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.