OMFS vs. QQQ

Last updated Jul 17, 2026

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and QQQ (Invesco QQQ ETF) are both exchange-traded funds - OMFS is a Small Cap Value Equities fund tracking the Russell 2000 Invesco Dynamic Multifactor Index, while QQQ is a Nasdaq-100 fund tracking the NASDAQ-100 Index. Both are passively managed. Over the past 5 years, OMFS returned 8.31%/yr vs 15.26%/yr for QQQ. A 0.54 correlation means they provide meaningful diversification when combined. OMFS charges 0.39%/yr vs 0.18%/yr for QQQ.

Performance

OMFS vs. QQQ - Performance Comparison

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

Returns By Period

In the year-to-date period, OMFS achieves a 20.30% return, which is significantly higher than QQQ's 15.19% return.

OMFS

• 1D: 0.50%
• 1M: 2.92%
• 6M: 12.02%
• YTD: 20.30%
• 1Y: 32.18%
• 3Y*: 14.93%
• 5Y*: 8.31%
• 10Y*: —

QQQ

• 1D: -1.64%
• 1M: -3.17%
• 6M: 13.80%
• YTD: 15.19%
• 1Y: 27.28%
• 3Y*: 23.36%
• 5Y*: 15.26%
• 10Y*: 21.01%

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

OMFS vs. QQQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	20.30%	13.34%	3.98%	15.12%	-17.29%	28.60%	15.02%	27.12%	-9.01%	3.83%
QQQ Invesco QQQ ETF	15.19%	20.77%	25.58%	54.86%	-32.58%	27.42%	48.62%	38.96%	-0.13%	1.56%

Correlation

The correlation between OMFS and QQQ is 0.62, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.57
Correlation (5Y) Calculated over the trailing 5-year period	0.63
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017	0.54

The correlation between OMFS and QQQ has been stable across timeframes, ranging from 0.54 to 0.63 - a consistent structural relationship.

OMFS vs. QQQ - Sectors Allocation Comparison

Sectors	OMFS	QQQ
Financial Services	25.2%	0.2%
Healthcare	13.1%	3.7%
Technology	11.4%	58.7%
Real Estate	10.7%	0.1%
Industrials	10.3%	2.6%
Consumer Cyclical	7.9%	11.4%
Consumer Defensive	2.8%	6.4%
Energy	2.8%	0.5%
Basic Materials	2.1%	1.0%
Communication Services	0.7%	14.3%
Utilities	0.6%	1.2%

Return for Risk

OMFS vs. QQQ — Risk / Return Rank

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

OMFS

OMFS Risk / Return Rank: 75
OMFS Sharpe Ratio Rank: 72
OMFS Sortino Ratio Rank: 75
OMFS Omega Ratio Rank: 66
OMFS Calmar Ratio Rank: 81
OMFS Martin Ratio Rank: 79

QQQ

QQQ Risk / Return Rank: 53
QQQ Sharpe Ratio Rank: 53
QQQ Sortino Ratio Rank: 49
QQQ Omega Ratio Rank: 50
QQQ Calmar Ratio Rank: 57
QQQ Martin Ratio Rank: 58

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

OMFS vs. QQQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Invesco QQQ ETF (QQQ). 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	QQQ	Difference
Sharpe ratio: Return per unit of total volatility	1.84	1.47	+0.37
Sortino ratio: Return per unit of downside risk	2.71	2.00	+0.70
Omega ratio: Gain probability vs. loss probability	1.31	1.26	+0.06
Calmar ratio: Return relative to maximum drawdown	3.45	2.29	+1.16
Martin ratio: Return relative to average drawdown	11.88	8.13	+3.75

OMFS vs. QQQ - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.84, which is comparable to the QQQ Sharpe Ratio of 1.47. The chart below compares the historical Sharpe Ratios of OMFS and QQQ, 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. QQQ - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum QQQ drawdown of -82.97%. Use the drawdown chart below to compare losses from any high point for OMFS and QQQ.

Drawdown Indicators

	OMFS	QQQ	Difference
Max Drawdown Largest peak-to-trough decline	-42.50%	-82.97%	+40.47%
Max Drawdown (1Y) Largest decline over 1 year	-9.38%	-11.96%	+2.58%
Max Drawdown (3Y) Largest decline over 3 years	-22.35%	-22.77%	+0.42%
Max Drawdown (5Y) Largest decline over 5 years	-29.22%	-35.12%	+5.90%
Max Drawdown (10Y) Largest decline over 10 years	—	-35.12%	—
Current Drawdown Current decline from peak	-0.47%	-5.29%	+4.82%
Average Drawdown Average peak-to-trough decline	-10.35%	-32.66%	+22.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.72%	3.36%	-0.64%

Volatility

OMFS vs. QQQ - Volatility Comparison

The current volatility for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) is 3.37%, while Invesco QQQ ETF (QQQ) has a volatility of 7.53%. This indicates that OMFS experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	OMFS	QQQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.37%	7.53%	-4.16%
Volatility (6M) Calculated over the trailing 6-month period	12.58%	15.52%	-2.94%
Volatility (1Y) Calculated over the trailing 1-year period	17.64%	18.69%	-1.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.36%	22.81%	-1.45%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.20%	22.44%	+1.76%

OMFS vs. QQQ - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than QQQ's 0.18% expense ratio.

Dividends

OMFS vs. QQQ - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.08%, more than QQQ's 0.43% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	1.08%	0.80%	1.87%	1.27%	1.84%	0.66%	1.07%	1.29%	1.50%	0.34%	0.00%	0.00%
QQQ Invesco QQQ ETF	0.43%	0.45%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%

Frequently Asked Questions

Can I hold both OMFS and QQQ in my portfolio?

OMFS and QQQ have a correlation of 0.62, 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 QQQ?

QQQ has higher volatility (7.53%) compared to OMFS (3.37%). In terms of maximum drawdown, OMFS dropped -42.50% vs QQQ's -82.97%.

Which ETF is better, OMFS or QQQ?

On 5-year performance, QQQ leads with 15.26% vs 8.31% for OMFS. On fees, QQQ is cheaper at 0.18% per year. On volatility, OMFS has been the lower-risk option at 3.37%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, OMFS or QQQ?

Over the 5-year period, QQQ has performed better with a 15.26% return vs 8.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, OMFS or QQQ?

QQQ is cheaper with a 0.18% expense ratio, compared with 0.39% for OMFS.

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

OMFS has the higher dividend yield at 1.08%, compared with 0.43% for QQQ.

What is the main difference between OMFS and QQQ?

OMFS is categorized as Small Cap Value Equities, while QQQ is Nasdaq-100. OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while QQQ tracks NASDAQ-100 Index. Their fees differ too: 0.39% for OMFS and 0.18% for QQQ.

Which has better risk-adjusted returns?

OMFS currently has the higher Sharpe Ratio (1.84 vs 1.47), 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.