PMYYX vs. OMFL
Compare and contrast key facts about Putnam Multi-Cap Core Fund (PMYYX) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL).
PMYYX is managed by Putnam. It was launched on Sep 24, 2010. 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: PMYYX or OMFL.
Performance
PMYYX vs. OMFL - Performance Comparison
Returns By Period
In the year-to-date period, PMYYX achieves a 27.95% return, which is significantly higher than OMFL's 7.47% return.
PMYYX
27.95%
1.88%
14.09%
31.76%
12.74%
11.05%
OMFL
7.47%
1.73%
3.49%
16.12%
12.79%
N/A
Key characteristics
| PMYYX | OMFL | |
|---|---|---|
| Sharpe Ratio | 2.64 | 1.18 |
| Sortino Ratio | 3.49 | 1.64 |
| Omega Ratio | 1.49 | 1.21 |
| Calmar Ratio | 3.05 | 1.25 |
| Martin Ratio | 17.24 | 3.68 |
| Ulcer Index | 1.88% | 4.52% |
| Daily Std Dev | 12.30% | 14.15% |
| Max Drawdown | -35.25% | -33.24% |
| Current Drawdown | -1.28% | -1.60% |
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PMYYX vs. OMFL - Expense Ratio Comparison
PMYYX has a 0.71% expense ratio, which is higher than OMFL's 0.29% expense ratio.
Correlation
The correlation between PMYYX and OMFL 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
PMYYX vs. OMFL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Putnam Multi-Cap Core Fund (PMYYX) 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
PMYYX vs. OMFL - Dividend Comparison
PMYYX's dividend yield for the trailing twelve months is around 0.75%, less than OMFL's 1.29% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PMYYX Putnam Multi-Cap Core Fund | 0.75% | 0.95% | 0.32% | 0.99% | 1.07% | 1.74% | 0.00% | 1.44% | 1.21% | 2.29% | 2.15% | 10.12% |
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
PMYYX vs. OMFL - Drawdown Comparison
The maximum PMYYX drawdown since its inception was -35.25%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for PMYYX and OMFL. For additional features, visit the drawdowns tool.
Volatility
PMYYX vs. OMFL - Volatility Comparison
Putnam Multi-Cap Core Fund (PMYYX) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) 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.