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OMFL vs. MTUM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

OMFL vs. MTUM

Last updated Jun 4, 2026

OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 5 years, OMFL returned 9.27%/yr vs 15.21%/yr for MTUM. A 0.73 correlation means they provide meaningful diversification when combined. OMFL charges 0.29%/yr vs 0.15%/yr for MTUM.

Performance

OMFL vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and iShares MSCI USA Momentum Factor ETF (MTUM). 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 12.39% return, which is significantly lower than MTUM's 31.75% return.

OMFL

1D
-0.10%
1M
4.53%
YTD
12.39%
6M
12.90%
1Y
21.98%
3Y*
14.35%
5Y*
9.27%
10Y*
—

MTUM

1D
1.06%
1M
15.90%
YTD
31.75%
6M
32.38%
1Y
41.76%
3Y*
34.75%
5Y*
15.21%
10Y*
17.31%
*Multi-year figures are annualized to reflect compound growth (CAGR)

OMFL vs. MTUM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		12.39%13.68%6.82%21.53%-13.97%28.95%20.91%35.58%-2.55%4.95%
MTUM
iShares MSCI USA Momentum Factor ETF		31.75%22.15%32.89%9.15%-18.27%13.36%29.86%27.25%-1.67%2.93%

Correlation

The correlation between OMFL and MTUM is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.84

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

0.77

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

0.82

Correlation (All Time)
Calculated using the full available price history since Nov 13, 2017

0.73

The correlation between OMFL and MTUM shifts across timeframes, from 0.73 (all time) to 0.84 (1 year), reflecting how their relationship changes across market environments.

OMFL vs. MTUM - Sectors Allocation Comparison

Sectors
OMFL
MTUM

Technology

31.0%
44.4%

Communication Services

11.7%
7.4%

Financial Services

11.5%
10.4%

Healthcare

10.4%
6.9%

Industrials

9.8%
15.6%

Consumer Cyclical

9.5%
3.6%

Consumer Defensive

8.8%
3.3%

Energy

3.7%
3.5%

Basic Materials

2.5%
1.7%

Real Estate

0.8%
1.8%

Utilities

0.4%
1.6%

Technology

OMFL
31.0%
MTUM
44.4%

Communication Services

OMFL
11.7%
MTUM
7.4%

Financial Services

OMFL
11.5%
MTUM
10.4%

Healthcare

OMFL
10.4%
MTUM
6.9%

Industrials

OMFL
9.8%
MTUM
15.6%

Consumer Cyclical

OMFL
9.5%
MTUM
3.6%

Consumer Defensive

OMFL
8.8%
MTUM
3.3%

Energy

OMFL
3.7%
MTUM
3.5%

Basic Materials

OMFL
2.5%
MTUM
1.7%

Real Estate

OMFL
0.8%
MTUM
1.8%

Utilities

OMFL
0.4%
MTUM
1.6%

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 MSCI USA Momentum Factor ETF

Often compared with OMFL:
OMFL vs. SPGPOMFL vs. OMFSOMFL vs. SCHDOMFL vs. QQQSOMFL vs. WTVOMFL vs. CALMOMFL vs. RWL
Often compared with MTUM:
MTUM vs. SPMOMTUM vs. SPYMTUM vs. QQQMTUM vs. QUALMTUM vs. VOOMTUM vs. VFMOMTUM vs. QMOM

Return for Risk

OMFL vs. MTUM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
OMFL
OMFL Risk / Return Rank: 5757
Overall Rank
OMFL Sharpe Ratio Rank: 5353
Sharpe Ratio Rank
OMFL Sortino Ratio Rank: 5252
Sortino Ratio Rank
OMFL Omega Ratio Rank: 5252
Omega Ratio Rank
OMFL Calmar Ratio Rank: 5858
Calmar Ratio Rank
OMFL Martin Ratio Rank: 7070
Martin Ratio Rank
MTUM
MTUM Risk / Return Rank: 6767
Overall Rank
MTUM Sharpe Ratio Rank: 6464
Sharpe Ratio Rank
MTUM Sortino Ratio Rank: 6262
Sortino Ratio Rank
MTUM Omega Ratio Rank: 6363
Omega Ratio Rank
MTUM Calmar Ratio Rank: 7171
Calmar Ratio Rank
MTUM Martin Ratio Rank: 7575
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. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and iShares MSCI USA Momentum Factor ETF (MTUM). 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.

OMFLMTUMDifference
Sharpe ratioReturn per unit of total volatility
1.84
2.20

-0.37

Sortino ratioReturn per unit of downside risk
2.57
2.98

-0.41

Omega ratioGain probability vs. loss probability

1.33

1.39

-0.06

Calmar ratioReturn relative to maximum drawdown

2.91

3.64

-0.72

Martin ratioReturn relative to average drawdown

13.12

14.50

-1.38

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

OMFL vs. MTUM - Sharpe Ratio Comparison

The current OMFL Sharpe Ratio is 1.84, which is comparable to the MTUM Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of OMFL and MTUM, 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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Sharpe Ratios by Period

OMFLMTUMDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.84

2.20

-0.37

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.56

0.74

-0.19

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.83

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.70

0.85

-0.15

Drawdowns

OMFL vs. MTUM - Drawdown Comparison

The maximum OMFL drawdown since its inception was -33.24%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for OMFL and MTUM.

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Drawdown Indicators

OMFLMTUMDifference

Max Drawdown

Largest peak-to-trough decline

-33.24%

-34.08%

+0.84%

Max Drawdown (1Y)

Largest decline over 1 year

-7.58%

-11.54%

+3.96%

Max Drawdown (3Y)

Largest decline over 3 years

-15.52%

-20.99%

+5.47%

Max Drawdown (5Y)

Largest decline over 5 years

-22.44%

-32.28%

+9.84%

Max Drawdown (10Y)

Largest decline over 10 years

—

-34.08%

—

Current Drawdown

Current decline from peak

-0.19%

0.00%

-0.19%

Average Drawdown

Average peak-to-trough decline

-4.80%

-6.21%

+1.41%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.68%

2.89%

-1.21%

Volatility

OMFL vs. MTUM - Volatility Comparison

The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 2.40%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 7.68%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

OMFLMTUMDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.40%

7.68%

-5.28%

Volatility (6M)

Calculated over the trailing 6-month period

9.45%

16.46%

-7.01%

Volatility (1Y)

Calculated over the trailing 1-year period

12.03%

19.04%

-7.01%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.75%

20.60%

-3.85%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

20.11%

21.03%

-0.92%

OMFL vs. MTUM - Expense Ratio Comparison

OMFL has a 0.29% expense ratio, which is higher than MTUM's 0.15% expense ratio.

Dividends

OMFL vs. MTUM - Dividend Comparison

OMFL's dividend yield for the trailing twelve months is around 0.75%, more than MTUM's 0.60% yield.

PositionTTM20252024202320222021202020192018201720162015
MTUM
iShares MSCI USA Momentum Factor ETF		0.60%0.91%0.75%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		0.75%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 MTUM have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

MTUM has higher volatility (7.68%) compared to OMFL (2.40%). In terms of maximum drawdown, OMFL dropped -33.24% vs MTUM's -34.08%.

On 5-year performance, MTUM leads with 15.21% vs 9.27% for OMFL. On fees, MTUM is cheaper at 0.15% per year. On volatility, OMFL has been the lower-risk option at 2.40%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, MTUM has performed better with a 15.21% return vs 9.27%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

MTUM is cheaper with a 0.15% expense ratio, compared with 0.29% for OMFL.

OMFL has the higher dividend yield at 0.75%, compared with 0.60% for MTUM.

OMFL is categorized as Large Cap Blend Equities, while MTUM is Momentum. OMFL tracks Russell 1000 Invesco Dynamic Multifactor Index, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.29% for OMFL and 0.15% for MTUM.

MTUM currently has the higher Sharpe Ratio (2.20 vs 1.84), 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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