QCELX vs. AMOMX
Compare and contrast key facts about AQR Large Cap Multi-Style Fund (QCELX) and AQR Large Cap Momentum Style Fund (AMOMX).
QCELX is managed by AQR Funds. It was launched on Mar 26, 2013. AMOMX is managed by AQR Funds. It was launched on Jul 9, 2009.
Performance
QCELX vs. AMOMX - Performance Comparison
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QCELX vs. AMOMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QCELX AQR Large Cap Multi-Style Fund | -0.05% | 23.38% | 22.73% | 26.30% | -15.73% | 27.18% | 14.93% | 24.33% | -10.96% | 22.73% |
AMOMX AQR Large Cap Momentum Style Fund | -2.67% | 15.36% | 27.62% | 18.17% | -18.00% | 26.01% | 26.86% | 29.20% | -4.01% | 23.87% |
Returns By Period
In the year-to-date period, QCELX achieves a -0.05% return, which is significantly higher than AMOMX's -2.67% return. Both investments have delivered pretty close results over the past 10 years, with QCELX having a 13.18% annualized return and AMOMX not far ahead at 13.59%.
QCELX
- 1D
- 2.92%
- 1M
- -4.33%
- YTD
- -0.05%
- 6M
- 2.88%
- 1Y
- 28.05%
- 3Y*
- 21.93%
- 5Y*
- 13.20%
- 10Y*
- 13.18%
AMOMX
- 1D
- 3.75%
- 1M
- -5.05%
- YTD
- -2.67%
- 6M
- -3.66%
- 1Y
- 18.41%
- 3Y*
- 18.72%
- 5Y*
- 11.03%
- 10Y*
- 13.59%
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QCELX vs. AMOMX - Expense Ratio Comparison
Both QCELX and AMOMX have an expense ratio of 0.41%.
Return for Risk
QCELX vs. AMOMX — Risk / Return Rank
QCELX
AMOMX
QCELX vs. AMOMX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Multi-Style Fund (QCELX) 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.
| QCELX | AMOMX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.55 | 0.91 | +0.65 |
Sortino ratioReturn per unit of downside risk | 2.26 | 1.40 | +0.86 |
Omega ratioGain probability vs. loss probability | 1.34 | 1.21 | +0.13 |
Calmar ratioReturn relative to maximum drawdown | 2.52 | 1.52 | +1.00 |
Martin ratioReturn relative to average drawdown | 12.59 | 6.88 | +5.72 |
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
| QCELX | AMOMX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.55 | 0.91 | +0.65 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.70 | 0.52 | +0.18 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.70 | 0.65 | +0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.64 | 0.71 | -0.06 |
Correlation
The correlation between QCELX and AMOMX is 0.94, 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
QCELX vs. AMOMX - Dividend Comparison
QCELX's dividend yield for the trailing twelve months is around 14.41%, less than AMOMX's 26.19% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QCELX AQR Large Cap Multi-Style Fund | 14.41% | 14.40% | 12.89% | 13.67% | 11.05% | 12.41% | 9.94% | 5.36% | 7.81% | 0.99% | 1.28% | 0.89% |
AMOMX AQR Large Cap Momentum Style Fund | 26.19% | 25.49% | 14.05% | 14.08% | 10.95% | 17.95% | 16.14% | 10.22% | 12.17% | 9.15% | 8.23% | 8.44% |
Drawdowns
QCELX vs. AMOMX - Drawdown Comparison
The maximum QCELX drawdown since its inception was -33.52%, roughly equal to the maximum AMOMX drawdown of -34.80%. Use the drawdown chart below to compare losses from any high point for QCELX and AMOMX.
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Drawdown Indicators
| QCELX | AMOMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.52% | -34.80% | +1.28% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -12.96% | +1.28% |
Max Drawdown (5Y)Largest decline over 5 years | -28.70% | -34.80% | +6.10% |
Max Drawdown (10Y)Largest decline over 10 years | -33.52% | -34.80% | +1.28% |
Current DrawdownCurrent decline from peak | -5.23% | -6.02% | +0.79% |
Average DrawdownAverage peak-to-trough decline | -5.73% | -6.34% | +0.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.34% | 2.87% | -0.53% |
Volatility
QCELX vs. AMOMX - Volatility Comparison
The current volatility for AQR Large Cap Multi-Style Fund (QCELX) is 5.33%, while AQR Large Cap Momentum Style Fund (AMOMX) has a volatility of 7.05%. This indicates that QCELX experiences smaller price fluctuations and is considered to be less risky than AMOMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QCELX | AMOMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.33% | 7.05% | -1.72% |
Volatility (6M)Calculated over the trailing 6-month period | 10.27% | 12.38% | -2.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.73% | 21.46% | -2.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.96% | 21.51% | -2.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.96% | 20.93% | -1.97% |