ORNAX vs. ^SP500TR
ORNAX (Invesco Rochester Municipal Opportunities Fund) is High Yield Muni fund managed by Invesco, while ^SP500TR (S&P 500 Total Return) is an index. Over the past 10 years, ORNAX returned 3.89%/yr vs 15.64%/yr for ^SP500TR. At a 0.01 correlation, their price movements are largely independent.
Performance
ORNAX vs. ^SP500TR - Performance Comparison
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Returns By Period
In the year-to-date period, ORNAX achieves a 1.83% return, which is significantly lower than ^SP500TR's 8.22% return. Over the past 10 years, ORNAX has underperformed ^SP500TR with an annualized return of 3.89%, while ^SP500TR has yielded a comparatively higher 15.64% annualized return.
ORNAX
- 1D
- -0.15%
- 1M
- 1.99%
- YTD
- 1.83%
- 6M
- 2.45%
- 1Y
- 5.48%
- 3Y*
- 3.81%
- 5Y*
- 0.37%
- 10Y*
- 3.89%
^SP500TR
- 1D
- -1.44%
- 1M
- -1.34%
- YTD
- 8.22%
- 6M
- 7.24%
- 1Y
- 23.73%
- 3Y*
- 20.82%
- 5Y*
- 13.16%
- 10Y*
- 15.64%
ORNAX vs. ^SP500TR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ORNAX Invesco Rochester Municipal Opportunities Fund | 1.83% | 2.32% | 4.76% | 7.66% | -14.80% | 6.73% | 5.89% | 14.25% | 9.16% | 6.88% |
^SP500TR S&P 500 Total Return | 8.22% | 17.88% | 25.02% | 26.29% | -18.11% | 28.71% | 18.40% | 31.49% | -4.38% | 21.83% |
Correlation
The correlation between ORNAX and ^SP500TR is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.16 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Sep 30, 1993 | 0.01 |
Over the past year, ORNAX and ^SP500TR have become more correlated (0.22) than their long-term average of 0.01, meaning their price movements have been converging.
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Return for Risk
ORNAX vs. ^SP500TR — Risk / Return Rank
ORNAX
^SP500TR
ORNAX vs. ^SP500TR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Rochester Municipal Opportunities Fund (ORNAX) and S&P 500 Total Return (^SP500TR). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ORNAX | ^SP500TR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.31 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.34 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.14 | 2.68 | -0.54 |
| Martin ratioReturn relative to average drawdown | 6.12 | 12.05 | -5.93 |
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Drawdowns
ORNAX vs. ^SP500TR - Drawdown Comparison
The maximum ORNAX drawdown since its inception was -55.48%, roughly equal to the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ORNAX and ^SP500TR.
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Drawdown Indicators
| ORNAX | ^SP500TR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.48% | -55.25% | -0.23% |
Max Drawdown (1Y)Largest decline over 1 year | -2.92% | -8.89% | +5.97% |
Max Drawdown (3Y)Largest decline over 3 years | -9.79% | -18.75% | +8.96% |
Max Drawdown (5Y)Largest decline over 5 years | -21.16% | -24.49% | +3.33% |
Max Drawdown (10Y)Largest decline over 10 years | -21.16% | -33.79% | +12.63% |
Current DrawdownCurrent decline from peak | -0.15% | -3.13% | +2.98% |
Average DrawdownAverage peak-to-trough decline | -7.06% | -8.16% | +1.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.99% | 1.97% | -0.98% |
Volatility
ORNAX vs. ^SP500TR - Volatility Comparison
The current volatility for Invesco Rochester Municipal Opportunities Fund (ORNAX) is 1.00%, while S&P 500 Total Return (^SP500TR) has a volatility of 4.90%. This indicates that ORNAX experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ORNAX | ^SP500TR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.00% | 4.90% | -3.90% |
Volatility (6M)Calculated over the trailing 6-month period | 2.67% | 9.93% | -7.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.94% | 12.57% | -8.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.04% | 17.00% | -10.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.00% | 18.08% | -12.08% |
Frequently Asked Questions
ORNAX and ^SP500TR have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^SP500TR has higher volatility (4.90%) compared to ORNAX (1.00%). In terms of maximum drawdown, ORNAX dropped -55.48% vs ^SP500TR's -55.25%.
^SP500TR currently has the higher Sharpe Ratio (1.90 vs 1.59), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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