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OMFL vs. SPGP
Performance
Return for Risk
Drawdowns
Volatility
Dividends

OMFL vs. SPGP

Last updated Jun 23, 2026

OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) and SPGP (Invesco S&P 500 GARP ETF) are both exchange-traded funds - OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index, while SPGP is a Multi-factor fund tracking the S&P 500 GARP Index. Both are passively managed. Over the past 5 years, OMFL returned 9.36%/yr vs 8.15%/yr for SPGP. Their correlation of 0.83 suggests significant overlap in exposure. OMFL charges 0.29%/yr vs 0.36%/yr for SPGP.

Performance

OMFL vs. SPGP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Invesco S&P 500 GARP ETF (SPGP). 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 12.03% return, which is significantly higher than SPGP's 5.80% return.

OMFL

1D
-0.35%
1M
0.30%
YTD
12.03%
6M
11.06%
1Y
23.68%
3Y*
13.75%
5Y*
9.36%
10Y*
—

SPGP

1D
-0.27%
1M
1.56%
YTD
5.80%
6M
3.85%
1Y
16.63%
3Y*
12.56%
5Y*
8.15%
10Y*
15.41%
*Multi-year figures are annualized to reflect compound growth (CAGR)

OMFL vs. SPGP - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		12.03%13.68%6.82%21.53%-13.97%28.95%20.91%35.58%-2.55%5.12%
SPGP
Invesco S&P 500 GARP ETF		5.80%9.80%8.48%20.29%-13.83%35.72%15.92%39.16%1.68%2.11%

Correlation

The correlation between OMFL and SPGP is 0.83, 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

0.83

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

0.81

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

0.85

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

0.83

The correlation between OMFL and SPGP has been stable across timeframes, ranging from 0.81 to 0.85 - a consistent structural relationship.

OMFL vs. SPGP - Sectors Allocation Comparison

Sectors
OMFL
SPGP

Technology

34.5%
24.9%

Communication Services

11.2%
6.8%

Financial Services

11.0%
20.9%

Healthcare

9.9%
3.7%

Industrials

9.2%
16.9%

Consumer Cyclical

9.2%
17.6%

Consumer Defensive

8.3%

-

Energy

3.3%
6.3%

Basic Materials

2.4%

-

Real Estate

0.8%
2.9%

Utilities

0.3%

-

Technology

OMFL
34.5%
SPGP
24.9%

Communication Services

OMFL
11.2%
SPGP
6.8%

Financial Services

OMFL
11.0%
SPGP
20.9%

Healthcare

OMFL
9.9%
SPGP
3.7%

Industrials

OMFL
9.2%
SPGP
16.9%

Consumer Cyclical

OMFL
9.2%
SPGP
17.6%

Consumer Defensive

OMFL
8.3%
SPGP

-

Energy

OMFL
3.3%
SPGP
6.3%

Basic Materials

OMFL
2.4%
SPGP

-

Real Estate

OMFL
0.8%
SPGP
2.9%

Utilities

OMFL
0.3%
SPGP

-

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 S&P 500 GARP ETF

Often compared with OMFL:
OMFL vs. OMFSOMFL vs. SCHDOMFL vs. CALMOMFL vs. QQQSOMFL vs. WTVOMFL vs. RWLOMFL vs. PMYYX
Often compared with SPGP:
SPGP vs. GARPSPGP vs. VOOSPGP vs. SPYSPGP vs. QQQSPGP vs. PAVESPGP vs. HACAXSPGP vs. SCHD

Return for Risk

OMFL vs. SPGP — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
OMFL
OMFL Risk / Return Rank: 6363
Overall Rank
OMFL Sharpe Ratio Rank: 5858
Sharpe Ratio Rank
OMFL Sortino Ratio Rank: 5757
Sortino Ratio Rank
OMFL Omega Ratio Rank: 5757
Omega Ratio Rank
OMFL Calmar Ratio Rank: 6565
Calmar Ratio Rank
OMFL Martin Ratio Rank: 7676
Martin Ratio Rank
SPGP
SPGP Risk / Return Rank: 3131
Overall Rank
SPGP Sharpe Ratio Rank: 3030
Sharpe Ratio Rank
SPGP Sortino Ratio Rank: 3030
Sortino Ratio Rank
SPGP Omega Ratio Rank: 2828
Omega Ratio Rank
SPGP Calmar Ratio Rank: 3131
Calmar Ratio Rank
SPGP Martin Ratio Rank: 3838
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. SPGP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Invesco S&P 500 GARP ETF (SPGP). 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.

OMFLSPGPDifference
Sharpe ratioReturn per unit of total volatility
1.91
1.06

+0.85

Sortino ratioReturn per unit of downside risk
2.64
1.59

+1.05

Omega ratioGain probability vs. loss probability

1.34

1.19

+0.15

Calmar ratioReturn relative to maximum drawdown

3.14

1.50

+1.64

Martin ratioReturn relative to average drawdown

13.98

5.70

+8.27

OMFL vs. SPGP - Sharpe Ratio Comparison

The current OMFL Sharpe Ratio is 1.91, which is higher than the SPGP Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of OMFL and SPGP, 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. SPGP - Drawdown Comparison

The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for OMFL and SPGP.

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Drawdown Indicators

OMFLSPGPDifference

Max Drawdown

Largest peak-to-trough decline

-33.24%

-42.08%

+8.84%

Max Drawdown (1Y)

Largest decline over 1 year

-7.58%

-11.15%

+3.57%

Max Drawdown (3Y)

Largest decline over 3 years

-15.52%

-22.87%

+7.35%

Max Drawdown (5Y)

Largest decline over 5 years

-22.44%

-22.87%

+0.43%

Max Drawdown (10Y)

Largest decline over 10 years

—

-42.08%

—

Current Drawdown

Current decline from peak

-1.13%

-1.30%

+0.17%

Average Drawdown

Average peak-to-trough decline

-4.78%

-4.35%

-0.43%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.70%

2.92%

-1.22%

Volatility

OMFL vs. SPGP - Volatility Comparison

The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 4.06%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 5.39%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

OMFLSPGPDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.06%

5.39%

-1.33%

Volatility (6M)

Calculated over the trailing 6-month period

9.93%

12.33%

-2.40%

Volatility (1Y)

Calculated over the trailing 1-year period

12.47%

15.79%

-3.32%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.80%

18.62%

-1.82%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

20.09%

21.25%

-1.16%

OMFL vs. SPGP - Expense Ratio Comparison

OMFL has a 0.29% expense ratio, which is lower than SPGP's 0.36% expense ratio.

Dividends

OMFL vs. SPGP - Dividend Comparison

OMFL's dividend yield for the trailing twelve months is around 0.98%, less than SPGP's 1.13% yield.

PositionTTM20252024202320222021202020192018201720162015
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF		0.98%0.80%1.22%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%
SPGP
Invesco S&P 500 GARP ETF		1.13%1.04%1.38%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%

Frequently Asked Questions

OMFL and SPGP have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SPGP has higher volatility (5.39%) compared to OMFL (4.06%). In terms of maximum drawdown, OMFL dropped -33.24% vs SPGP's -42.08%.

On 5-year performance, OMFL leads with 9.36% vs 8.15% for SPGP. On fees, OMFL is cheaper at 0.29% per year. On volatility, OMFL has been the lower-risk option at 4.06%. 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 9.36% return vs 8.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

OMFL is cheaper with a 0.29% expense ratio, compared with 0.36% for SPGP.

SPGP has the higher dividend yield at 1.13%, compared with 0.98% for OMFL.

OMFL is categorized as Large Cap Blend Equities, while SPGP is Multi-factor. OMFL tracks Russell 1000 Invesco Dynamic Multifactor Index, while SPGP tracks S&P 500 GARP Index. Their fees differ too: 0.29% for OMFL and 0.36% for SPGP.

OMFL currently has the higher Sharpe Ratio (1.91 vs 1.06), 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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