AQR Large Cap Momentum Style Fund
Ticker
AMOMX
ISIN
ALTERNATIVE
Price
USD 22.28
Change Today
+0.02 / 0.09 %
Price 1 year ago
16.51 / 34.953 %
Morningstar
4
52 Week Low
16.30
52 Week High
22.42
200 Day Moving Average 19.33
19.33
50-day Moving Average
21.74
Price evolution
Yearly returns
Peers comparison
Risk factors
1 year
| Parameter | Value |
|---|---|
| Sharpe Ratio | 2.20 |
| Sortino Ratio | 3.43 |
| Maximum Drawdown | -9.48% |
| Maximum Drawdown Date | 2023-10-27 |
| Calmar Ratio | -3.21 |
1 year
| Parameter | Value |
|---|---|
| Return | 11.25 |
| Volatility | 13.723% |
| Alpha | None |
| Beta | None |
| R Squared | None |
History
| Parameter | Value |
|---|---|
| Average Annual Return | 15.516% |
| Average Annual Volatility | 19.106% |
| Sharpe Ratio | 0.81 |
| Sortino Ratio | 0.84 |
| Maximum Drawdown | -34.0% |
| Maximum Drawdown Date | 2020-03-23 |
| Calmar Ratio | -0.45 |
Company information
Summary
The fund pursues a momentum investment style by investing primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and real estate investment trusts) of large-cap companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. Under normal market circumstances, it will invest at least 80% of its net assets (including any borrowings for investment purposes) in large-cap U.S. companies.
Market
US
Category
Large Growth
Expense Ratio
-
Fund family
-
Morningstar
4
Yield
-
Exchange
NAS
| Sector | Weight |
|---|---|
| Technology | 22.52% |
| Healthcare | 16.32% |
| Energy | 8.98% |
| Financial services | 7.34% |
| Consumer defensive | 7.26% |
| Industrials | 6.98% |
| Consumer cyclical | 6.62% |
| Communication services | 5.20% |
| Realestate | 3.93% |
| Basic materials | 3.51% |
| Utilities | 0.50% |
None
Holdings
| Symbol | Name | Allocation |
|---|---|---|
| AAPL | Apple Inc | 7.34% |
| AMZN | Amazon.com Inc | 6.67% |
| GOOGL | Alphabet Inc A | 3.2% |
| GOOGL | Alphabet Inc Class A | 3.2% |
| TSLA | Tesla Inc | 2.67% |
| FB | Facebook Inc A | 1.99% |
| FB | Facebook Inc Class A | 1.99% |
| Ubs Money Ser | 1.8% | |
| NVDA | NVIDIA Corp | 1.74% |
| MSFT | Microsoft Corp | 1.41% |
Alternative funds
| Ticker | Name | Isin | Exchange | Expenses | Morningstar | Alpha | Beta |
|---|---|---|---|---|---|---|---|
| AMOMX | AQR Large Cap Momentum Style Fund | ALTERNATIVE | NAS | 4 | |||
| CDL | VictoryShares US Large Cap High Div Volatility Wtd ETF | NGM | 0.35% | 4 | +9.57 | ||
| DLN | WisdomTree U.S. LargeCap Dividend Fund | US97717W307 | PCX | 0.28% | 5 | +6.48 | |
| FNDE | Schwab Fundamental Emerging Markets Large Company Index ETF | US808524730 | PCX | 0.39% | 4 | -7.31 | |
| FNDF | Schwab Fundamental International Large Company Index ETF | US808524755 | PCX | 0.25% | 4 | +5.93 | |
| FNDX | Schwab Fundamental U.S. Large Company Index ETF | US808524771 | PCX | 0.25% | 5 | +8.30 | |
| LGLV | SPDR SSGA US Large Cap Low Volatility Index ETF | US78468R804 | PCX | 0.12% | 4 | +5.93 | |
| NULG | Nuveen ESG Large-Cap Growth ETF | US67092P201 | BTS | 0.25% | 5 | -0.90 | |
| PWB | Invesco Dynamic Large Cap Growth ETF | US46137V746 | PCX | 0.55% | 4 | -3.02 | |
| SCHG | Schwab U.S. Large-Cap Growth ETF | US808524300 | PCX | 0.04% | 4 | -8.38 | |
| SCHX | Schwab U.S. Large-Cap ETF | US808524201 | PCX | 0.03% | 4 | -0.70 | |
| VV | Vanguard Large Cap Index Fund | US922908637 | PCX | 0.04% | 4 | -1.22 |
Sustainability scores
Events
Indicators
Glossary
- Momentum
- A technical indicator that measures the rate of change in price movements over a specific period. It indicates the strength or weakness of a price trend.
Assessment: A positive momentum value generally indicates a good trend, while a negative value suggests a weak or downward trend.
- Inertia
- In trading, inertia refers to the tendency of prices to continue moving in their current direction. It suggests that an asset's price will likely maintain its current trend.
Assessment: A higher inertia value is generally considered good, as it indicates a strong and sustained price trend.
- Relative Strength Index (RSI)
- A momentum oscillator that measures the speed and change of price movements. It helps identify overbought or oversold conditions in an asset.
Assessment: An RSI value above 70 is typically considered overbought and may suggest a potential reversal or correction. Conversely, an RSI value below 30 is often considered oversold, indicating a possible upward price correction.
- Fibonacci's Weighted Moving Average
- A technical indicator that assigns different weights to recent data points, giving more significance to recent prices. It helps smooth out price fluctuations and identify trend reversals.
Assessment: The interpretation of the Fibonacci's Weighted Moving Average value depends on its comparison to other moving averages or trendlines. A value above 50 may indicate an uptrend, while a value below 50 may suggest a downtrend.
- Williams %R
- A momentum indicator that measures overbought or oversold conditions in an asset. It shows the relationship of the current closing price to the high-low range over a specified period.
Assessment: Williams %R values above -20 are typically considered overbought and may indicate a potential price reversal. Values below -80 are often viewed as oversold, suggesting a potential price bounce.
- Relative Volatility Index (RVI)
- A technical indicator that measures the volatility of a security by comparing the magnitude of recent price movements to the magnitude of average price changes. It helps identify periods of high or low volatility.
Assessment: A higher RVI value suggests higher volatility, which can provide trading opportunities but also carries increased risk.
- Commodity Channel Index (CCI)
- A versatile indicator that measures the current price level relative to an average price level over a given period. It helps identify overbought or oversold conditions and potential trend reversals.
Assessment: CCI values above 100 are often considered overbought, indicating a potential price correction or reversal. Values below -100 are typically viewed as oversold, suggesting a potential price rebound.