CALM vs. OMFL
Compare and contrast key facts about Cal-Maine Foods, Inc. (CALM) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL).
OMFL is a passively managed fund by Invesco that tracks the performance of the Russell 1000 OFI Dynamic Multifactor Index. It was launched on Nov 8, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CALM or OMFL.
Key characteristics
| CALM | OMFL | |
|---|---|---|
| YTD Return | 2.21% | 2.29% |
| 1Y Return | 25.48% | 13.06% |
| 3Y Return (Ann) | 20.40% | 5.47% |
| 5Y Return (Ann) | 9.19% | 14.09% |
| Sharpe Ratio | 0.99 | 0.91 |
| Daily Std Dev | 28.87% | 13.51% |
| Max Drawdown | -74.08% | -33.24% |
| Current Drawdown | -6.97% | -5.23% |
Correlation
The correlation between CALM and OMFL is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
CALM vs. OMFL - Performance Comparison
The year-to-date returns for both investments are quite close, with CALM having a 2.21% return and OMFL slightly higher at 2.29%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
CALM vs. OMFL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Cal-Maine Foods, Inc. (CALM) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL). 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.
Dividends
CALM vs. OMFL - Dividend Comparison
CALM's dividend yield for the trailing twelve months is around 3.26%, more than OMFL's 1.41% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CALM Cal-Maine Foods, Inc. | 3.26% | 7.51% | 3.17% | 0.09% | 0.00% | 0.98% | 1.03% | 0.00% | 2.70% | 4.10% | 2.26% | 1.15% |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 1.41% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
CALM vs. OMFL - Drawdown Comparison
The maximum CALM drawdown since its inception was -74.08%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for CALM and OMFL. For additional features, visit the drawdowns tool.
Volatility
CALM vs. OMFL - Volatility Comparison
Cal-Maine Foods, Inc. (CALM) has a higher volatility of 8.13% compared to Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) at 4.19%. This indicates that CALM's price experiences larger fluctuations and is considered to be riskier than OMFL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.