OMFL vs. VUG
Compare and contrast key facts about Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Vanguard Growth ETF (VUG).
OMFL and VUG 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. VUG is a passively managed fund by Vanguard that tracks the performance of the CRSP U.S. Large Cap Growth Index. It was launched on Jan 26, 2004. Both OMFL and VUG 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 VUG.
Key characteristics
| OMFL | VUG | |
|---|---|---|
| YTD Return | 1.23% | 5.94% |
| 1Y Return | 11.18% | 32.62% |
| 3Y Return (Ann) | 5.30% | 6.83% |
| 5Y Return (Ann) | 13.86% | 15.78% |
| Sharpe Ratio | 0.73 | 2.02 |
| Daily Std Dev | 13.52% | 15.59% |
| Max Drawdown | -33.24% | -50.68% |
| Current Drawdown | -6.21% | -5.02% |
Correlation
The correlation between OMFL and VUG is 0.71, 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.
Performance
OMFL vs. VUG - Performance Comparison
In the year-to-date period, OMFL achieves a 1.23% return, which is significantly lower than VUG's 5.94% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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OMFL vs. VUG - Expense Ratio Comparison
OMFL has a 0.29% expense ratio, which is higher than VUG's 0.04% expense ratio.
Risk-Adjusted Performance
OMFL vs. VUG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and Vanguard Growth ETF (VUG). 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. VUG - Dividend Comparison
OMFL's dividend yield for the trailing twelve months is around 1.42%, more than VUG's 0.56% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 1.42% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% |
VUG Vanguard Growth ETF | 0.56% | 0.58% | 0.70% | 0.48% | 0.66% | 0.95% | 1.32% | 1.14% | 1.39% | 1.30% | 1.21% | 1.19% |
Drawdowns
OMFL vs. VUG - Drawdown Comparison
The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for OMFL and VUG. For additional features, visit the drawdowns tool.
Volatility
OMFL vs. VUG - Volatility Comparison
The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 4.04%, while Vanguard Growth ETF (VUG) has a volatility of 5.53%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.