OMFS vs. DFAS

Last updated Jul 14, 2026

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and DFAS (Dimensional U.S. Small Cap ETF) are both exchange-traded funds - OMFS is a Small Cap Value Equities fund tracking the Russell 2000 Invesco Dynamic Multifactor Index, while DFAS is a Small Cap Blend Equities fund actively managed by Dimensional. OMFS is passively managed, while DFAS is actively managed. Over the past 5 years, OMFS returned 7.46%/yr vs 8.89%/yr for DFAS. Their correlation of 0.95 suggests significant overlap in exposure. OMFS charges 0.39%/yr vs 0.26%/yr for DFAS.

Performance

OMFS vs. DFAS - Performance Comparison

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

Returns By Period

In the year-to-date period, OMFS achieves a 18.98% return, which is significantly higher than DFAS's 16.47% return.

OMFS

• 1D: -0.68%
• 1M: 1.64%
• 6M: 13.20%
• YTD: 18.98%
• 1Y: 30.51%
• 3Y*: 14.85%
• 5Y*: 7.46%
• 10Y*: —

DFAS

• 1D: -0.51%
• 1M: 0.55%
• 6M: 10.40%
• YTD: 16.47%
• 1Y: 24.76%
• 3Y*: 14.27%
• 5Y*: 8.89%
• 10Y*: —

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

OMFS vs. DFAS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	18.98%	13.34%	3.98%	15.12%	-17.29%	1.21%
DFAS Dimensional U.S. Small Cap ETF	16.47%	8.17%	10.21%	17.83%	-13.84%	4.52%

Correlation

The correlation between OMFS and DFAS is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (All Time) Calculated using the full available price history since Jun 14, 2021	0.95

The correlation between OMFS and DFAS has been stable across timeframes, ranging from 0.94 to 0.95 - a consistent structural relationship.

OMFS vs. DFAS - Sectors Allocation Comparison

Sectors	OMFS	DFAS
Financial Services	25.2%	19.2%
Healthcare	13.1%	12.0%
Technology	11.4%	15.1%
Real Estate	10.7%	0.7%
Industrials	10.3%	18.9%
Consumer Cyclical	7.9%	13.0%
Consumer Defensive	2.8%	4.2%
Energy	2.8%	6.4%
Basic Materials	2.1%	5.2%
Communication Services	0.7%	2.6%
Utilities	0.6%	2.8%

Return for Risk

OMFS vs. DFAS — Risk / Return Rank

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

OMFS

OMFS Risk / Return Rank: 71
OMFS Sharpe Ratio Rank: 67
OMFS Sortino Ratio Rank: 71
OMFS Omega Ratio Rank: 61
OMFS Calmar Ratio Rank: 79
OMFS Martin Ratio Rank: 76

DFAS

DFAS Risk / Return Rank: 59
DFAS Sharpe Ratio Rank: 55
DFAS Sortino Ratio Rank: 59
DFAS Omega Ratio Rank: 51
DFAS Calmar Ratio Rank: 67
DFAS Martin Ratio Rank: 64

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. DFAS - Risk-Adjusted Trends 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.

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	DFAS	Difference
Sharpe ratio: Return per unit of total volatility	1.72	1.48	+0.24
Sortino ratio: Return per unit of downside risk	2.55	2.22	+0.32
Omega ratio: Gain probability vs. loss probability	1.30	1.26	+0.04
Calmar ratio: Return relative to maximum drawdown	3.27	2.66	+0.61
Martin ratio: Return relative to average drawdown	11.25	9.12	+2.13

OMFS vs. DFAS - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.72, which is comparable to the DFAS Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of OMFS and DFAS, 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. DFAS - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, which is greater than DFAS's maximum drawdown of -26.13%. Use the drawdown chart below to compare losses from any high point for OMFS and DFAS.

Drawdown Indicators

	OMFS	DFAS	Difference
Max Drawdown Largest peak-to-trough decline	-42.50%	-26.13%	-16.37%
Max Drawdown (1Y) Largest decline over 1 year	-9.38%	-9.36%	-0.02%
Max Drawdown (3Y) Largest decline over 3 years	-22.35%	-26.13%	+3.78%
Max Drawdown (5Y) Largest decline over 5 years	-29.22%	-26.13%	-3.09%
Current Drawdown Current decline from peak	-1.56%	-1.98%	+0.42%
Average Drawdown Average peak-to-trough decline	-10.37%	-8.16%	-2.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.72%	2.72%	0.00%

Volatility

OMFS vs. DFAS - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Dimensional U.S. Small Cap ETF (DFAS) have volatilities of 4.23% and 4.22%, 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	DFAS	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.23%	4.22%	+0.01%
Volatility (6M) Calculated over the trailing 6-month period	12.57%	11.85%	+0.72%
Volatility (1Y) Calculated over the trailing 1-year period	17.82%	16.86%	+0.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.39%	20.76%	+0.63%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.22%	20.74%	+3.48%

OMFS vs. DFAS - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than DFAS's 0.26% expense ratio.

Dividends

OMFS vs. DFAS - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.09%, more than DFAS's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFAS Dimensional U.S. Small Cap ETF	0.98%	0.99%	0.93%	1.00%	1.03%	2.87%	0.00%	0.00%	0.00%	0.00%
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%

Frequently Asked Questions

Can I hold both OMFS and DFAS in my portfolio?

With a correlation of 0.94, OMFS and DFAS move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, OMFS or DFAS?

OMFS has higher volatility (4.23%) compared to DFAS (4.22%). In terms of maximum drawdown, OMFS dropped -42.50% vs DFAS's -26.13%.

Which ETF is better, OMFS or DFAS?

On 5-year performance, DFAS leads with 8.89% vs 7.46% for OMFS. On fees, DFAS is cheaper at 0.26% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, OMFS or DFAS?

Over the 5-year period, DFAS has performed better with a 8.89% return vs 7.46%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, OMFS or DFAS?

DFAS is cheaper with a 0.26% expense ratio, compared with 0.39% for OMFS.

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

OMFS has the higher dividend yield at 1.09%, compared with 0.98% for DFAS.

What is the main difference between OMFS and DFAS?

OMFS is categorized as Small Cap Value Equities, while DFAS is Small Cap Blend Equities. They also come from different issuers: Invesco and Dimensional. Their fees differ too: 0.39% for OMFS and 0.26% for DFAS.

Which has better risk-adjusted returns?

OMFS currently has the higher Sharpe Ratio (1.72 vs 1.48), 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.