PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
RMUNX vs. SMLF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

RMUNX vs. SMLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Rochester New York Municipals Fund (RMUNX) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.47%
17.97%
RMUNX
SMLF

Returns By Period

In the year-to-date period, RMUNX achieves a 2.36% return, which is significantly lower than SMLF's 25.35% return.


RMUNX

YTD

2.36%

1M

1.61%

6M

3.47%

1Y

8.59%

5Y (annualized)

1.80%

10Y (annualized)

4.28%

SMLF

YTD

25.35%

1M

10.53%

6M

17.97%

1Y

40.74%

5Y (annualized)

13.50%

10Y (annualized)

N/A

Key characteristics


RMUNXSMLF
Sharpe Ratio1.582.27
Sortino Ratio2.293.15
Omega Ratio1.351.39
Calmar Ratio0.744.10
Martin Ratio6.8813.67
Ulcer Index1.25%2.98%
Daily Std Dev5.43%17.98%
Max Drawdown-36.54%-41.89%
Current Drawdown-4.02%0.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


RMUNX vs. SMLF - Expense Ratio Comparison

RMUNX has a 0.78% expense ratio, which is higher than SMLF's 0.30% expense ratio.


RMUNX
Invesco Rochester New York Municipals Fund
Expense ratio chart for RMUNX: current value at 0.78% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.78%
Expense ratio chart for SMLF: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Correlation

-0.50.00.51.00.0

The correlation between RMUNX and SMLF is 0.00, 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

RMUNX vs. SMLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Rochester New York Municipals Fund (RMUNX) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF). 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.


Sharpe ratio
The chart of Sharpe ratio for RMUNX, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.005.001.582.27
The chart of Sortino ratio for RMUNX, currently valued at 2.29, compared to the broader market0.005.0010.002.293.15
The chart of Omega ratio for RMUNX, currently valued at 1.35, compared to the broader market1.002.003.004.001.351.39
The chart of Calmar ratio for RMUNX, currently valued at 0.74, compared to the broader market0.005.0010.0015.0020.000.744.10
The chart of Martin ratio for RMUNX, currently valued at 6.88, compared to the broader market0.0020.0040.0060.0080.00100.006.8813.67
RMUNX
SMLF

The current RMUNX Sharpe Ratio is 1.58, which is lower than the SMLF Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of RMUNX and SMLF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.58
2.27
RMUNX
SMLF

Dividends

RMUNX vs. SMLF - Dividend Comparison

RMUNX's dividend yield for the trailing twelve months is around 4.02%, more than SMLF's 0.83% yield.


TTM20232022202120202019201820172016201520142013
RMUNX
Invesco Rochester New York Municipals Fund
4.02%3.78%3.64%3.25%3.29%3.23%3.40%4.78%6.01%6.56%11.00%13.31%
SMLF
iShares MSCI USA Small-Cap Multifactor ETF
0.83%1.13%1.23%1.07%1.32%1.39%1.16%0.93%0.78%0.79%0.00%0.00%

Drawdowns

RMUNX vs. SMLF - Drawdown Comparison

The maximum RMUNX drawdown since its inception was -36.54%, smaller than the maximum SMLF drawdown of -41.89%. Use the drawdown chart below to compare losses from any high point for RMUNX and SMLF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.02%
0
RMUNX
SMLF

Volatility

RMUNX vs. SMLF - Volatility Comparison

The current volatility for Invesco Rochester New York Municipals Fund (RMUNX) is 2.41%, while iShares MSCI USA Small-Cap Multifactor ETF (SMLF) has a volatility of 6.37%. This indicates that RMUNX experiences smaller price fluctuations and is considered to be less risky than SMLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.41%
6.37%
RMUNX
SMLF