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OMFL vs. VOOG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between OMFL and VOOG is 0.74, 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: 0.7

Performance

OMFL vs. VOOG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Vanguard S&P 500 Growth ETF (VOOG). The values are adjusted to include any dividend payments, if applicable.

140.00%160.00%180.00%200.00%NovemberDecember2025FebruaryMarchApril
132.07%
158.29%
OMFL
VOOG

Key characteristics

Sharpe Ratio

OMFL:

-0.21

VOOG:

0.33

Sortino Ratio

OMFL:

-0.18

VOOG:

0.55

Omega Ratio

OMFL:

0.98

VOOG:

1.07

Calmar Ratio

OMFL:

-0.23

VOOG:

0.41

Martin Ratio

OMFL:

-0.69

VOOG:

1.37

Ulcer Index

OMFL:

4.41%

VOOG:

4.87%

Daily Std Dev

OMFL:

14.71%

VOOG:

20.37%

Max Drawdown

OMFL:

-33.24%

VOOG:

-32.73%

Current Drawdown

OMFL:

-9.27%

VOOG:

-16.38%

Returns By Period

In the year-to-date period, OMFL achieves a -3.88% return, which is significantly higher than VOOG's -12.05% return.


OMFL

YTD

-3.88%

1M

-4.95%

6M

-0.65%

1Y

-3.43%

5Y*

17.54%

10Y*

N/A

VOOG

YTD

-12.05%

1M

-8.63%

6M

-5.54%

1Y

6.36%

5Y*

18.58%

10Y*

13.39%

*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. VOOG - Expense Ratio Comparison

OMFL has a 0.29% expense ratio, which is higher than VOOG's 0.10% expense ratio.


OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
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 VOOG: current value is 0.10%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VOOG: 0.10%

Risk-Adjusted Performance

OMFL vs. VOOG — 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 1010
Overall Rank
The Sharpe Ratio Rank of OMFL is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of OMFL is 1010
Sortino Ratio Rank
The Omega Ratio Rank of OMFL is 1010
Omega Ratio Rank
The Calmar Ratio Rank of OMFL is 99
Calmar Ratio Rank
The Martin Ratio Rank of OMFL is 99
Martin Ratio Rank

VOOG
The Risk-Adjusted Performance Rank of VOOG is 3636
Overall Rank
The Sharpe Ratio Rank of VOOG is 3333
Sharpe Ratio Rank
The Sortino Ratio Rank of VOOG is 3333
Sortino Ratio Rank
The Omega Ratio Rank of VOOG is 3535
Omega Ratio Rank
The Calmar Ratio Rank of VOOG is 4242
Calmar Ratio Rank
The Martin Ratio Rank of VOOG is 3838
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. 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.


Sharpe ratio
The chart of Sharpe ratio for OMFL, currently valued at -0.21, compared to the broader market0.002.004.00
OMFL: -0.21
VOOG: 0.33
The chart of Sortino ratio for OMFL, currently valued at -0.18, compared to the broader market-2.000.002.004.006.008.0010.0012.00
OMFL: -0.18
VOOG: 0.55
The chart of Omega ratio for OMFL, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.00
OMFL: 0.98
VOOG: 1.07
The chart of Calmar ratio for OMFL, currently valued at -0.23, compared to the broader market0.005.0010.0015.00
OMFL: -0.23
VOOG: 0.41
The chart of Martin ratio for OMFL, currently valued at -0.69, compared to the broader market0.0020.0040.0060.0080.00100.00
OMFL: -0.69
VOOG: 1.37

The current OMFL Sharpe Ratio is -0.21, which is lower than the VOOG Sharpe Ratio of 0.33. The chart below compares the historical Sharpe Ratios of OMFL and VOOG, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.21
0.33
OMFL
VOOG

Dividends

OMFL vs. VOOG - Dividend Comparison

OMFL's dividend yield for the trailing twelve months is around 1.03%, more than VOOG's 0.63% yield.


TTM20242023202220212020201920182017201620152014
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
1.03%1.22%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%0.00%
VOOG
Vanguard S&P 500 Growth ETF
0.63%0.49%1.12%0.93%0.53%0.88%1.26%1.34%1.32%1.47%1.56%1.28%

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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.27%
-16.38%
OMFL
VOOG

Volatility

OMFL vs. VOOG - Volatility Comparison

The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 6.01%, while Vanguard S&P 500 Growth ETF (VOOG) has a volatility of 9.58%. 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.


2.00%4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
6.01%
9.58%
OMFL
VOOG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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