XSMO vs. ASMOX

Last updated Jun 5, 2026

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

Performance

XSMO vs. ASMOX - Performance Comparison

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

Returns By Period

XSMO

• 1D: 1.22%
• 1M: 0.48%
• YTD: 23.45%
• 6M: 21.12%
• 1Y: 35.59%
• 3Y*: 25.70%
• 5Y*: 11.48%
• 10Y*: 14.63%

ASMOX

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

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

XSMO vs. ASMOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
XSMO Invesco S&P SmallCap Momentum ETF	23.45%	9.80%	17.45%	21.55%	-15.44%	19.24%	21.96%	28.65%	-3.44%	23.95%
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%

Correlation

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

Return for Risk

XSMO vs. ASMOX — Risk / Return Rank

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

XSMO

XSMO Risk / Return Rank: 65
XSMO Sharpe Ratio Rank: 57
XSMO Sortino Ratio Rank: 59
XSMO Omega Ratio Rank: 54
XSMO Calmar Ratio Rank: 79
XSMO Martin Ratio Rank: 74

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.

XSMO vs. ASMOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Momentum ETF (XSMO) and AQR Small Cap Momentum Style Fund (ASMOX). 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.

	XSMO	ASMOX	Difference
Sharpe ratio: Return per unit of total volatility	1.91	—	—
Sortino ratio: Return per unit of downside risk	2.73	—	—
Omega ratio: Gain probability vs. loss probability	1.32	—	—
Calmar ratio: Return relative to maximum drawdown	4.02	—	—
Martin ratio: Return relative to average drawdown	13.74	—	—
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

	XSMO	ASMOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.91	—	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.51	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.61	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	—	—

Drawdowns

Drawdown Indicators

	XSMO	ASMOX	Difference
Max Drawdown Largest peak-to-trough decline	-58.06%	—	—
Max Drawdown (1Y) Largest decline over 1 year	-8.89%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-24.76%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-29.62%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-39.39%	—	—
Current Drawdown Current decline from peak	-0.52%	—	—
Average Drawdown Average peak-to-trough decline	-11.13%	—	—
Ulcer Index Depth and duration of drawdowns from previous peaks	2.60%	—	—

Volatility

Volatility by Period

	XSMO	ASMOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.12%	—	—
Volatility (6M) Calculated over the trailing 6-month period	14.15%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	18.76%	—	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.68%	—	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.12%	—	—

XSMO vs. ASMOX - Expense Ratio Comparison

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

Dividends

XSMO vs. ASMOX - Dividend Comparison

XSMO's dividend yield for the trailing twelve months is around 0.52%, less than ASMOX's 7.88% 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	0.52%	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 XSMO and ASMOX in my portfolio?

XSMO and ASMOX 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.