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OMFL vs. IJR
Performance
Return for Risk
Drawdowns
Volatility
Dividends

OMFL vs. IJR

Last updated Jun 12, 2026

OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) and IJR (iShares Core S&P Small-Cap ETF) are both exchange-traded funds - OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index, while IJR is a Small Cap Blend Equities fund tracking the S&P SmallCap 600 Index. Both are passively managed. Over the past 5 years, OMFL returned 8.96%/yr vs 6.05%/yr for IJR. Their correlation of 0.81 suggests significant overlap in exposure. OMFL charges 0.29%/yr vs 0.06%/yr for IJR.

Performance

OMFL vs. IJR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and iShares Core S&P Small-Cap ETF (IJR). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, OMFL achieves a 11.16% return, which is significantly lower than IJR's 18.58% return.

OMFL

1D
1.70%
1M
0.98%
YTD
11.16%
6M
9.67%
1Y
20.69%
3Y*
13.67%
5Y*
8.96%
10Y*
—

IJR

1D
2.44%
1M
4.79%
YTD
18.58%
6M
14.12%
1Y
32.55%
3Y*
14.69%
5Y*
6.05%
10Y*
11.03%
*Multi-year figures are annualized to reflect compound growth (CAGR)

OMFL vs. IJR - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
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%
IJR
iShares Core S&P Small-Cap ETF		18.58%5.89%8.63%16.06%-16.20%26.58%11.28%22.82%-8.51%5.16%

Correlation

The correlation between OMFL and IJR is 0.75, 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

0.75

Correlation (3Y)
Calculated over the trailing 3-year period

0.79

Correlation (5Y)
Calculated over the trailing 5-year period

0.84

Correlation (All Time)
Calculated using the full available price history since Nov 10, 2017

0.81

The correlation between OMFL and IJR has been stable across timeframes, ranging from 0.75 to 0.84 - a consistent structural relationship.

OMFL vs. IJR - Sectors Allocation Comparison

Sectors
OMFL
IJR

Technology

31.0%
15.5%

Communication Services

11.7%
3.6%

Financial Services

11.5%
16.8%

Healthcare

10.4%
11.1%

Industrials

9.8%
15.5%

Consumer Cyclical

9.5%
13.4%

Consumer Defensive

8.8%
3.5%

Energy

3.7%
5.9%

Basic Materials

2.5%
5.1%

Real Estate

0.8%
7.6%

Utilities

0.4%
2.0%

Technology

OMFL
31.0%
IJR
15.5%

Communication Services

OMFL
11.7%
IJR
3.6%

Financial Services

OMFL
11.5%
IJR
16.8%

Healthcare

OMFL
10.4%
IJR
11.1%

Industrials

OMFL
9.8%
IJR
15.5%

Consumer Cyclical

OMFL
9.5%
IJR
13.4%

Consumer Defensive

OMFL
8.8%
IJR
3.5%

Energy

OMFL
3.7%
IJR
5.9%

Basic Materials

OMFL
2.5%
IJR
5.1%

Real Estate

OMFL
0.8%
IJR
7.6%

Utilities

OMFL
0.4%
IJR
2.0%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Invesco Russell 1000 Dynamic Multifactor ETF

iShares Core S&P Small-Cap ETF

Often compared with OMFL:
OMFL vs. SPGPOMFL vs. SCHDOMFL vs. OMFSOMFL vs. QQQSOMFL vs. CALMOMFL vs. WTVOMFL vs. RWL
Often compared with IJR:
IJR vs. IWMIJR vs. VBIJR vs. AVUVIJR vs. IJSIJR vs. IJHIJR vs. SCHAIJR vs. VBR

Return for Risk

OMFL vs. IJR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
OMFL
OMFL Risk / Return Rank: 6464
Overall Rank
OMFL Sharpe Ratio Rank: 6060
Sharpe Ratio Rank
OMFL Sortino Ratio Rank: 6060
Sortino Ratio Rank
OMFL Omega Ratio Rank: 5959
Omega Ratio Rank
OMFL Calmar Ratio Rank: 6565
Calmar Ratio Rank
OMFL Martin Ratio Rank: 7777
Martin Ratio Rank
IJR
IJR Risk / Return Rank: 7474
Overall Rank
IJR Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
IJR Sortino Ratio Rank: 7272
Sortino Ratio Rank
IJR Omega Ratio Rank: 6464
Omega Ratio Rank
IJR Calmar Ratio Rank: 8484
Calmar Ratio Rank
IJR Martin Ratio Rank: 7979
Martin Ratio Rank
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.

OMFL vs. IJR - 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 S&P Small-Cap ETF (IJR). 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.

OMFLIJRDifference
Sharpe ratioReturn per unit of total volatility
1.68
1.84

-0.16

Sortino ratioReturn per unit of downside risk
2.34
2.68

-0.34

Omega ratioGain probability vs. loss probability

1.30

1.32

-0.01

Calmar ratioReturn relative to maximum drawdown

2.74

3.77

-1.02

Martin ratioReturn relative to average drawdown

12.17

12.61

-0.43

OMFL vs. IJR - Sharpe Ratio Comparison

The current OMFL Sharpe Ratio is 1.68, which is comparable to the IJR Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of OMFL and IJR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

OMFL vs. IJR - Drawdown Comparison

The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum IJR drawdown of -58.15%. Use the drawdown chart below to compare losses from any high point for OMFL and IJR.

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Drawdown Indicators

OMFLIJRDifference

Max Drawdown

Largest peak-to-trough decline

-33.24%

-58.15%

+24.91%

Max Drawdown (1Y)

Largest decline over 1 year

-7.58%

-8.68%

+1.10%

Max Drawdown (3Y)

Largest decline over 3 years

-15.52%

-28.02%

+12.50%

Max Drawdown (5Y)

Largest decline over 5 years

-22.44%

-28.02%

+5.58%

Max Drawdown (10Y)

Largest decline over 10 years

—

-44.36%

—

Current Drawdown

Current decline from peak

-1.65%

0.00%

-1.65%

Average Drawdown

Average peak-to-trough decline

-4.79%

-9.27%

+4.48%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.70%

2.59%

-0.89%

Volatility

OMFL vs. IJR - Volatility Comparison

The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 3.69%, while iShares Core S&P Small-Cap ETF (IJR) has a volatility of 5.17%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than IJR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

OMFLIJRDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.69%

5.17%

-1.48%

Volatility (6M)

Calculated over the trailing 6-month period

9.93%

12.08%

-2.15%

Volatility (1Y)

Calculated over the trailing 1-year period

12.38%

17.75%

-5.37%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.80%

21.43%

-4.63%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

20.10%

22.92%

-2.82%

OMFL vs. IJR - Expense Ratio Comparison

OMFL has a 0.29% expense ratio, which is higher than IJR's 0.06% expense ratio.

Dividends

OMFL vs. IJR - Dividend Comparison

OMFL's dividend yield for the trailing twelve months is around 0.76%, less than IJR's 1.12% yield.

PositionTTM20252024202320222021202020192018201720162015
IJR
iShares Core S&P Small-Cap ETF		1.12%1.44%2.05%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.22%1.48%
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 IJR have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

IJR has higher volatility (5.17%) compared to OMFL (3.69%). In terms of maximum drawdown, OMFL dropped -33.24% vs IJR's -58.15%.

On 5-year performance, OMFL leads with 8.96% vs 6.05% for IJR. On fees, IJR is cheaper at 0.06% per year. On volatility, OMFL has been the lower-risk option at 3.69%. 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 6.05%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IJR is cheaper with a 0.06% expense ratio, compared with 0.29% for OMFL.

IJR has the higher dividend yield at 1.12%, compared with 0.76% for OMFL.

OMFL is categorized as Large Cap Blend Equities, while IJR is Small Cap Blend Equities. OMFL tracks Russell 1000 Invesco Dynamic Multifactor Index, while IJR tracks S&P SmallCap 600 Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.29% for OMFL and 0.06% for IJR.

IJR currently has the higher Sharpe Ratio (1.84 vs 1.68), 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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