OMFL vs. SPHD
OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) and SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) are both exchange-traded funds - OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index, while SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. Both are passively managed. Over the past 5 years, OMFL returned 8.85%/yr vs 7.09%/yr for SPHD. A 0.66 correlation means they provide meaningful diversification when combined. OMFL charges 0.29%/yr vs 0.30%/yr for SPHD.
Performance
OMFL vs. SPHD - Performance Comparison
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Returns By Period
In the year-to-date period, OMFL achieves a 10.95% return, which is significantly higher than SPHD's 9.11% return.
OMFL
- 1D
- 0.19%
- 1M
- -1.35%
- YTD
- 10.95%
- 6M
- 9.44%
- 1Y
- 20.37%
- 3Y*
- 13.52%
- 5Y*
- 8.85%
- 10Y*
- —
SPHD
- 1D
- 0.89%
- 1M
- 2.12%
- YTD
- 9.11%
- 6M
- 8.71%
- 1Y
- 14.03%
- 3Y*
- 12.44%
- 5Y*
- 7.09%
- 10Y*
- 7.82%
OMFL vs. SPHD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 10.95% | 13.68% | 6.82% | 21.53% | -13.97% | 28.95% | 20.91% | 35.58% | -2.55% | 5.12% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 9.11% | 3.41% | 18.08% | 1.32% | 0.58% | 24.98% | -9.98% | 20.26% | -6.17% | 2.10% |
Correlation
The correlation between OMFL and SPHD is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.46 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.60 |
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017 | 0.66 |
Over the past year, the correlation between OMFL and SPHD has dropped to 0.23 - well below their long-term average of 0.66, suggesting their price drivers have been diverging.
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Return for Risk
OMFL vs. SPHD — Risk / Return Rank
OMFL
SPHD
OMFL vs. SPHD - 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® High Dividend Low Volatility ETF (SPHD). 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 | SPHD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.41 | ||
| Sortino ratioReturn per unit of downside risk | +0.42 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.21 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.70 | 1.92 | +0.78 |
| Martin ratioReturn relative to average drawdown | 11.89 | 4.71 | +7.18 |
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Drawdowns
OMFL vs. SPHD - Drawdown Comparison
The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum SPHD drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for OMFL and SPHD.
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Drawdown Indicators
| OMFL | SPHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.24% | -41.39% | +8.15% |
Max Drawdown (1Y)Largest decline over 1 year | -7.58% | -7.33% | -0.25% |
Max Drawdown (3Y)Largest decline over 3 years | -15.52% | -13.29% | -2.23% |
Max Drawdown (5Y)Largest decline over 5 years | -22.44% | -19.50% | -2.94% |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.39% | — |
Current DrawdownCurrent decline from peak | -2.09% | -1.08% | -1.01% |
Average DrawdownAverage peak-to-trough decline | -4.78% | -4.69% | -0.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.72% | 2.98% | -1.26% |
Volatility
OMFL vs. SPHD - Volatility Comparison
Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) have volatilities of 4.22% and 4.28%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| OMFL | SPHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.22% | 4.28% | -0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 9.96% | 8.14% | +1.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.47% | 11.48% | +0.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.81% | 14.16% | +2.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.08% | 17.64% | +2.44% |
OMFL vs. SPHD - Expense Ratio Comparison
OMFL has a 0.29% expense ratio, which is lower than SPHD's 0.30% expense ratio.
Dividends
OMFL vs. SPHD - Dividend Comparison
OMFL's dividend yield for the trailing twelve months is around 0.83%, less than SPHD's 4.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 0.83% | 0.80% | 1.22% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% | 0.00% | 0.00% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.56% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
OMFL and SPHD have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPHD has higher volatility (4.28%) compared to OMFL (4.22%). In terms of maximum drawdown, OMFL dropped -33.24% vs SPHD's -41.39%.
On 5-year performance, OMFL leads with 8.85% vs 7.09% for SPHD. On fees, OMFL is cheaper at 0.29% per year. Their volatility is very similar. 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 8.85% return vs 7.09%. 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 0.30% for SPHD.
SPHD has the higher dividend yield at 4.56%, compared with 0.83% for OMFL.
OMFL is categorized as Large Cap Blend Equities, while SPHD is Dividend. OMFL tracks Russell 1000 Invesco Dynamic Multifactor Index, while SPHD tracks S&P 500 Low Volatility High Dividend Index. Their fees differ too: 0.29% for OMFL and 0.30% for SPHD.
OMFL currently has the higher Sharpe Ratio (1.64 vs 1.24), 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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