ABLS vs. OMFL
ABLS (Abacus FCF Small Cap Leaders ETF) and OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) are both exchange-traded funds - ABLS is a Small Cap Blend Equities fund tracking the Abacus FCF Small Cap Leaders Index, while OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index. Both are passively managed. Over the past year, ABLS returned 0.04% vs 21.98% for OMFL. A 0.74 correlation means they provide meaningful diversification when combined. ABLS charges 0.39%/yr vs 0.29%/yr for OMFL.
Performance
ABLS vs. OMFL - Performance Comparison
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Returns By Period
In the year-to-date period, ABLS achieves a 2.75% return, which is significantly lower than OMFL's 12.39% return.
ABLS
- 1D
- -0.92%
- 1M
- 0.47%
- YTD
- 2.75%
- 6M
- -0.23%
- 1Y
- 0.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
OMFL
- 1D
- -0.10%
- 1M
- 4.53%
- YTD
- 12.39%
- 6M
- 12.90%
- 1Y
- 21.98%
- 3Y*
- 14.35%
- 5Y*
- 9.27%
- 10Y*
- —
ABLS vs. OMFL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
ABLS Abacus FCF Small Cap Leaders ETF | 2.75% | -8.72% |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 12.39% | 7.46% |
Correlation
The correlation between ABLS and OMFL is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.69 |
Correlation (All Time) Calculated using the full available price history since Feb 20, 2025 | 0.74 |
The correlation between ABLS and OMFL has been stable across timeframes, ranging from 0.69 to 0.74 - a consistent structural relationship.
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Return for Risk
ABLS vs. OMFL — Risk / Return Rank
ABLS
OMFL
ABLS vs. OMFL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Abacus FCF Small Cap Leaders ETF (ABLS) 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.
| ABLS | OMFL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.83 | ||
| Sortino ratioReturn per unit of downside risk | -2.44 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.33 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | 0.00 | 2.91 | -2.91 |
| Martin ratioReturn relative to average drawdown | 0.01 | 13.12 | -13.11 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ABLS | OMFL | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.00 | 1.84 | -1.83 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.56 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.23 | 0.70 | -0.93 |
Drawdowns
ABLS vs. OMFL - Drawdown Comparison
The maximum ABLS drawdown since its inception was -19.28%, smaller than the maximum OMFL drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for ABLS and OMFL.
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Drawdown Indicators
| ABLS | OMFL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.28% | -33.24% | +13.96% |
Max Drawdown (1Y)Largest decline over 1 year | -16.19% | -7.58% | -8.61% |
Max Drawdown (3Y)Largest decline over 3 years | — | -15.52% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -22.44% | — |
Current DrawdownCurrent decline from peak | -6.21% | -0.19% | -6.02% |
Average DrawdownAverage peak-to-trough decline | -8.45% | -4.80% | -3.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.82% | 1.68% | +4.14% |
Volatility
ABLS vs. OMFL - Volatility Comparison
Abacus FCF Small Cap Leaders ETF (ABLS) has a higher volatility of 3.80% compared to Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) at 2.40%. This indicates that ABLS's price experiences larger fluctuations and is considered to be riskier than OMFL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ABLS | OMFL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.80% | 2.40% | +1.40% |
Volatility (6M)Calculated over the trailing 6-month period | 12.68% | 9.45% | +3.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.35% | 12.03% | +5.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.25% | 16.75% | +4.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.25% | 20.11% | +1.14% |
ABLS vs. OMFL - Expense Ratio Comparison
ABLS has a 0.39% expense ratio, which is higher than OMFL's 0.29% expense ratio.
Dividends
ABLS vs. OMFL - Dividend Comparison
ABLS's dividend yield for the trailing twelve months is around 13.68%, more than OMFL's 0.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
ABLS Abacus FCF Small Cap Leaders ETF | 13.68% | 14.04% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 0.75% | 0.80% | 1.22% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% |
Frequently Asked Questions
ABLS and OMFL have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ABLS has higher volatility (3.80%) compared to OMFL (2.40%). In terms of maximum drawdown, ABLS dropped -19.28% vs OMFL's -33.24%.
On 1-year performance, OMFL leads with 21.98% vs 0.04% for ABLS. On fees, OMFL is cheaper at 0.29% per year. On volatility, OMFL has been the lower-risk option at 2.40%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, OMFL has performed better with a 21.98% return vs 0.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
OMFL is cheaper with a 0.29% expense ratio, compared with 0.39% for ABLS.
ABLS has the higher dividend yield at 13.68%, compared with 0.75% for OMFL.
ABLS is categorized as Small Cap Blend Equities, while OMFL is Large Cap Blend Equities. ABLS tracks Abacus FCF Small Cap Leaders Index, while OMFL tracks Russell 1000 Invesco Dynamic Multifactor Index. They also come from different issuers: Abacus and Invesco. Their fees differ too: 0.39% for ABLS and 0.29% for OMFL.
OMFL currently has the higher Sharpe Ratio (1.84 vs 0.00), 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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