ORNAX vs. ^GSPC
Compare and contrast key facts about Invesco Rochester Municipal Opportunities Fund (ORNAX) and S&P 500 (^GSPC).
ORNAX is managed by Invesco. It was launched on Sep 30, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ORNAX or ^GSPC.
Key characteristics
| ORNAX | ^GSPC | |
|---|---|---|
| YTD Return | 4.32% | 25.48% |
| 1Y Return | 11.71% | 33.14% |
| 3Y Return (Ann) | -0.65% | 8.55% |
| 5Y Return (Ann) | 2.21% | 13.96% |
| 10Y Return (Ann) | 5.06% | 11.39% |
| Sharpe Ratio | 2.59 | 2.91 |
| Sortino Ratio | 4.03 | 3.88 |
| Omega Ratio | 1.61 | 1.55 |
| Calmar Ratio | 1.00 | 4.20 |
| Martin Ratio | 13.65 | 18.80 |
| Ulcer Index | 0.95% | 1.90% |
| Daily Std Dev | 4.99% | 12.27% |
| Max Drawdown | -55.48% | -56.78% |
| Current Drawdown | -2.71% | -0.27% |
Correlation
The correlation between ORNAX and ^GSPC is -0.01. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
ORNAX vs. ^GSPC - Performance Comparison
In the year-to-date period, ORNAX achieves a 4.32% return, which is significantly lower than ^GSPC's 25.48% return. Over the past 10 years, ORNAX has underperformed ^GSPC with an annualized return of 5.06%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. 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
ORNAX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Rochester Municipal Opportunities Fund (ORNAX) and S&P 500 (^GSPC). 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.
Drawdowns
ORNAX vs. ^GSPC - Drawdown Comparison
The maximum ORNAX drawdown since its inception was -55.48%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ORNAX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ORNAX vs. ^GSPC - Volatility Comparison
The current volatility for Invesco Rochester Municipal Opportunities Fund (ORNAX) is 2.20%, while S&P 500 (^GSPC) has a volatility of 3.75%. This indicates that ORNAX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.