OMFL vs. CALM
Compare and contrast key facts about Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Cal-Maine Foods, Inc. (CALM).
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: OMFL or CALM.
Performance
OMFL vs. CALM - Performance Comparison
Returns By Period
In the year-to-date period, OMFL achieves a 7.75% return, which is significantly lower than CALM's 74.35% return.
OMFL
7.75%
2.93%
2.81%
16.42%
12.84%
N/A
CALM
74.35%
9.72%
62.59%
111.46%
21.29%
11.58%
Key characteristics
| OMFL | CALM | |
|---|---|---|
| Sharpe Ratio | 1.16 | 4.15 |
| Sortino Ratio | 1.62 | 5.48 |
| Omega Ratio | 1.21 | 1.70 |
| Calmar Ratio | 1.23 | 5.11 |
| Martin Ratio | 3.63 | 31.73 |
| Ulcer Index | 4.52% | 3.51% |
| Daily Std Dev | 14.14% | 26.88% |
| Max Drawdown | -33.24% | -74.08% |
| Current Drawdown | -1.35% | 0.00% |
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Correlation
The correlation between OMFL and CALM is 0.23, 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.
Risk-Adjusted Performance
OMFL vs. CALM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Cal-Maine Foods, Inc. (CALM). 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
OMFL vs. CALM - Dividend Comparison
OMFL's dividend yield for the trailing twelve months is around 1.29%, less than CALM's 3.02% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
CALM Cal-Maine Foods, Inc. | 3.02% | 7.51% | 3.17% | 0.09% | 0.00% | 0.98% | 1.03% | 0.00% | 2.70% | 4.10% | 2.26% | 1.15% |
Drawdowns
OMFL vs. CALM - Drawdown Comparison
The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum CALM drawdown of -74.08%. Use the drawdown chart below to compare losses from any high point for OMFL and CALM. For additional features, visit the drawdowns tool.
Volatility
OMFL vs. CALM - Volatility Comparison
The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 4.19%, while Cal-Maine Foods, Inc. (CALM) has a volatility of 6.44%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than CALM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.