FEVIX vs. OMFL

Last updated Jun 23, 2026

FEVIX (First Eagle U.S. Value Fund) and OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) are both funds - FEVIX is a Diversified Portfolio fund managed by First Eagle, while OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index. Over the past 5 years, FEVIX returned 10.73%/yr vs 9.36%/yr for OMFL. Their correlation of 0.82 suggests significant overlap in exposure. FEVIX charges 0.83%/yr vs 0.29%/yr for OMFL.

Performance

FEVIX vs. OMFL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Eagle U.S. Value Fund (FEVIX) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FEVIX achieves a 1.55% return, which is significantly lower than OMFL's 12.03% return.

FEVIX

• 1D: -0.45%
• 1M: -3.01%
• YTD: 1.55%
• 6M: 0.54%
• 1Y: 16.31%
• 3Y*: 15.05%
• 5Y*: 10.73%
• 10Y*: 10.57%

OMFL

• 1D: -0.35%
• 1M: 0.30%
• YTD: 12.03%
• 6M: 11.06%
• 1Y: 23.68%
• 3Y*: 13.75%
• 5Y*: 9.36%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

FEVIX vs. OMFL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEVIX First Eagle U.S. Value Fund	1.55%	22.95%	15.94%	14.64%	-5.45%	18.89%	6.80%	19.72%	-5.56%	2.93%
OMFL Invesco Russell 1000 Dynamic Multifactor ETF	12.03%	13.68%	6.82%	21.53%	-13.97%	28.95%	20.91%	35.58%	-2.55%	5.12%

Correlation

The correlation between FEVIX and OMFL is 0.65, 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	0.65
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017	0.82

The correlation between FEVIX and OMFL shifts across timeframes, from 0.65 (1 year) to 0.82 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

FEVIX vs. OMFL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FEVIX

FEVIX Risk / Return Rank: 30
FEVIX Sharpe Ratio Rank: 33
FEVIX Sortino Ratio Rank: 31
FEVIX Omega Ratio Rank: 31
FEVIX Calmar Ratio Rank: 28
FEVIX Martin Ratio Rank: 26

OMFL

OMFL Risk / Return Rank: 63
OMFL Sharpe Ratio Rank: 58
OMFL Sortino Ratio Rank: 57
OMFL Omega Ratio Rank: 57
OMFL Calmar Ratio Rank: 65
OMFL Martin Ratio Rank: 76

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FEVIX vs. OMFL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Eagle U.S. Value Fund (FEVIX) 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.

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.

	FEVIX	OMFL	Difference
Sharpe ratio: Return per unit of total volatility	1.55	1.91	-0.36
Sortino ratio: Return per unit of downside risk	2.16	2.64	-0.48
Omega ratio: Gain probability vs. loss probability	1.27	1.34	-0.07
Calmar ratio: Return relative to maximum drawdown	1.84	3.14	-1.30
Martin ratio: Return relative to average drawdown	5.66	13.98	-8.32

FEVIX vs. OMFL - Sharpe Ratio Comparison

The current FEVIX Sharpe Ratio is 1.55, which is comparable to the OMFL Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of FEVIX and OMFL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FEVIX vs. OMFL - Drawdown Comparison

The maximum FEVIX drawdown since its inception was -36.44%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for FEVIX and OMFL.

Drawdown Indicators

	FEVIX	OMFL	Difference
Max Drawdown Largest peak-to-trough decline	-36.44%	-33.24%	-3.20%
Max Drawdown (1Y) Largest decline over 1 year	-8.72%	-7.58%	-1.14%
Max Drawdown (3Y) Largest decline over 3 years	-10.47%	-15.52%	+5.05%
Max Drawdown (5Y) Largest decline over 5 years	-19.34%	-22.44%	+3.10%
Max Drawdown (10Y) Largest decline over 10 years	-29.97%	—	—
Current Drawdown Current decline from peak	-6.71%	-1.13%	-5.58%
Average Drawdown Average peak-to-trough decline	-4.04%	-4.78%	+0.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.82%	1.70%	+1.12%

Volatility

FEVIX vs. OMFL - Volatility Comparison

The current volatility for First Eagle U.S. Value Fund (FEVIX) is 3.40%, while Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) has a volatility of 4.06%. This indicates that FEVIX experiences smaller price fluctuations and is considered to be less risky than OMFL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEVIX	OMFL	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.40%	4.06%	-0.66%
Volatility (6M) Calculated over the trailing 6-month period	8.32%	9.93%	-1.61%
Volatility (1Y) Calculated over the trailing 1-year period	10.35%	12.47%	-2.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.54%	16.80%	-4.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.82%	20.09%	-6.27%

FEVIX vs. OMFL - Expense Ratio Comparison

FEVIX has a 0.83% expense ratio, which is higher than OMFL's 0.29% expense ratio.

Dividends

FEVIX vs. OMFL - Dividend Comparison

FEVIX's dividend yield for the trailing twelve months is around 9.32%, more than OMFL's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FEVIX First Eagle U.S. Value Fund	9.32%	9.46%	6.79%	6.67%	8.32%	9.28%	1.93%	8.58%	16.27%	9.09%	8.76%	5.07%
OMFL Invesco Russell 1000 Dynamic Multifactor ETF	0.98%	0.80%	1.22%	1.37%	1.55%	0.95%	1.48%	1.53%	1.39%	0.32%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FEVIX and OMFL in my portfolio?

FEVIX and OMFL have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEVIX or OMFL?

OMFL has higher volatility (4.06%) compared to FEVIX (3.40%). In terms of maximum drawdown, FEVIX dropped -36.44% vs OMFL's -33.24%.

Which has better risk-adjusted returns?

OMFL currently has the higher Sharpe Ratio (1.91 vs 1.55), 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.