OMFL vs. SOXQ
Compare and contrast key facts about Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Invesco PHLX Semiconductor ETF (SOXQ).
OMFL and SOXQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. OMFL is a passively managed fund by Invesco that tracks the performance of the Russell 1000 OFI Dynamic Multifactor Index. It was launched on Nov 8, 2017. SOXQ is a passively managed fund by Invesco that tracks the performance of the PHLX Semiconductor Sector Index. It was launched on Jun 11, 2021. Both OMFL and SOXQ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
OMFL vs. SOXQ - Performance Comparison
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OMFL vs. SOXQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | -0.49% | 13.68% | 6.82% | 21.53% | -13.97% | 8.83% |
SOXQ Invesco PHLX Semiconductor ETF | 10.26% | 43.11% | 20.16% | 66.74% | -35.59% | 24.82% |
Returns By Period
In the year-to-date period, OMFL achieves a -0.49% return, which is significantly lower than SOXQ's 10.26% return.
OMFL
- 1D
- 0.93%
- 1M
- -3.62%
- YTD
- -0.49%
- 6M
- 1.40%
- 1Y
- 14.28%
- 3Y*
- 10.52%
- 5Y*
- 7.65%
- 10Y*
- —
SOXQ
- 1D
- 2.88%
- 1M
- -4.05%
- YTD
- 10.26%
- 6M
- 20.31%
- 1Y
- 83.12%
- 3Y*
- 35.09%
- 5Y*
- —
- 10Y*
- —
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OMFL vs. SOXQ - Expense Ratio Comparison
OMFL has a 0.29% expense ratio, which is higher than SOXQ's 0.19% expense ratio.
Return for Risk
OMFL vs. SOXQ — Risk / Return Rank
OMFL
SOXQ
OMFL vs. SOXQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Invesco PHLX Semiconductor ETF (SOXQ). 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.
| OMFL | SOXQ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.86 | 2.08 | -1.22 |
Sortino ratioReturn per unit of downside risk | 1.33 | 2.68 | -1.36 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.38 | -0.20 |
Calmar ratioReturn relative to maximum drawdown | 1.48 | 4.79 | -3.31 |
Martin ratioReturn relative to average drawdown | 6.95 | 17.49 | -10.54 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| OMFL | SOXQ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.86 | 2.08 | -1.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.63 | 0.60 | +0.03 |
Correlation
The correlation between OMFL and SOXQ is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
OMFL vs. SOXQ - Dividend Comparison
OMFL's dividend yield for the trailing twelve months is around 0.85%, more than SOXQ's 0.46% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 0.85% | 0.80% | 1.22% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% |
SOXQ Invesco PHLX Semiconductor ETF | 0.46% | 0.50% | 0.68% | 0.87% | 1.36% | 0.72% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
OMFL vs. SOXQ - Drawdown Comparison
The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum SOXQ drawdown of -46.01%. Use the drawdown chart below to compare losses from any high point for OMFL and SOXQ.
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Drawdown Indicators
| OMFL | SOXQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.24% | -46.01% | +12.77% |
Max Drawdown (1Y)Largest decline over 1 year | -10.00% | -17.44% | +7.44% |
Max Drawdown (5Y)Largest decline over 5 years | -22.44% | — | — |
Current DrawdownCurrent decline from peak | -4.31% | -7.78% | +3.47% |
Average DrawdownAverage peak-to-trough decline | -4.89% | -13.37% | +8.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.13% | 4.78% | -2.65% |
Volatility
OMFL vs. SOXQ - Volatility Comparison
The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 5.22%, while Invesco PHLX Semiconductor ETF (SOXQ) has a volatility of 12.69%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than SOXQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| OMFL | SOXQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.22% | 12.69% | -7.47% |
Volatility (6M)Calculated over the trailing 6-month period | 10.06% | 26.33% | -16.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.71% | 40.14% | -23.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.81% | 36.10% | -19.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.25% | 36.10% | -15.85% |