OMFL vs. PMYYX
OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) and PMYYX (Putnam Multi-Cap Core Fund) are both Large Cap Blend Equities funds. Over the past 5 years, OMFL returned 9.47%/yr vs 12.92%/yr for PMYYX. Their correlation of 0.86 means they have usually moved in the same direction. OMFL charges 0.29%/yr vs 0.71%/yr for PMYYX.
Performance
OMFL vs. PMYYX - Performance Comparison
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Returns By Period
In the year-to-date period, OMFL achieves a 13.71% return, which is significantly higher than PMYYX's 7.70% return.
OMFL
- 1D
- 0.28%
- 1M
- 0.54%
- 6M
- 10.69%
- YTD
- 13.71%
- 1Y
- 21.58%
- 3Y*
- 12.29%
- 5Y*
- 9.47%
- 10Y*
- —
- ALL TIME*
- 13.96%
PMYYX
- 1D
- 1.68%
- 1M
- 0.32%
- 6M
- 6.39%
- YTD
- 7.70%
- 1Y
- 20.16%
- 3Y*
- 18.91%
- 5Y*
- 12.92%
- 10Y*
- 15.93%
- ALL TIME*
- 15.69%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $6.90M | $8.14M | $9.20M | |
| $0.00 | $0.00 | $0.00 |
OMFL vs. PMYYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 13.71% | 13.68% | 6.82% | 21.53% | -13.97% | 28.95% | 20.91% | 35.58% | -2.55% | 5.12% |
PMYYX Putnam Multi-Cap Core Fund | 7.70% | 17.33% | 26.46% | 27.98% | -15.94% | 30.93% | 17.69% | 32.52% | -7.91% | 5.27% |
Correlation
The correlation between OMFL and PMYYX is 0.92, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.92 |
Correlation (3Y) Balances recent behavior with more history. | 0.88 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.90 |
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017 | 0.86 |
The correlation between OMFL and PMYYX has been stable across timeframes, ranging from 0.86 to 0.92 - a consistent structural relationship.
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Return for Risk
OMFL vs. PMYYX — Risk / Return Rank
OMFL
PMYYX
OMFL vs. PMYYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Putnam Multi-Cap Core Fund (PMYYX). 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 | PMYYX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.18 | ||
| Sortino ratioReturn per unit of downside risk | +0.23 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.25 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.64 | 1.80 | +0.84 |
| Martin ratioReturn relative to average drawdown | 11.55 | 7.60 | +3.95 |
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Drawdowns
OMFL vs. PMYYX - Drawdown Comparison
The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum PMYYX drawdown of -35.25%. Use the drawdown chart below to compare losses from any high point for OMFL and PMYYX.
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Drawdown Indicators
| OMFL | PMYYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.24% | -35.25% | +2.01% |
Max Drawdown (1Y)Largest decline over 1 year | -7.58% | -10.02% | +2.44% |
Max Drawdown (3Y)Largest decline over 3 years | -15.52% | -18.92% | +3.40% |
Max Drawdown (5Y)Largest decline over 5 years | -22.44% | -23.52% | +1.08% |
Max Drawdown (10Y)Largest decline over 10 years | — | -35.25% | — |
Current DrawdownCurrent decline from peak | -0.20% | -1.23% | +1.03% |
Average DrawdownAverage peak-to-trough decline | -4.73% | -4.09% | -0.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.73% | 2.37% | -0.64% |
Volatility
OMFL vs. PMYYX - Volatility Comparison
The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 2.67%, while Putnam Multi-Cap Core Fund (PMYYX) has a volatility of 3.71%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than PMYYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| OMFL | PMYYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.67% | 3.71% | -1.04% |
Volatility (6M)Calculated over the trailing 6-month period | 9.78% | 10.07% | -0.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.63% | 12.87% | -0.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.64% | 16.88% | -0.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.99% | 18.37% | +1.62% |
OMFL vs. PMYYX - Expense Ratio Comparison
OMFL has a 0.29% expense ratio, which is lower than PMYYX's 0.71% expense ratio.
Dividends
OMFL vs. PMYYX - Dividend Comparison
OMFL's dividend yield for the trailing twelve months is around 0.81%, less than PMYYX's 2.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 0.81% | 0.80% | 1.22% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% | 0.00% | 0.00% |
PMYYX Putnam Multi-Cap Core Fund | 2.57% | 2.76% | 4.47% | 2.62% | 5.26% | 9.25% | 2.41% | 4.76% | 2.36% | 2.71% | 1.21% | 1.26% |
Frequently Asked Questions
With a correlation of 0.92, OMFL and PMYYX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
PMYYX has higher volatility (3.71%) compared to OMFL (2.67%). In terms of maximum drawdown, OMFL dropped -33.24% vs PMYYX's -35.25%.
OMFL currently has the higher Sharpe Ratio (1.58 vs 1.40), 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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