OAKMX vs. OMFL
Compare and contrast key facts about Oakmark Fund Investor Class (OAKMX) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL).
OAKMX is managed by Oakmark. It was launched on Aug 5, 1991. 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: OAKMX or OMFL.
Performance
OAKMX vs. OMFL - Performance Comparison
Returns By Period
In the year-to-date period, OAKMX achieves a 20.66% return, which is significantly higher than OMFL's 7.47% return.
OAKMX
20.66%
4.72%
13.54%
31.29%
16.69%
12.25%
OMFL
7.47%
1.73%
3.49%
16.12%
12.79%
N/A
Key characteristics
| OAKMX | OMFL | |
|---|---|---|
| Sharpe Ratio | 2.47 | 1.18 |
| Sortino Ratio | 3.47 | 1.64 |
| Omega Ratio | 1.44 | 1.21 |
| Calmar Ratio | 4.69 | 1.25 |
| Martin Ratio | 12.94 | 3.68 |
| Ulcer Index | 2.47% | 4.52% |
| Daily Std Dev | 12.92% | 14.15% |
| Max Drawdown | -56.19% | -33.24% |
| Current Drawdown | -0.35% | -1.60% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
OAKMX vs. OMFL - Expense Ratio Comparison
OAKMX has a 0.91% expense ratio, which is higher than OMFL's 0.29% expense ratio.
Correlation
The correlation between OAKMX and OMFL is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
OAKMX vs. OMFL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Oakmark Fund Investor Class (OAKMX) 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
OAKMX vs. OMFL - Dividend Comparison
OAKMX's dividend yield for the trailing twelve months is around 0.84%, less than OMFL's 1.29% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
OAKMX Oakmark Fund Investor Class | 0.84% | 1.02% | 0.92% | 0.52% | 0.17% | 0.81% | 0.73% | 0.47% | 1.06% | 0.95% | 0.64% | 0.50% |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 1.29% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
OAKMX vs. OMFL - Drawdown Comparison
The maximum OAKMX drawdown since its inception was -56.19%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for OAKMX and OMFL. For additional features, visit the drawdowns tool.
Volatility
OAKMX vs. OMFL - Volatility Comparison
Oakmark Fund Investor Class (OAKMX) has a higher volatility of 4.86% compared to Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) at 4.20%. This indicates that OAKMX'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.