OMFL vs. PMYYX
Compare and contrast key facts about Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Putnam Multi-Cap Core Fund (PMYYX).
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. PMYYX is managed by Putnam. It was launched on Sep 24, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: OMFL or PMYYX.
Performance
OMFL vs. PMYYX - Performance Comparison
Returns By Period
In the year-to-date period, OMFL achieves a 7.75% return, which is significantly lower than PMYYX's 28.57% return.
OMFL
7.75%
2.93%
2.81%
16.42%
12.84%
N/A
PMYYX
28.57%
3.27%
13.73%
32.39%
12.84%
11.10%
Key characteristics
| OMFL | PMYYX | |
|---|---|---|
| Sharpe Ratio | 1.16 | 2.63 |
| Sortino Ratio | 1.62 | 3.49 |
| Omega Ratio | 1.21 | 1.49 |
| Calmar Ratio | 1.23 | 3.05 |
| Martin Ratio | 3.63 | 17.21 |
| Ulcer Index | 4.52% | 1.88% |
| Daily Std Dev | 14.14% | 12.30% |
| Max Drawdown | -33.24% | -35.25% |
| Current Drawdown | -1.35% | -0.80% |
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OMFL vs. PMYYX - Expense Ratio Comparison
OMFL has a 0.29% expense ratio, which is lower than PMYYX's 0.71% expense ratio.
Correlation
The correlation between OMFL and PMYYX is 0.85, 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
OMFL vs. PMYYX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Putnam Multi-Cap Core Fund (PMYYX). 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. PMYYX - Dividend Comparison
OMFL's dividend yield for the trailing twelve months is around 1.29%, more than PMYYX's 0.74% 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% |
PMYYX Putnam Multi-Cap Core Fund | 0.74% | 0.95% | 0.32% | 0.99% | 1.07% | 1.74% | 0.00% | 1.44% | 1.21% | 2.29% | 2.15% | 10.12% |
Drawdowns
OMFL vs. PMYYX - Drawdown Comparison
The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum PMYYX drawdown of -35.25%. Use the drawdown chart below to compare losses from any high point for OMFL and PMYYX. For additional features, visit the drawdowns tool.
Volatility
OMFL vs. PMYYX - Volatility Comparison
Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Putnam Multi-Cap Core Fund (PMYYX) have volatilities of 4.19% and 4.20%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.