Ticker: OMFL

Invesco Russell 1000® Dynamic Multifactor ETF

A dynamic multi-factor approach that is designed to shift factor exposure based on the current market environment.

Product details

Why invest in OMFL?

The Invesco Russell 1000® Dynamic Multifactor ETF has a dynamic multi-factor approach that is designed to shift factor exposure based on the current market environment.

Macro regime framework

This multi-factor approach combines analysis of the macroeconomic cycle with investment factors designed to capitalize on the prevailing economic regime. To find out more about our framework and latest investment outlook, explore this month’s Portfolio Playbook.

This diagram shows the four distinct regime periods of recovery, expansion, slowdown, and contraction and which factor tilts correspond with each regime. In turn, these regimes determine the corresponding factor exposures, which are shown in the table below.

This graph demonstrates how the team defines the stages of the business cycle based on the expected level and change in economic growth and how we combine proprietary indicators to estimate one of four factor regimes: Recovery, expansion, slowdown, and contraction. In turn, these regimes determine the corresponding factor exposures, which are shown in the table below.

  Recovery Expansion Slowdown Contraction
Long-term economic growth trend Growth is below trend and accelerating Growth is above trend and accelerating Growth is above trend and decelerating Growth is below trend and decelerating
Size X X    
Value X X    
Momentum   X   X
Low volatility     X X
Quality     X X

Factor cyclicality

  • Size and value tend to be cyclical, with higher operating leverage and more resilience on external funding.
  • Quality and low volatility tend to be defensive, with lower operating leverage and more reliance on internal cash flows.
  • Momentum is more transient and tends to perform well in later stages of cyclical upturns and downturns.

FAQ

It’s an index that reflects a dynamic combination of factor exposures drawn from constituent stocks of the Russell 1000 Index. The factors targeted may include low volatility, momentum, quality, size, and value. The emphasis on each factor is determined by Invesco’s Regime Model, which is informed by the economy’s trend and risk sentiment. 

The FTSE Invesco Dynamic Multifactor Index Series uses a rules-based framework to target exposure to five different factors. The investment team use economic and market sentiment indicators to identify four regimes corresponding to different parts of the business cycle: Recovery, expansion, slowdown, and contraction. The FTSE Invesco Dynamic Multifactor Index Series will emphasize exposure to these factors by allocating to one of four predetermined multifactor indexes according to the Invesco economic regime signal. These multifactor indexes target a combination of factors that have historically outperformed other factors in these stages of the business cycle.

They are low volatility, momentum, quality, size, and value. Factor definitions are as follows:

Value: Equally weighted composite of cash flow yield, earnings yield and price to sales ratio.

Size: A company's  size factor score is based on total market capitalization as of the last business day of the  prior month.

Quality: Composite of profitability (return on assets, change in asset turnover and accruals) and a single measure of leverage.

Low Volatility: Standard deviation weekly total returns over the trailing 5 years ending on the last business day of the prior month.

Momentum: Historical return of the 11 months ending on the last business day of the prior month

OMFL typically makes dividend distributions on a quarterly basis.

They are funds that provide exposure to specific characteristics of stocks, such as value and momentum, that may impact risk and return. Factor-based ETFs may be used to target specific outcomes, such as potentially higher returns or lower volatility. Multifactor ETFs combine several of these characteristics in a single strategy.

Explore related funds

To learn more about our multifactor offerings, explore the ETFs below: 

  • US Equity

    OMFS

    ETF

    Invesco Russell 2000® Dynamic Multifactor ETF

    Equity

Footnotes

  • The Invesco Russell 1000® Dynamic Multifactor ETF seeks to track the investment results (before fees and expenses) of the Russell 1000® Invesco Dynamic Multifactor Index.