FNK vs. OMFS

Last updated Jun 4, 2026

FNK (First Trust Mid Cap Value AlphaDEX Fund) and OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) are both Small Cap Value Equities funds - FNK tracks the NASDAQ AlphaDEX Mid Cap Value Index while OMFS tracks the Russell 2000 Invesco Dynamic Multifactor Index. Both are passively managed. Over the past 5 years, FNK returned 6.97%/yr vs 5.57%/yr for OMFS. Their correlation of 0.83 suggests significant overlap in exposure. FNK charges 0.70%/yr vs 0.39%/yr for OMFS.

Performance

FNK vs. OMFS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Mid Cap Value AlphaDEX Fund (FNK) and Invesco Russell 2000 Dynamic Multifactor ETF (OMFS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FNK achieves a 7.22% return, which is significantly lower than OMFS's 13.70% return.

FNK

• 1D: -0.38%
• 1M: 0.68%
• YTD: 7.22%
• 6M: 7.56%
• 1Y: 19.55%
• 3Y*: 13.11%
• 5Y*: 6.97%
• 10Y*: 9.29%

OMFS

• 1D: -0.77%
• 1M: 1.99%
• YTD: 13.70%
• 6M: 12.83%
• 1Y: 28.51%
• 3Y*: 14.17%
• 5Y*: 5.57%
• 10Y*: —

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

FNK vs. OMFS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FNK First Trust Mid Cap Value AlphaDEX Fund	7.22%	5.65%	6.65%	21.03%	-7.24%	33.60%	1.23%	20.56%	-14.72%	6.12%
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	13.70%	13.34%	3.98%	15.12%	-17.29%	28.60%	15.02%	27.12%	-9.01%	3.71%

Correlation

The correlation between FNK and OMFS is 0.80, 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	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (All Time) Calculated using the full available price history since Nov 13, 2017	0.83

The correlation between FNK and OMFS has been stable across timeframes, ranging from 0.80 to 0.88 - a consistent structural relationship.

FNK vs. OMFS - Sectors Allocation Comparison

Sectors	FNK	OMFS
Financial Services	25.2%	24.3%
Consumer Cyclical	19.0%	8.4%
Industrials	12.8%	14.7%
Energy	8.4%	4.1%
Real Estate	7.5%	12.2%
Technology	7.1%	14.2%
Healthcare	5.3%	13.2%
Utilities	4.4%	1.1%
Basic Materials	4.0%	2.8%
Consumer Defensive	3.5%	3.8%
Communication Services	1.3%	1.1%

Return for Risk

FNK vs. OMFS — Risk / Return Rank

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

FNK

FNK Risk / Return Rank: 38
FNK Sharpe Ratio Rank: 35
FNK Sortino Ratio Rank: 39
FNK Omega Ratio Rank: 35
FNK Calmar Ratio Rank: 43
FNK Martin Ratio Rank: 39

OMFS

OMFS Risk / Return Rank: 52
OMFS Sharpe Ratio Rank: 46
OMFS Sortino Ratio Rank: 48
OMFS Omega Ratio Rank: 44
OMFS Calmar Ratio Rank: 62
OMFS Martin Ratio Rank: 59

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.

FNK vs. OMFS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Mid Cap Value AlphaDEX Fund (FNK) and Invesco Russell 2000 Dynamic Multifactor ETF (OMFS). 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.

	FNK	OMFS	Difference
Sharpe ratio: Return per unit of total volatility	1.29	1.62	-0.34
Sortino ratio: Return per unit of downside risk	2.02	2.41	-0.39
Omega ratio: Gain probability vs. loss probability	1.23	1.28	-0.05
Calmar ratio: Return relative to maximum drawdown	2.15	3.05	-0.90
Martin ratio: Return relative to average drawdown	6.23	10.48	-4.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FNK vs. OMFS - Sharpe Ratio Comparison

The current FNK Sharpe Ratio is 1.29, which is comparable to the OMFS Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of FNK and OMFS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FNK	OMFS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.29	1.62	-0.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.33	0.26	+0.07
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.39	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.40	0.41	-0.01

Drawdowns

FNK vs. OMFS - Drawdown Comparison

The maximum FNK drawdown since its inception was -50.70%, which is greater than OMFS's maximum drawdown of -42.50%. Use the drawdown chart below to compare losses from any high point for FNK and OMFS.

Drawdown Indicators

	FNK	OMFS	Difference
Max Drawdown Largest peak-to-trough decline	-50.70%	-42.50%	-8.20%
Max Drawdown (1Y) Largest decline over 1 year	-9.13%	-9.38%	+0.25%
Max Drawdown (3Y) Largest decline over 3 years	-25.16%	-22.35%	-2.81%
Max Drawdown (5Y) Largest decline over 5 years	-25.16%	-29.22%	+4.06%
Max Drawdown (10Y) Largest decline over 10 years	-50.70%	—	—
Current Drawdown Current decline from peak	-2.16%	-1.92%	-0.24%
Average Drawdown Average peak-to-trough decline	-6.84%	-10.49%	+3.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.15%	2.73%	+0.42%

Volatility

FNK vs. OMFS - Volatility Comparison

The current volatility for First Trust Mid Cap Value AlphaDEX Fund (FNK) is 3.53%, while Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a volatility of 4.97%. This indicates that FNK experiences smaller price fluctuations and is considered to be less risky than OMFS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FNK	OMFS	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.53%	4.97%	-1.44%
Volatility (6M) Calculated over the trailing 6-month period	9.69%	12.44%	-2.75%
Volatility (1Y) Calculated over the trailing 1-year period	15.36%	17.64%	-2.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.04%	21.46%	-0.42%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.86%	24.31%	-0.45%

FNK vs. OMFS - Expense Ratio Comparison

FNK has a 0.70% expense ratio, which is higher than OMFS's 0.39% expense ratio.

Dividends

FNK vs. OMFS - Dividend Comparison

FNK's dividend yield for the trailing twelve months is around 1.56%, more than OMFS's 0.91% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FNK First Trust Mid Cap Value AlphaDEX Fund	1.56%	1.53%	1.63%	1.76%	1.66%	1.27%	1.61%	1.82%	1.76%	1.40%	1.38%	1.45%
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	0.91%	0.80%	1.87%	1.27%	1.84%	0.66%	1.07%	1.29%	1.50%	0.34%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FNK and OMFS in my portfolio?

FNK and OMFS have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FNK or OMFS?

OMFS has higher volatility (4.97%) compared to FNK (3.53%). In terms of maximum drawdown, FNK dropped -50.70% vs OMFS's -42.50%.

Which ETF is better, FNK or OMFS?

On 5-year performance, FNK leads with 6.97% vs 5.57% for OMFS. On fees, OMFS is cheaper at 0.39% per year. On volatility, FNK has been the lower-risk option at 3.53%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FNK or OMFS?

Over the 5-year period, FNK has performed better with a 6.97% return vs 5.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FNK or OMFS?

OMFS is cheaper with a 0.39% expense ratio, compared with 0.70% for FNK.

Which ETF pays a higher dividend yield, FNK or OMFS?

FNK has the higher dividend yield at 1.56%, compared with 0.91% for OMFS.

What is the main difference between FNK and OMFS?

FNK tracks NASDAQ AlphaDEX Mid Cap Value Index, while OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index. They also come from different issuers: First Trust and Invesco. Their fees differ too: 0.70% for FNK and 0.39% for OMFS.

Which has better risk-adjusted returns?

OMFS currently has the higher Sharpe Ratio (1.62 vs 1.29), 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.