Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) Sharpe Ratio: 2.03

OMFS's Sharpe Ratio of 2.03 indicates that for each unit of volatility, it generates 2.03 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 23, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

OMFS Sharpe Ratio Rank

Above Average

OMFS ranks above 63.3% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating above-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

Strong returns with low total volatility → Higher rank
High volatility (both upside and downside) → Lower rank
Consistent returns → Higher rank than volatile returns of same magnitude
Sharp drawdowns increase volatility → Lower rank

What you can do with this information

Above-average risk-adjusted returns with room for improvement
Compare against category peers to gauge relative positioning
Monitor for movement toward top tier or decline toward median
Consider pairing with top-tier holdings to improve portfolio efficiency

OMFS Sharpe Ratio Market Positioning

The chart shows OMFS's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

Red zone (bottom 25%): 0.86 or lower
Yellow zone (middle 50%): 0.86 to 2.31
Green zone (top 25%): 2.31 or higher
Top 1%: 7.38+
Median: 1.67 — half of all investments score higher

How it compares to other similar ETFs

The table compares Invesco Russell 2000 Dynamic Multifactor ETF's Sharpe Ratio with other ETFs in the Small Cap Value Equities category across multiple time periods, showing how OMFS's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 23, 2026.

Symbol	Name	1Y Sharpe Ratio
EPSV	Harbor SMID Cap Value ETF	2.65
IWN	iShares Russell 2000 Value ETF	2.49
VTWV	Vanguard Russell 2000 Value ETF	2.47
AVSC	Avantis US Small Cap Equity ETF	2.43
BSVO	EA Bridgeway Omni Small-Cap Value ETF	2.38
USVM	VictoryShares US Small Mid Cap Value Momentum ETF	2.27
AVUV	Avantis US Small Cap Value ETF	2.26
SVAL	iShares US Small Cap Value Factor ETF	2.20
SLYV	SPDR S&P 600 Small Cap Value ETF	2.17
VIOV	Vanguard S&P Small-Cap 600 Value ETF	2.16
OMFS	Invesco Russell 2000 Dynamic Multifactor ETF	2.03

Benchmark Against

Benchmark

S&P 500 Index

Lookback Period

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Historical Sharpe Ratio

The chart shows OMFS's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when OMFS consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does OMFS fit in your portfolio?

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