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OMFL vs. QQQ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

OMFL vs. QQQ

Last updated Aug 4, 2026
Documentation

OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) and QQQ (Invesco QQQ ETF) are both exchange-traded funds - OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index, while QQQ is a Nasdaq-100 fund tracking the NASDAQ-100 Index. Both are passively managed. Over the past 5 years, OMFL returned 9.73%/yr vs 14.45%/yr for QQQ. Their 0.71 correlation means they have sometimes moved together and sometimes differently. OMFL charges 0.29%/yr vs 0.18%/yr for QQQ.

Performance

OMFL vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Invesco QQQ ETF (QQQ). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

The year-to-date returns for both stocks are quite close, with OMFL having a 14.92% return and QQQ slightly lower at 14.23%.

OMFL

1D
1.07%
1M
1.61%
6M
11.19%
YTD
14.92%
1Y
22.88%
3Y*
13.08%
5Y*
9.73%
10Y*
—
ALL TIME*
14.09%

QQQ

1D
1.76%
1M
-1.76%
6M
12.07%
YTD
14.23%
1Y
27.00%
3Y*
24.17%
5Y*
14.45%
10Y*
20.46%
ALL TIME*
10.70%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

OMFL

Invesco Russell 1000 Dynamic Multifactor ETF
$6.98M$7.56M$9.22M

QQQ

Invesco QQQ ETF
$31.40B$28.17B$31.69B

OMFL vs. QQQ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		14.92%13.68%6.82%21.53%-13.97%28.95%20.91%35.58%-2.55%5.12%
QQQ
Invesco QQQ ETF		14.23%20.77%25.58%54.86%-32.58%27.42%48.62%38.96%-0.13%1.56%

Correlation

The correlation between OMFL and QQQ is 0.82, 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.

0.82

Correlation (3Y)
Balances recent behavior with more history.

0.77

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.79

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

0.71

The correlation between OMFL and QQQ shifts across timeframes, from 0.71 (all time) to 0.82 (1 year), reflecting how their relationship changes across market environments.

OMFL vs. QQQ - Sectors Allocation Comparison

Sectors
OMFL
QQQ

Technology

35.7%
60.9%

Healthcare

12.6%
3.6%

Industrials

10.6%
2.7%

Financial Services

10.1%
0.2%

Communication Services

8.1%
13.1%

Consumer Cyclical

7.0%
10.7%

Consumer Defensive

6.5%
6.3%

Basic Materials

2.4%
1.0%

Energy

2.4%
0.5%

Utilities

2.2%
1.1%

Real Estate

1.5%
0.1%

Technology

OMFL
35.7%
QQQ
60.9%

Healthcare

OMFL
12.6%
QQQ
3.6%

Industrials

OMFL
10.6%
QQQ
2.7%

Financial Services

OMFL
10.1%
QQQ
0.2%

Communication Services

OMFL
8.1%
QQQ
13.1%

Consumer Cyclical

OMFL
7.0%
QQQ
10.7%

Consumer Defensive

OMFL
6.5%
QQQ
6.3%

Basic Materials

OMFL
2.4%
QQQ
1.0%

Energy

OMFL
2.4%
QQQ
0.5%

Utilities

OMFL
2.2%
QQQ
1.1%

Real Estate

OMFL
1.5%
QQQ
0.1%

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

Invesco QQQ ETF

Often compared with OMFL:
OMFL vs. SPGPOMFL vs. OMFSOMFL vs. SCHDOMFL vs. QQQSOMFL vs. WTVOMFL vs. CALMOMFL vs. RWL
Often compared with QQQ:
QQQ vs. SPYQQQ vs. VOOQQQ vs. VGTQQQ vs. TQQQQQQ vs. SMHQQQ vs. QQQMQQQ vs. SPMO

Return for Risk

OMFL vs. QQQ — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
OMFL
OMFL Risk / Return Rank: 8080
Overall Rank
OMFL Sharpe Ratio Rank: 7878
Sharpe Ratio Rank
OMFL Sortino Ratio Rank: 7676
Sortino Ratio Rank
OMFL Omega Ratio Rank: 7575
Omega Ratio Rank
OMFL Calmar Ratio Rank: 8181
Calmar Ratio Rank
OMFL Martin Ratio Rank: 8787
Martin Ratio Rank
QQQ
QQQ Risk / Return Rank: 5858
Overall Rank
QQQ Sharpe Ratio Rank: 5858
Sharpe Ratio Rank
QQQ Sortino Ratio Rank: 5555
Sortino Ratio Rank
QQQ Omega Ratio Rank: 5555
Omega Ratio Rank
QQQ Calmar Ratio Rank: 6464
Calmar Ratio Rank
QQQ Martin Ratio Rank: 5959
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

OMFL vs. QQQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Invesco QQQ ETF (QQQ). 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.

OMFLQQQDifference
Sharpe ratioReturn per unit of total volatility
1.83
1.40

+0.42

Sortino ratioReturn per unit of downside risk
2.52
1.95

+0.57

Omega ratioGain probability vs. loss probability

1.32

1.25

+0.08

Calmar ratioReturn relative to maximum drawdown

3.03

2.27

+0.77

Martin ratioReturn relative to average drawdown

13.26

7.21

+6.05

OMFL vs. QQQ - Sharpe Ratio Comparison

The current OMFL Sharpe Ratio is 1.83, which is higher than the QQQ Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of OMFL and QQQ, 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. QQQ - Drawdown Comparison

The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum QQQ drawdown of -82.97%. Use the drawdown chart below to compare losses from any high point for OMFL and QQQ.

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Drawdown Indicators

OMFLQQQDifference

Max Drawdown

Largest peak-to-trough decline

-33.24%

-82.97%

+49.73%

Max Drawdown (1Y)

Largest decline over 1 year

-7.58%

-11.96%

+4.38%

Max Drawdown (3Y)

Largest decline over 3 years

-15.52%

-22.77%

+7.25%

Max Drawdown (5Y)

Largest decline over 5 years

-22.44%

-35.12%

+12.68%

Max Drawdown (10Y)

Largest decline over 10 years

—

-35.12%

—

Current Drawdown

Current decline from peak

0.00%

-6.07%

+6.07%

Average Drawdown

Average peak-to-trough decline

-4.73%

-32.61%

+27.88%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.73%

3.76%

-2.03%

Volatility

OMFL vs. QQQ - Volatility Comparison

The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 2.82%, while Invesco QQQ ETF (QQQ) has a volatility of 6.96%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

OMFLQQQDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.82%

6.96%

-4.14%

Volatility (6M)

Calculated over the trailing 6-month period

9.75%

16.12%

-6.37%

Volatility (1Y)

Calculated over the trailing 1-year period

12.61%

19.37%

-6.76%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.65%

22.92%

-6.27%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.99%

22.51%

-2.52%

OMFL vs. QQQ - Expense Ratio Comparison

OMFL has a 0.29% expense ratio, which is higher than QQQ's 0.18% expense ratio.

Dividends

OMFL vs. QQQ - Dividend Comparison

OMFL's dividend yield for the trailing twelve months is around 0.80%, more than QQQ's 0.43% yield.

PositionTTM20252024202320222021202020192018201720162015
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		0.80%0.80%1.22%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%
QQQ
Invesco QQQ ETF		0.43%0.45%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%

Frequently Asked Questions

OMFL and QQQ have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

QQQ has higher volatility (6.96%) compared to OMFL (2.82%). In terms of maximum drawdown, OMFL dropped -33.24% vs QQQ's -82.97%.

On 5-year performance, QQQ leads with 14.45% vs 9.73% for OMFL. On fees, QQQ is cheaper at 0.18% per year. On volatility, OMFL has been the lower-risk option at 2.82%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, QQQ has performed better with a 14.45% return vs 9.73%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QQQ is cheaper with a 0.18% expense ratio, compared with 0.29% for OMFL.

OMFL has the higher dividend yield at 0.80%, compared with 0.43% for QQQ.

OMFL is categorized as Large Cap Blend Equities, while QQQ is Nasdaq-100. OMFL tracks Russell 1000 Invesco Dynamic Multifactor Index, while QQQ tracks NASDAQ-100 Index. Their fees differ too: 0.29% for OMFL and 0.18% for QQQ.

OMFL currently has the higher Sharpe Ratio (1.83 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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