PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CAAMX vs. OLN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CAAMX and OLN is 0.56, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

CAAMX vs. OLN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Select Risk: Moderately Conservative Investor Fund (CAAMX) and Olin Corporation (OLN). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%300.00%350.00%400.00%450.00%JulyAugustSeptemberOctoberNovemberDecember
119.83%
248.50%
CAAMX
OLN

Key characteristics

Sharpe Ratio

CAAMX:

1.06

OLN:

-1.11

Sortino Ratio

CAAMX:

1.48

OLN:

-1.56

Omega Ratio

CAAMX:

1.19

OLN:

0.81

Calmar Ratio

CAAMX:

0.61

OLN:

-0.72

Martin Ratio

CAAMX:

5.67

OLN:

-1.76

Ulcer Index

CAAMX:

1.19%

OLN:

19.75%

Daily Std Dev

CAAMX:

6.36%

OLN:

31.39%

Max Drawdown

CAAMX:

-29.29%

OLN:

-73.80%

Current Drawdown

CAAMX:

-4.37%

OLN:

-48.02%

Returns By Period

In the year-to-date period, CAAMX achieves a 5.71% return, which is significantly higher than OLN's -36.95% return. Over the past 10 years, CAAMX has underperformed OLN with an annualized return of 3.38%, while OLN has yielded a comparatively higher 7.06% annualized return.


CAAMX

YTD

5.71%

1M

-1.02%

6M

2.70%

1Y

6.23%

5Y*

2.77%

10Y*

3.38%

OLN

YTD

-36.95%

1M

-18.03%

6M

-31.16%

1Y

-35.43%

5Y*

16.82%

10Y*

7.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

CAAMX vs. OLN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Select Risk: Moderately Conservative Investor Fund (CAAMX) and Olin Corporation (OLN). 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.


Sharpe ratio
The chart of Sharpe ratio for CAAMX, currently valued at 1.06, compared to the broader market-1.000.001.002.003.004.001.06-1.11
The chart of Sortino ratio for CAAMX, currently valued at 1.48, compared to the broader market-2.000.002.004.006.008.0010.001.48-1.56
The chart of Omega ratio for CAAMX, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.003.501.190.81
The chart of Calmar ratio for CAAMX, currently valued at 0.61, compared to the broader market0.002.004.006.008.0010.0012.0014.000.61-0.72
The chart of Martin ratio for CAAMX, currently valued at 5.67, compared to the broader market0.0020.0040.0060.005.67-1.76
CAAMX
OLN

The current CAAMX Sharpe Ratio is 1.06, which is higher than the OLN Sharpe Ratio of -1.11. The chart below compares the historical Sharpe Ratios of CAAMX and OLN, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.06
-1.11
CAAMX
OLN

Dividends

CAAMX vs. OLN - Dividend Comparison

CAAMX's dividend yield for the trailing twelve months is around 1.72%, less than OLN's 2.39% yield.


TTM20232022202120202019201820172016201520142013
CAAMX
Invesco Select Risk: Moderately Conservative Investor Fund
1.72%1.73%2.02%1.91%2.28%3.06%2.61%2.91%2.01%2.78%2.57%1.94%
OLN
Olin Corporation
2.39%1.48%1.51%1.39%3.26%4.64%3.98%2.25%3.12%4.63%3.51%2.77%

Drawdowns

CAAMX vs. OLN - Drawdown Comparison

The maximum CAAMX drawdown since its inception was -29.29%, smaller than the maximum OLN drawdown of -73.80%. Use the drawdown chart below to compare losses from any high point for CAAMX and OLN. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.37%
-48.02%
CAAMX
OLN

Volatility

CAAMX vs. OLN - Volatility Comparison

The current volatility for Invesco Select Risk: Moderately Conservative Investor Fund (CAAMX) is 2.32%, while Olin Corporation (OLN) has a volatility of 12.59%. This indicates that CAAMX experiences smaller price fluctuations and is considered to be less risky than OLN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
2.32%
12.59%
CAAMX
OLN
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab