PortfoliosLab logo
OMFL vs. VIG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between OMFL and VIG is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.8

Performance

OMFL vs. VIG - Performance Comparison

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

110.00%120.00%130.00%140.00%150.00%160.00%NovemberDecember2025FebruaryMarchApril
136.40%
124.04%
OMFL
VIG

Key characteristics

Sharpe Ratio

OMFL:

0.10

VIG:

0.56

Sortino Ratio

OMFL:

0.28

VIG:

0.89

Omega Ratio

OMFL:

1.04

VIG:

1.13

Calmar Ratio

OMFL:

0.12

VIG:

0.59

Martin Ratio

OMFL:

0.38

VIG:

2.59

Ulcer Index

OMFL:

5.03%

VIG:

3.40%

Daily Std Dev

OMFL:

18.21%

VIG:

15.75%

Max Drawdown

OMFL:

-33.24%

VIG:

-46.81%

Current Drawdown

OMFL:

-7.58%

VIG:

-7.63%

Returns By Period

In the year-to-date period, OMFL achieves a -2.09% return, which is significantly higher than VIG's -3.20% return.


OMFL

YTD

-2.09%

1M

-1.51%

6M

-0.09%

1Y

2.32%

5Y*

14.78%

10Y*

N/A

VIG

YTD

-3.20%

1M

-3.07%

6M

-3.29%

1Y

8.84%

5Y*

13.07%

10Y*

10.94%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


OMFL vs. VIG - Expense Ratio Comparison

OMFL has a 0.29% expense ratio, which is higher than VIG's 0.06% expense ratio.


Expense ratio chart for OMFL: current value is 0.29%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
OMFL: 0.29%
Expense ratio chart for VIG: current value is 0.06%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VIG: 0.06%

Risk-Adjusted Performance

OMFL vs. VIG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

OMFL
The Risk-Adjusted Performance Rank of OMFL is 2626
Overall Rank
The Sharpe Ratio Rank of OMFL is 2626
Sharpe Ratio Rank
The Sortino Ratio Rank of OMFL is 2626
Sortino Ratio Rank
The Omega Ratio Rank of OMFL is 2525
Omega Ratio Rank
The Calmar Ratio Rank of OMFL is 3030
Calmar Ratio Rank
The Martin Ratio Rank of OMFL is 2727
Martin Ratio Rank

VIG
The Risk-Adjusted Performance Rank of VIG is 6363
Overall Rank
The Sharpe Ratio Rank of VIG is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of VIG is 6060
Sortino Ratio Rank
The Omega Ratio Rank of VIG is 6161
Omega Ratio Rank
The Calmar Ratio Rank of VIG is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VIG is 6767
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

OMFL vs. VIG - Risk-Adjusted Performance Comparison

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


The chart of Sharpe ratio for OMFL, currently valued at 0.10, compared to the broader market-1.000.001.002.003.004.00
OMFL: 0.10
VIG: 0.56
The chart of Sortino ratio for OMFL, currently valued at 0.28, compared to the broader market-2.000.002.004.006.008.00
OMFL: 0.28
VIG: 0.89
The chart of Omega ratio for OMFL, currently valued at 1.04, compared to the broader market0.501.001.502.002.50
OMFL: 1.04
VIG: 1.13
The chart of Calmar ratio for OMFL, currently valued at 0.12, compared to the broader market0.002.004.006.008.0010.0012.00
OMFL: 0.12
VIG: 0.59
The chart of Martin ratio for OMFL, currently valued at 0.38, compared to the broader market0.0020.0040.0060.00
OMFL: 0.38
VIG: 2.59

The current OMFL Sharpe Ratio is 0.10, which is lower than the VIG Sharpe Ratio of 0.56. The chart below compares the historical Sharpe Ratios of OMFL and VIG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.10
0.56
OMFL
VIG

Dividends

OMFL vs. VIG - Dividend Comparison

OMFL's dividend yield for the trailing twelve months is around 1.01%, less than VIG's 1.88% yield.


TTM20242023202220212020201920182017201620152014
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
1.01%1.22%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%0.00%
VIG
Vanguard Dividend Appreciation ETF
1.88%1.73%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%

Drawdowns

OMFL vs. VIG - Drawdown Comparison

The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum VIG drawdown of -46.81%. Use the drawdown chart below to compare losses from any high point for OMFL and VIG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-7.58%
-7.63%
OMFL
VIG

Volatility

OMFL vs. VIG - Volatility Comparison

Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Vanguard Dividend Appreciation ETF (VIG) have volatilities of 12.11% and 11.67%, 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.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
12.11%
11.67%
OMFL
VIG