OMFL vs. VOOG
Compare and contrast key facts about Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Vanguard S&P 500 Growth ETF (VOOG).
OMFL and VOOG 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. VOOG is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Growth Index. It was launched on Sep 7, 2010. Both OMFL and VOOG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: OMFL or VOOG.
Performance
OMFL vs. VOOG - Performance Comparison
Returns By Period
In the year-to-date period, OMFL achieves a 7.47% return, which is significantly lower than VOOG's 33.18% return.
OMFL
7.47%
1.73%
3.49%
16.12%
12.79%
N/A
VOOG
33.18%
1.66%
14.97%
37.87%
17.54%
14.88%
Key characteristics
| OMFL | VOOG | |
|---|---|---|
| Sharpe Ratio | 1.18 | 2.24 |
| Sortino Ratio | 1.64 | 2.91 |
| Omega Ratio | 1.21 | 1.41 |
| Calmar Ratio | 1.25 | 2.86 |
| Martin Ratio | 3.68 | 11.87 |
| Ulcer Index | 4.52% | 3.22% |
| Daily Std Dev | 14.15% | 17.05% |
| Max Drawdown | -33.24% | -32.73% |
| Current Drawdown | -1.60% | -1.55% |
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OMFL vs. VOOG - Expense Ratio Comparison
OMFL has a 0.29% expense ratio, which is higher than VOOG's 0.10% expense ratio.
Correlation
The correlation between OMFL and VOOG is 0.73, 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.
Risk-Adjusted Performance
OMFL vs. VOOG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Vanguard S&P 500 Growth ETF (VOOG). 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.
Dividends
OMFL vs. VOOG - Dividend Comparison
OMFL's dividend yield for the trailing twelve months is around 1.29%, more than VOOG's 0.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 1.29% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% |
VOOG Vanguard S&P 500 Growth ETF | 0.60% | 1.12% | 0.93% | 0.53% | 0.88% | 1.26% | 1.34% | 1.32% | 1.47% | 1.56% | 1.28% | 1.46% |
Drawdowns
OMFL vs. VOOG - Drawdown Comparison
The maximum OMFL drawdown since its inception was -33.24%, roughly equal to the maximum VOOG drawdown of -32.73%. Use the drawdown chart below to compare losses from any high point for OMFL and VOOG. For additional features, visit the drawdowns tool.
Volatility
OMFL vs. VOOG - Volatility Comparison
The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 4.20%, while Vanguard S&P 500 Growth ETF (VOOG) has a volatility of 5.41%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than VOOG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.