VFMO vs. AMOMX

Last updated Jun 6, 2026

VFMO (Vanguard U.S. Momentum Factor ETF) and AMOMX (AQR Large Cap Momentum Style Fund) are both funds - VFMO is a Momentum fund actively managed by Vanguard, while AMOMX is a Large Cap Growth Equities fund managed by AQR Funds. Their correlation of 0.90 suggests significant overlap in exposure. VFMO charges 0.13%/yr vs 0.41%/yr for AMOMX.

Performance

VFMO vs. AMOMX - Performance Comparison

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

Returns By Period

VFMO

• 1D: -4.59%
• 1M: -2.01%
• YTD: 18.99%
• 6M: 17.18%
• 1Y: 38.31%
• 3Y*: 25.96%
• 5Y*: 12.96%
• 10Y*: —

AMOMX

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

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

VFMO vs. AMOMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
VFMO Vanguard U.S. Momentum Factor ETF	18.99%	17.39%	26.14%	16.25%	-12.84%	19.16%	31.36%	28.22%	-11.41%
AMOMX AQR Large Cap Momentum Style Fund	11.26%	15.36%	27.62%	18.17%	-18.00%	26.01%	26.86%	29.20%	-8.51%

Correlation

The correlation between VFMO and AMOMX is 0.84, 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	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.88
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (All Time) Calculated using the full available price history since Feb 16, 2018	0.90

The correlation between VFMO and AMOMX has been stable across timeframes, ranging from 0.84 to 0.90 - a consistent structural relationship.

Return for Risk

VFMO vs. AMOMX — Risk / Return Rank

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

VFMO

VFMO Risk / Return Rank: 59
VFMO Sharpe Ratio Rank: 52
VFMO Sortino Ratio Rank: 49
VFMO Omega Ratio Rank: 50
VFMO Calmar Ratio Rank: 71
VFMO Martin Ratio Rank: 72

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.

VFMO vs. AMOMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) 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.

	VFMO	AMOMX	Difference
Sharpe ratio: Return per unit of total volatility	1.77	—	—
Sortino ratio: Return per unit of downside risk	2.34	—	—
Omega ratio: Gain probability vs. loss probability	1.31	—	—
Calmar ratio: Return relative to maximum drawdown	3.50	—	—
Martin ratio: Return relative to average drawdown	13.17	—	—
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

	VFMO	AMOMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.77	—	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.63	—	—

Drawdowns

Drawdown Indicators

	VFMO	AMOMX	Difference
Max Drawdown Largest peak-to-trough decline	-36.77%	—	—
Max Drawdown (1Y) Largest decline over 1 year	-10.98%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-24.40%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-25.80%	—	—
Current Drawdown Current decline from peak	-4.59%	—	—
Average Drawdown Average peak-to-trough decline	-7.76%	—	—
Ulcer Index Depth and duration of drawdowns from previous peaks	2.92%	—	—

Volatility

Volatility by Period

	VFMO	AMOMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.54%	—	—
Volatility (6M) Calculated over the trailing 6-month period	17.05%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	21.73%	—	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.79%	—	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.61%	—	—

VFMO vs. AMOMX - Expense Ratio Comparison

VFMO has a 0.13% expense ratio, which is lower than AMOMX's 0.41% expense ratio.

Dividends

VFMO vs. AMOMX - Dividend Comparison

VFMO's dividend yield for the trailing twelve months is around 0.65%, 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%
VFMO Vanguard U.S. Momentum Factor ETF	0.65%	0.82%	0.72%	0.89%	1.72%	0.81%	0.45%	1.22%	0.70%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VFMO and AMOMX in my portfolio?

VFMO and AMOMX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.