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OMFS vs. DFAS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


OMFSDFAS
YTD Return-7.90%-0.91%
1Y Return3.38%13.53%
Sharpe Ratio0.200.81
Daily Std Dev20.21%18.11%
Max Drawdown-42.50%-24.77%
Current Drawdown-18.47%-5.39%

Correlation

0.95
-1.001.00

The correlation between OMFS and DFAS is 0.95, 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

OMFS vs. DFAS - Performance Comparison

In the year-to-date period, OMFS achieves a -7.90% return, which is significantly lower than DFAS's -0.91% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
9.02%
16.31%
OMFS
DFAS

Compare stocks, funds, or ETFs


Invesco Russell 2000 Dynamic Multifactor ETF

Dimensional U.S. Small Cap ETF

OMFS vs. DFAS - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than DFAS's 0.34% expense ratio.

OMFS
Invesco Russell 2000 Dynamic Multifactor ETF
0.50%1.00%1.50%2.00%0.39%
0.50%1.00%1.50%2.00%0.34%

Risk-Adjusted Performance

OMFS vs. DFAS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Dimensional U.S. Small Cap ETF (DFAS). 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.


OMFS
Sharpe ratio
The Sharpe ratio of OMFS compared to the broader market0.002.004.000.20
Sortino ratio
The Sortino ratio of OMFS compared to the broader market-2.000.002.004.006.008.0010.000.44
Omega ratio
The Omega ratio of OMFS compared to the broader market1.001.502.002.501.05
Calmar ratio
The Calmar ratio of OMFS compared to the broader market0.002.004.006.008.0010.0012.000.15
Martin ratio
The Martin ratio of OMFS compared to the broader market0.0020.0040.0060.0080.000.56
DFAS
Sharpe ratio
The Sharpe ratio of DFAS compared to the broader market0.002.004.000.81
Sortino ratio
The Sortino ratio of DFAS compared to the broader market-2.000.002.004.006.008.0010.001.30
Omega ratio
The Omega ratio of DFAS compared to the broader market1.001.502.002.501.15
Calmar ratio
The Calmar ratio of DFAS compared to the broader market0.002.004.006.008.0010.0012.000.74
Martin ratio
The Martin ratio of DFAS compared to the broader market0.0020.0040.0060.0080.002.72

OMFS vs. DFAS - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 0.20, which is lower than the DFAS Sharpe Ratio of 0.81. The chart below compares the 12-month rolling Sharpe Ratio of OMFS and DFAS.


Rolling 12-month Sharpe Ratio0.000.501.00NovemberDecember2024FebruaryMarchApril
0.20
0.81
OMFS
DFAS

Dividends

OMFS vs. DFAS - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.55%, more than DFAS's 1.00% yield.


TTM2023202220212020201920182017
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF
1.55%1.27%1.84%0.66%1.07%1.29%1.50%0.34%
DFAS
Dimensional U.S. Small Cap ETF
1.00%1.00%1.03%3.24%0.00%0.00%0.00%0.00%

Drawdowns

OMFS vs. DFAS - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, which is greater than DFAS's maximum drawdown of -24.77%. The drawdown chart below compares losses from any high point along the way for OMFS and DFAS


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-18.47%
-5.39%
OMFS
DFAS

Volatility

OMFS vs. DFAS - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 6.83% compared to Dimensional U.S. Small Cap ETF (DFAS) at 5.42%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than DFAS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%NovemberDecember2024FebruaryMarchApril
6.83%
5.42%
OMFS
DFAS