OMFL vs. AGG
OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) and AGG (iShares Core U.S. Aggregate Bond ETF) are both exchange-traded funds - OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index, while AGG is a Total Bond Market fund tracking the Bloomberg U.S. Aggregate Bond Index. Both are passively managed. Over the past 5 years, OMFL returned 8.96%/yr vs 0.08%/yr for AGG. At a 0.07 correlation, their price movements are largely independent. OMFL charges 0.29%/yr vs 0.03%/yr for AGG.
Performance
OMFL vs. AGG - Performance Comparison
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Returns By Period
In the year-to-date period, OMFL achieves a 11.16% return, which is significantly higher than AGG's 0.64% return.
OMFL
- 1D
- 1.70%
- 1M
- 0.98%
- YTD
- 11.16%
- 6M
- 9.67%
- 1Y
- 20.69%
- 3Y*
- 13.67%
- 5Y*
- 8.96%
- 10Y*
- —
AGG
- 1D
- 0.58%
- 1M
- 0.59%
- YTD
- 0.64%
- 6M
- 0.74%
- 1Y
- 5.01%
- 3Y*
- 4.07%
- 5Y*
- 0.08%
- 10Y*
- 1.58%
OMFL vs. AGG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 11.16% | 13.68% | 6.82% | 21.53% | -13.97% | 28.95% | 20.91% | 35.58% | -2.55% | 5.12% |
AGG iShares Core U.S. Aggregate Bond ETF | 0.64% | 7.19% | 1.31% | 5.65% | -13.02% | -1.77% | 7.48% | 8.46% | 0.09% | 0.15% |
Correlation
The correlation between OMFL and AGG is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.26 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017 | 0.07 |
Over the past year, OMFL and AGG have become more correlated (0.33) than their long-term average of 0.07, meaning their price movements have been converging.
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Return for Risk
OMFL vs. AGG — Risk / Return Rank
OMFL
AGG
OMFL vs. AGG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and iShares Core U.S. Aggregate Bond ETF (AGG). 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.
| OMFL | AGG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.36 | ||
| Sortino ratioReturn per unit of downside risk | +0.38 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.23 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 2.74 | 1.82 | +0.92 |
| Martin ratioReturn relative to average drawdown | 12.17 | 5.38 | +6.79 |
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Drawdowns
OMFL vs. AGG - Drawdown Comparison
The maximum OMFL drawdown since its inception was -33.24%, which is greater than AGG's maximum drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for OMFL and AGG.
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Drawdown Indicators
| OMFL | AGG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.24% | -18.43% | -14.81% |
Max Drawdown (1Y)Largest decline over 1 year | -7.58% | -2.76% | -4.82% |
Max Drawdown (3Y)Largest decline over 3 years | -15.52% | -6.11% | -9.41% |
Max Drawdown (5Y)Largest decline over 5 years | -22.44% | -17.82% | -4.62% |
Max Drawdown (10Y)Largest decline over 10 years | — | -18.43% | — |
Current DrawdownCurrent decline from peak | -1.65% | -1.76% | +0.11% |
Average DrawdownAverage peak-to-trough decline | -4.79% | -2.71% | -2.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.70% | 0.93% | +0.77% |
Volatility
OMFL vs. AGG - Volatility Comparison
Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) has a higher volatility of 3.69% compared to iShares Core U.S. Aggregate Bond ETF (AGG) at 1.36%. This indicates that OMFL's price experiences larger fluctuations and is considered to be riskier than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| OMFL | AGG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.69% | 1.36% | +2.33% |
Volatility (6M)Calculated over the trailing 6-month period | 9.93% | 2.82% | +7.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 3.83% | +8.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.80% | 6.10% | +10.70% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.10% | 5.41% | +14.69% |
OMFL vs. AGG - Expense Ratio Comparison
OMFL has a 0.29% expense ratio, which is higher than AGG's 0.03% expense ratio.
Dividends
OMFL vs. AGG - Dividend Comparison
OMFL's dividend yield for the trailing twelve months is around 0.76%, less than AGG's 3.97% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | 3.97% | 3.89% | 3.74% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.72% | 2.32% | 2.39% | 2.45% |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 0.76% | 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
OMFL and AGG have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
OMFL has higher volatility (3.69%) compared to AGG (1.36%). In terms of maximum drawdown, OMFL dropped -33.24% vs AGG's -18.43%.
On 5-year performance, OMFL leads with 8.96% vs 0.08% for AGG. On fees, AGG is cheaper at 0.03% per year. On volatility, AGG has been the lower-risk option at 1.36%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, OMFL has performed better with a 8.96% return vs 0.08%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
AGG is cheaper with a 0.03% expense ratio, compared with 0.29% for OMFL.
AGG has the higher dividend yield at 3.97%, compared with 0.76% for OMFL.
OMFL is categorized as Large Cap Blend Equities, while AGG is Total Bond Market. OMFL tracks Russell 1000 Invesco Dynamic Multifactor Index, while AGG tracks Bloomberg U.S. Aggregate Bond Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.29% for OMFL and 0.03% for AGG.
OMFL currently has the higher Sharpe Ratio (1.68 vs 1.32), 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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