OMFS vs. FYX

Last updated Jun 4, 2026

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and FYX (First Trust Small Cap Core AlphaDEX Fund) are both exchange-traded funds - OMFS is a Small Cap Value Equities fund tracking the Russell 2000 Invesco Dynamic Multifactor Index, while FYX is a Small Cap Blend Equities fund tracking the Nasdaq AlphaDEX Small Cap Core Index. Both are passively managed. Over the past 5 years, OMFS returned 5.57%/yr vs 8.23%/yr for FYX. Their correlation of 0.88 suggests significant overlap in exposure. OMFS charges 0.39%/yr vs 0.63%/yr for FYX.

Performance

OMFS vs. FYX - Performance Comparison

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

Returns By Period

In the year-to-date period, OMFS achieves a 13.70% return, which is significantly lower than FYX's 18.13% return.

OMFS

• 1D: -0.77%
• 1M: 1.99%
• YTD: 13.70%
• 6M: 12.83%
• 1Y: 28.51%
• 3Y*: 14.17%
• 5Y*: 5.57%
• 10Y*: —

FYX

• 1D: -1.34%
• 1M: 1.06%
• YTD: 18.13%
• 6M: 18.02%
• 1Y: 43.61%
• 3Y*: 20.01%
• 5Y*: 8.23%
• 10Y*: 12.27%

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

OMFS vs. FYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	13.70%	13.34%	3.98%	15.12%	-17.29%	28.60%	15.02%	27.12%	-9.01%	3.71%
FYX First Trust Small Cap Core AlphaDEX Fund	18.13%	12.68%	12.22%	18.30%	-18.41%	27.43%	19.48%	21.32%	-10.64%	5.71%

Correlation

The correlation between OMFS and FYX 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	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (All Time) Calculated using the full available price history since Nov 13, 2017	0.88

The correlation between OMFS and FYX has been stable across timeframes, ranging from 0.88 to 0.94 - a consistent structural relationship.

OMFS vs. FYX - Sectors Allocation Comparison

Sectors	OMFS	FYX
Financial Services	24.3%	17.5%
Industrials	14.7%	15.9%
Technology	14.2%	10.9%
Healthcare	13.2%	14.3%
Real Estate	12.2%	8.4%
Consumer Cyclical	8.4%	11.7%
Energy	4.1%	6.4%
Consumer Defensive	3.8%	5.7%
Basic Materials	2.8%	4.5%
Utilities	1.1%	1.6%
Communication Services	1.1%	3.1%

Return for Risk

OMFS vs. FYX — Risk / Return Rank

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

OMFS

OMFS Risk / Return Rank: 52
OMFS Sharpe Ratio Rank: 46
OMFS Sortino Ratio Rank: 48
OMFS Omega Ratio Rank: 44
OMFS Calmar Ratio Rank: 62
OMFS Martin Ratio Rank: 59

FYX

FYX Risk / Return Rank: 79
FYX Sharpe Ratio Rank: 73
FYX Sortino Ratio Rank: 76
FYX Omega Ratio Rank: 66
FYX Calmar Ratio Rank: 91
FYX Martin Ratio Rank: 87

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. FYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and First Trust Small Cap Core AlphaDEX Fund (FYX). 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	FYX	Difference
Sharpe ratio: Return per unit of total volatility	1.62	2.41	-0.78
Sortino ratio: Return per unit of downside risk	2.41	3.43	-1.02
Omega ratio: Gain probability vs. loss probability	1.28	1.40	-0.12
Calmar ratio: Return relative to maximum drawdown	3.05	5.80	-2.74
Martin ratio: Return relative to average drawdown	10.48	18.69	-8.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

OMFS vs. FYX - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.62, which is lower than the FYX Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of OMFS and FYX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	OMFS	FYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.62	2.41	-0.78
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.26	0.38	-0.12
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.51	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.36	+0.05

Drawdowns

OMFS vs. FYX - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum FYX drawdown of -61.80%. Use the drawdown chart below to compare losses from any high point for OMFS and FYX.

Drawdown Indicators

	OMFS	FYX	Difference
Max Drawdown Largest peak-to-trough decline	-42.50%	-61.80%	+19.30%
Max Drawdown (1Y) Largest decline over 1 year	-9.38%	-7.56%	-1.82%
Max Drawdown (3Y) Largest decline over 3 years	-22.35%	-27.91%	+5.56%
Max Drawdown (5Y) Largest decline over 5 years	-29.22%	-27.91%	-1.31%
Max Drawdown (10Y) Largest decline over 10 years	—	-48.82%	—
Current Drawdown Current decline from peak	-1.92%	-1.48%	-0.44%
Average Drawdown Average peak-to-trough decline	-10.49%	-10.89%	+0.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.73%	2.34%	+0.39%

Volatility

OMFS vs. FYX - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 4.97% compared to First Trust Small Cap Core AlphaDEX Fund (FYX) at 4.71%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than FYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	OMFS	FYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.97%	4.71%	+0.26%
Volatility (6M) Calculated over the trailing 6-month period	12.44%	12.03%	+0.41%
Volatility (1Y) Calculated over the trailing 1-year period	17.64%	18.28%	-0.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.46%	21.96%	-0.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.31%	24.21%	+0.10%

OMFS vs. FYX - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is lower than FYX's 0.63% expense ratio.

Dividends

OMFS vs. FYX - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 0.91%, more than FYX's 0.69% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FYX First Trust Small Cap Core AlphaDEX Fund	0.69%	0.64%	1.62%	1.22%	0.95%	0.99%	0.65%	1.12%	1.08%	0.60%	0.94%	0.88%
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	0.91%	0.80%	1.87%	1.27%	1.84%	0.66%	1.07%	1.29%	1.50%	0.34%	0.00%	0.00%

Frequently Asked Questions

Can I hold both OMFS and FYX in my portfolio?

With a correlation of 0.94, OMFS and FYX 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 FYX?

OMFS has higher volatility (4.97%) compared to FYX (4.71%). In terms of maximum drawdown, OMFS dropped -42.50% vs FYX's -61.80%.

Which ETF is better, OMFS or FYX?

On 5-year performance, FYX leads with 8.23% vs 5.57% for OMFS. On fees, OMFS is cheaper at 0.39% per year. On volatility, FYX has been the lower-risk option at 4.71%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, OMFS or FYX?

Over the 5-year period, FYX has performed better with a 8.23% return vs 5.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, OMFS or FYX?

OMFS is cheaper with a 0.39% expense ratio, compared with 0.63% for FYX.

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

OMFS has the higher dividend yield at 0.91%, compared with 0.69% for FYX.

What is the main difference between OMFS and FYX?

OMFS is categorized as Small Cap Value Equities, while FYX is Small Cap Blend Equities. OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while FYX tracks Nasdaq AlphaDEX Small Cap Core Index. They also come from different issuers: Invesco and First Trust. Their fees differ too: 0.39% for OMFS and 0.63% for FYX.

Which has better risk-adjusted returns?

FYX currently has the higher Sharpe Ratio (2.41 vs 1.62), 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.