OMFS vs. FNK

Last updated Aug 2, 2026

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and FNK (First Trust Mid Cap Value AlphaDEX Fund) are both Small Cap Value Equities funds - OMFS tracks the Russell 2000 Invesco Dynamic Multifactor Index while FNK tracks the NASDAQ AlphaDEX Mid Cap Value Index. Both are passively managed. Over the past 5 years, OMFS returned 7.25%/yr vs 9.09%/yr for FNK. Their correlation of 0.83 means they have usually moved in the same direction. OMFS charges 0.39%/yr vs 0.70%/yr for FNK.

Performance

OMFS vs. FNK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and First Trust Mid Cap Value AlphaDEX Fund (FNK). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, OMFS achieves a 18.33% return, which is significantly higher than FNK's 14.72% return.

OMFS

• 1D: -0.51%
• 1M: -1.48%
• 6M: 11.99%
• YTD: 18.33%
• 1Y: 33.45%
• 3Y*: 12.70%
• 5Y*: 7.25%
• 10Y*: —
• ALL TIME*: 10.34%

FNK

• 1D: -0.21%
• 1M: 2.77%
• 6M: 9.21%
• YTD: 14.72%
• 1Y: 24.65%
• 3Y*: 10.96%
• 5Y*: 9.09%
• 10Y*: 10.03%
• ALL TIME*: 9.34%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FNK First Trust Mid Cap Value AlphaDEX Fund	$141.83K	$192.54K	$284.84K
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	$494.23K	$429.77K	$649.60K

OMFS vs. FNK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	18.33%	13.34%	3.98%	15.12%	-17.29%	28.60%	15.02%	27.12%	-9.01%	3.83%
FNK First Trust Mid Cap Value AlphaDEX Fund	14.72%	5.65%	6.65%	21.03%	-7.24%	33.60%	1.23%	20.56%	-14.72%	6.12%

Correlation

The correlation between OMFS and FNK is 0.74, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.74
Correlation (3Y) Balances recent behavior with more history.	0.84
Correlation (5Y) Shows whether the relationship held over a longer period.	0.87
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017	0.83

The correlation between OMFS and FNK shifts across timeframes, from 0.74 (1 year) to 0.87 (5 years), reflecting how their relationship changes across market environments.

OMFS vs. FNK - Sectors Allocation Comparison

Sectors	OMFS	FNK
Financial Services	26.7%	26.5%
Healthcare	15.1%	4.4%
Technology	13.9%	7.1%
Real Estate	12.4%	7.1%
Industrials	11.0%	10.2%
Consumer Cyclical	8.9%	16.8%
Energy	3.5%	8.8%
Basic Materials	3.5%	6.2%
Consumer Defensive	3.2%	5.3%
Communication Services	1.2%	1.3%
Utilities	0.7%	4.9%

Return for Risk

OMFS vs. FNK — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

OMFS

OMFS Risk / Return Rank: 79
OMFS Sharpe Ratio Rank: 77
OMFS Sortino Ratio Rank: 80
OMFS Omega Ratio Rank: 72
OMFS Calmar Ratio Rank: 85
OMFS Martin Ratio Rank: 83

FNK

FNK Risk / Return Rank: 68
FNK Sharpe Ratio Rank: 68
FNK Sortino Ratio Rank: 74
FNK Omega Ratio Rank: 65
FNK Calmar Ratio Rank: 71
FNK Martin Ratio Rank: 62

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

OMFS vs. FNK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and First Trust Mid Cap Value AlphaDEX Fund (FNK). 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.

	OMFS	FNK	Difference
Sharpe ratio: Return per unit of total volatility	1.74	1.55	+0.19
Sortino ratio: Return per unit of downside risk	2.59	2.40	+0.18
Omega ratio: Gain probability vs. loss probability	1.30	1.28	+0.02
Calmar ratio: Return relative to maximum drawdown	3.29	2.50	+0.79
Martin ratio: Return relative to average drawdown	11.43	7.45	+3.98

OMFS vs. FNK - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.74, which is comparable to the FNK Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of OMFS and FNK, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

OMFS vs. FNK - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum FNK drawdown of -50.70%. Use the drawdown chart below to compare losses from any high point for OMFS and FNK.

Drawdown Indicators

	OMFS	FNK	Difference
Max Drawdown Largest peak-to-trough decline	-42.50%	-50.70%	+8.20%
Max Drawdown (1Y) Largest decline over 1 year	-9.38%	-9.13%	-0.25%
Max Drawdown (3Y) Largest decline over 3 years	-22.35%	-25.16%	+2.81%
Max Drawdown (5Y) Largest decline over 5 years	-29.22%	-25.16%	-4.06%
Max Drawdown (10Y) Largest decline over 10 years	—	-50.70%	—
Current Drawdown Current decline from peak	-2.10%	-1.34%	-0.76%
Average Drawdown Average peak-to-trough decline	-10.31%	-6.78%	-3.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.70%	3.06%	-0.36%

Volatility

OMFS vs. FNK - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and First Trust Mid Cap Value AlphaDEX Fund (FNK) have volatilities of 3.76% and 3.86%, 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.

Volatility by Period

	OMFS	FNK	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.76%	3.86%	-0.10%
Volatility (6M) Calculated over the trailing 6-month period	12.21%	9.46%	+2.75%
Volatility (1Y) Calculated over the trailing 1-year period	17.70%	14.75%	+2.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.22%	20.89%	+0.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.16%	23.75%	+0.41%

OMFS vs. FNK - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is lower than FNK's 0.70% expense ratio.

Dividends

OMFS vs. FNK - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.09%, less than FNK's 1.43% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FNK First Trust Mid Cap Value AlphaDEX Fund	1.43%	1.53%	1.63%	1.76%	1.66%	1.27%	1.61%	1.82%	1.76%	1.40%	1.38%	1.45%
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	1.09%	0.80%	1.87%	1.27%	1.84%	0.66%	1.07%	1.29%	1.50%	0.34%	0.00%	0.00%

Frequently Asked Questions

Can I hold both OMFS and FNK in my portfolio?

OMFS and FNK have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, OMFS or FNK?

FNK has higher volatility (3.86%) compared to OMFS (3.76%). In terms of maximum drawdown, OMFS dropped -42.50% vs FNK's -50.70%.

Which ETF is better, OMFS or FNK?

On 5-year performance, FNK leads with 9.09% vs 7.25% for OMFS. On fees, OMFS is cheaper at 0.39% per year. On volatility, OMFS has been the lower-risk option at 3.76%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, OMFS or FNK?

Over the 5-year period, FNK has performed better with a 9.09% return vs 7.25%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, OMFS or FNK?

OMFS is cheaper with a 0.39% expense ratio, compared with 0.70% for FNK.

Which ETF pays a higher dividend yield, OMFS or FNK?

FNK has the higher dividend yield at 1.43%, compared with 1.09% for OMFS.

What is the main difference between OMFS and FNK?

OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while FNK tracks NASDAQ AlphaDEX Mid Cap Value Index. They also come from different issuers: Invesco and First Trust. Their fees differ too: 0.39% for OMFS and 0.70% for FNK.

Which has better risk-adjusted returns?

OMFS currently has the higher Sharpe Ratio (1.74 vs 1.55), 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.