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    AQR Large Cap Momentum Style I (AMOMX)

    20.41 Down 0.07(0.34%) Aug 26

    Risk as of Jul 30, 2016Get Risk for:
    Risk Overview 
    Morningstar Risk Rating:2
    Number of Years Up5
    Number of Years Down1
    Best 1 Yr Total Return(Dec 30, 2013):35.15%
    Worst 1 Yr Total Return(Dec 30, 2011):-2.68%
    Risk (Modern Portfolio Theory) Statistics 
    3 Years
    StatisticAMOMXCategory
    Alpha (against Standard Index)-0.35-1.05
    Beta (against Standard Index)0.971.04
    Mean Annual Return0.880.88
    R-squared (against Standard Index)83.3784.69
    Standard Deviation11.7712.60
    Sharpe Ratio0.880.84
    Treynor Ratio10.549.86
    5 Years
    StatisticAMOMXCategory
    Alpha (against Standard Index)-1.12-2.66
    Beta (against Standard Index)1.011.08
    Mean Annual Return1.030.98
    R-squared (against Standard Index)89.1188.21
    Standard Deviation12.9513.96
    Sharpe Ratio0.950.84
    Treynor Ratio11.9510.51
    10 Years
    StatisticAMOMXCategory
    Alpha (against Standard Index)N/A0.26
    Beta (against Standard Index)N/A1.02
    Mean Annual ReturnN/A0.76
    R-squared (against Standard Index)N/A88.60
    Standard DeviationN/A16.63
    Sharpe RatioN/A0.49
    Treynor RatioN/A6.95