GQEPX vs. OMFL
Compare and contrast key facts about GQG Partners US Select Quality Equity Fund Investor Shares (GQEPX) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL).
GQEPX is managed by GQG Partners Inc. It was launched on Sep 28, 2018. OMFL is a passively managed fund by Invesco that tracks the performance of the Russell 1000 OFI Dynamic Multifactor Index. It was launched on Nov 8, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GQEPX or OMFL.
Performance
GQEPX vs. OMFL - Performance Comparison
Returns By Period
In the year-to-date period, GQEPX achieves a 34.30% return, which is significantly higher than OMFL's 7.75% return.
GQEPX
34.30%
3.19%
9.26%
38.91%
17.83%
N/A
OMFL
7.75%
2.93%
2.81%
16.42%
12.84%
N/A
Key characteristics
| GQEPX | OMFL | |
|---|---|---|
| Sharpe Ratio | 2.26 | 1.16 |
| Sortino Ratio | 3.09 | 1.62 |
| Omega Ratio | 1.41 | 1.21 |
| Calmar Ratio | 3.34 | 1.23 |
| Martin Ratio | 11.09 | 3.63 |
| Ulcer Index | 3.51% | 4.52% |
| Daily Std Dev | 17.20% | 14.14% |
| Max Drawdown | -28.45% | -33.24% |
| Current Drawdown | 0.00% | -1.35% |
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GQEPX vs. OMFL - Expense Ratio Comparison
GQEPX has a 0.59% expense ratio, which is higher than OMFL's 0.29% expense ratio.
Correlation
The correlation between GQEPX and OMFL is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
GQEPX vs. OMFL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GQG Partners US Select Quality Equity Fund Investor Shares (GQEPX) 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.
Dividends
GQEPX vs. OMFL - Dividend Comparison
GQEPX's dividend yield for the trailing twelve months is around 0.33%, less than OMFL's 1.29% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
GQEPX GQG Partners US Select Quality Equity Fund Investor Shares | 0.33% | 0.44% | 1.68% | 0.81% | 0.07% | 0.63% | 0.10% | 0.00% |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 1.29% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% |
Drawdowns
GQEPX vs. OMFL - Drawdown Comparison
The maximum GQEPX drawdown since its inception was -28.45%, smaller than the maximum OMFL drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for GQEPX and OMFL. For additional features, visit the drawdowns tool.
Volatility
GQEPX vs. OMFL - Volatility Comparison
The current volatility for GQG Partners US Select Quality Equity Fund Investor Shares (GQEPX) is 3.60%, while Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) has a volatility of 4.19%. This indicates that GQEPX 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.