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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Invesco Russell 1000 Dynamic Multifactor ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) has returned -1.41% so far this year and 13.76% over the past 12 months.
Invesco Russell 1000 Dynamic Multifactor ETF
- 1D
- 2.58%
- 1M
- -4.32%
- YTD
- -1.41%
- 6M
- 0.27%
- 1Y
- 13.76%
- 3Y*
- 10.17%
- 5Y*
- 7.45%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Nov 10, 2017, OMFL's average daily return is +0.06%, while the average monthly return is +1.11%. At this rate, your investment would double in approximately 5.2 years.
Historically, 65% of months were positive and 35% were negative. The best month was Nov 2020 with a return of +19.8%, while the worst month was Mar 2020 at -10.6%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.
On a daily basis, OMFL closed higher 52% of trading days. The best single day was Mar 24, 2020 with a return of +9.7%, while the worst single day was Mar 16, 2020 at -12.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.72% | 0.31% | -4.32% | -1.41% | |||||||||
| 2025 | 3.78% | -0.04% | -5.04% | 0.49% | 5.08% | 2.84% | 0.74% | 1.87% | 1.80% | -0.18% | 0.73% | 1.15% | 13.68% |
| 2024 | -2.88% | 4.31% | 6.55% | -6.16% | 4.46% | -2.62% | -3.85% | 3.51% | 1.64% | -0.87% | 5.77% | -2.26% | 6.82% |
| 2023 | 10.29% | -2.87% | 1.55% | 2.90% | -3.01% | 5.93% | 3.31% | -3.22% | -5.98% | -4.32% | 9.71% | 7.08% | 21.53% |
| 2022 | -6.11% | -3.97% | 4.40% | -5.04% | 1.59% | -9.92% | 5.88% | -3.21% | -7.07% | 9.93% | 5.31% | -4.60% | -13.97% |
| 2021 | 2.27% | 4.18% | 4.50% | 5.06% | 0.93% | 0.24% | 0.09% | 3.12% | -3.76% | 5.72% | -2.45% | 6.38% | 28.95% |
Benchmark Metrics
Invesco Russell 1000 Dynamic Multifactor ETF has an annualized alpha of 1.91%, beta of 0.93, and R² of 0.79 versus S&P 500 Index. Calculated based on daily prices since November 13, 2017.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (95.22%) than losses (91.44%) — typical of diversified or defensive assets.
- With beta of 0.93 and R² of 0.79, this ETF moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 1.91%
- Beta
- 0.93
- R²
- 0.79
- Upside Capture
- 95.22%
- Downside Capture
- 91.44%
Expense Ratio
OMFL has an expense ratio of 0.29%, placing it in the medium range.
Return for Risk
Risk / Return Rank
OMFL ranks 51 for risk / return — on par with similar ETFs. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and compare them to a chosen benchmark (S&P 500 Index).
| OMFL | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.83 | 0.90 | -0.07 |
Sortino ratioReturn per unit of downside risk | 1.28 | 1.39 | -0.10 |
Omega ratioGain probability vs. loss probability | 1.18 | 1.21 | -0.03 |
Calmar ratioReturn relative to maximum drawdown | 1.49 | 1.40 | +0.09 |
Martin ratioReturn relative to average drawdown | 7.05 | 6.61 | +0.44 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore OMFL risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Invesco Russell 1000 Dynamic Multifactor ETF provided a 0.86% dividend yield over the last twelve months, with an annual payout of $0.52 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.52 | $0.49 | $0.66 | $0.70 | $0.67 | $0.48 | $0.59 | $0.51 | $0.35 | $0.08 |
Dividend yield | 0.86% | 0.80% | 1.22% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% |
Monthly Dividends
The table displays the monthly dividend distributions for Invesco Russell 1000 Dynamic Multifactor ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.15 | $0.15 | |||||||||
| 2025 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.16 | $0.49 |
| 2024 | $0.00 | $0.00 | $0.25 | $0.00 | $0.00 | $0.23 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.08 | $0.66 |
| 2023 | $0.00 | $0.00 | $0.21 | $0.00 | $0.00 | $0.17 | $0.00 | $0.00 | $0.21 | $0.00 | $0.00 | $0.12 | $0.70 |
| 2022 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.17 | $0.00 | $0.00 | $0.17 | $0.00 | $0.00 | $0.20 | $0.67 |
| 2021 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.16 | $0.00 | $0.00 | $0.09 | $0.48 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Invesco Russell 1000 Dynamic Multifactor ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Invesco Russell 1000 Dynamic Multifactor ETF was 33.24%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.
The current Invesco Russell 1000 Dynamic Multifactor ETF drawdown is 5.20%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.24% | Jan 17, 2020 | 45 | Mar 23, 2020 | 53 | Jun 8, 2020 | 98 |
| -22.44% | Dec 30, 2021 | 190 | Sep 30, 2022 | 198 | Jul 18, 2023 | 388 |
| -18.19% | Oct 4, 2018 | 56 | Dec 24, 2018 | 66 | Apr 1, 2019 | 122 |
| -17.17% | Jun 9, 2020 | 22 | Jul 9, 2020 | 86 | Nov 9, 2020 | 108 |
| -15.52% | Feb 14, 2025 | 37 | Apr 8, 2025 | 55 | Jun 27, 2025 | 92 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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