShares MSCI USA Momentum Factor ETF	30.30%	22.15%	32.89%	9.15%	-18.27%	13.36%	29.86%	27.25%	-1.67%	37.50%
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 MTUM and AMOMX 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	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.94
Correlation (All Time) Calculated using the full available price history since Apr 19, 2013	0.94

The correlation between MTUM and AMOMX has been stable across timeframes, ranging from 0.87 to 0.94 - a consistent structural relationship.

Return for Risk

MTUM vs. AMOMX — Risk / Return Rank

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

MTUM

MTUM Risk / Return Rank: 68
MTUM Sharpe Ratio Rank: 65
MTUM Sortino Ratio Rank: 64
MTUM Omega Ratio Rank: 64
MTUM Calmar Ratio Rank: 72
MTUM Martin Ratio Rank: 75

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.

MTUM vs. AMOMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) 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.

	MTUM	AMOMX	Difference
Sharpe ratio: Return per unit of total volatility	2.14	—	—
Sortino ratio: Return per unit of downside risk	2.90	—	—
Omega ratio: Gain probability vs. loss probability	1.38	—	—
Calmar ratio: Return relative to maximum drawdown	3.53	—	—
Martin ratio: Return relative to average drawdown	14.10	—	—
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

	MTUM	AMOMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.14	—	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.82	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.84	—	—

Drawdowns

Drawdown Indicators

	MTUM	AMOMX	Difference
Max Drawdown Largest peak-to-trough decline	-34.08%	—	—
Max Drawdown (1Y) Largest decline over 1 year	-11.54%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-20.99%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-32.28%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-34.08%	—	—
Current Drawdown Current decline from peak	-1.10%	—	—
Average Drawdown Average peak-to-trough decline	-6.21%	—	—
Ulcer Index Depth and duration of drawdowns from previous peaks	2.89%	—	—

Volatility

Volatility by Period

	MTUM	AMOMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.67%	—	—
Volatility (6M) Calculated over the trailing 6-month period	16.51%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	19.08%	—	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.60%	—	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.03%	—	—

MTUM vs. AMOMX - Expense Ratio Comparison

MTUM has a 0.15% expense ratio, which is lower than AMOMX's 0.41% expense ratio.

Dividends

MTUM vs. AMOMX - Dividend Comparison

MTUM's dividend yield for the trailing twelve months is around 0.60%, 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%
MTUM iShares MSCI USA Momentum Factor ETF	0.60%	0.91%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%

Frequently Asked Questions

Can I hold both MTUM and AMOMX in my portfolio?

MTUM and AMOMX 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.