PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
OMFS vs. IJJ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

OMFS vs. IJJ

Last updated Aug 2, 2026
Documentation

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and IJJ (iShares S&P Mid-Cap 400 Value ETF) are both exchange-traded funds - OMFS is a Small Cap Value Equities fund tracking the Russell 2000 Invesco Dynamic Multifactor Index, while IJJ is a Mid Cap Value Equities fund tracking the S&P MidCap 400 Value Index. Both are passively managed. Over the past 5 years, OMFS returned 7.25%/yr vs 9.05%/yr for IJJ. Their correlation of 0.85 means they have usually moved in the same direction. OMFS charges 0.39%/yr vs 0.18%/yr for IJJ.

Performance

OMFS vs. IJJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and iShares S&P Mid-Cap 400 Value ETF (IJJ). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, OMFS achieves a 18.33% return, which is significantly higher than IJJ's 13.12% return.

OMFS

1D
-0.51%
1M
-1.48%
6M
11.99%
YTD
18.33%
1Y
33.45%
3Y*
12.70%
5Y*
7.25%
10Y*
—
ALL TIME*
10.34%

IJJ

1D
-0.26%
1M
0.74%
6M
8.77%
YTD
13.12%
1Y
22.73%
3Y*
11.86%
5Y*
9.05%
10Y*
10.53%
ALL TIME*
10.38%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

IJJ

iShares S&P Mid-Cap 400 Value ETF
$23.02M$23.68M$25.30M

OMFS

Invesco Russell 2000 Dynamic Multifactor ETF
$494.23K$429.77K$649.60K

OMFS vs. IJJ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF		18.33%13.34%3.98%15.12%-17.29%28.60%15.02%27.12%-9.01%3.83%
IJJ
iShares S&P Mid-Cap 400 Value ETF		13.12%7.27%11.63%15.24%-7.11%30.45%3.56%25.66%-12.06%4.83%

Correlation

The correlation between OMFS and IJJ is 0.86, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.86

Correlation (3Y)
Balances recent behavior with more history.

0.89

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.91

Correlation (All Time)
Calculated using the full available price history since Nov 10, 2017

0.85

The correlation between OMFS and IJJ has been stable across timeframes, ranging from 0.85 to 0.91 - a consistent structural relationship.

OMFS vs. IJJ - Sectors Allocation Comparison

Sectors
OMFS
IJJ

Financial Services

26.7%
21.8%

Healthcare

15.1%
3.8%

Technology

13.9%
10.4%

Real Estate

12.4%
9.5%

Industrials

11.0%
19.1%

Consumer Cyclical

8.9%
13.9%

Energy

3.5%
6.3%

Basic Materials

3.5%
5.7%

Consumer Defensive

3.2%
4.8%

Communication Services

1.2%
0.8%

Utilities

0.7%
4.0%

Financial Services

OMFS
26.7%
IJJ
21.8%

Healthcare

OMFS
15.1%
IJJ
3.8%

Technology

OMFS
13.9%
IJJ
10.4%

Real Estate

OMFS
12.4%
IJJ
9.5%

Industrials

OMFS
11.0%
IJJ
19.1%

Consumer Cyclical

OMFS
8.9%
IJJ
13.9%

Energy

OMFS
3.5%
IJJ
6.3%

Basic Materials

OMFS
3.5%
IJJ
5.7%

Consumer Defensive

OMFS
3.2%
IJJ
4.8%

Communication Services

OMFS
1.2%
IJJ
0.8%

Utilities

OMFS
0.7%
IJJ
4.0%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Invesco Russell 2000 Dynamic Multifactor ETF

iShares S&P Mid-Cap 400 Value ETF

Often compared with OMFS:
OMFS vs. OMFLOMFS vs. DFASOMFS vs. XSHQOMFS vs. JSMLOMFS vs. IWMOMFS vs. AVUVOMFS vs. VOO
Often compared with IJJ:
IJJ vs. IJHIJJ vs. VOEIJJ vs. SPYIJJ vs. PSRIJJ vs. IVVIJJ vs. VOOIJJ vs. VOOV

Return for Risk

OMFS vs. IJJ — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
OMFS
OMFS Risk / Return Rank: 7979
Overall Rank
OMFS Sharpe Ratio Rank: 7777
Sharpe Ratio Rank
OMFS Sortino Ratio Rank: 8080
Sortino Ratio Rank
OMFS Omega Ratio Rank: 7272
Omega Ratio Rank
OMFS Calmar Ratio Rank: 8585
Calmar Ratio Rank
OMFS Martin Ratio Rank: 8383
Martin Ratio Rank
IJJ
IJJ Risk / Return Rank: 5858
Overall Rank
IJJ Sharpe Ratio Rank: 5959
Sharpe Ratio Rank
IJJ Sortino Ratio Rank: 6363
Sortino Ratio Rank
IJJ Omega Ratio Rank: 5757
Omega Ratio Rank
IJJ Calmar Ratio Rank: 5555
Calmar Ratio Rank
IJJ Martin Ratio Rank: 5959
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

OMFS vs. IJJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and iShares S&P Mid-Cap 400 Value ETF (IJJ). 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.

OMFSIJJDifference
Sharpe ratioReturn per unit of total volatility
1.74
1.38

+0.37

Sortino ratioReturn per unit of downside risk
2.59
2.10

+0.48

Omega ratioGain probability vs. loss probability

1.30

1.25

+0.05

Calmar ratioReturn relative to maximum drawdown

3.29

1.96

+1.33

Martin ratioReturn relative to average drawdown

11.43

7.00

+4.43

OMFS vs. IJJ - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.74, which is comparable to the IJJ Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of OMFS and IJJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

OMFS vs. IJJ - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum IJJ drawdown of -58.00%. Use the drawdown chart below to compare losses from any high point for OMFS and IJJ.

Loading charts...

Drawdown Indicators

OMFSIJJDifference

Max Drawdown

Largest peak-to-trough decline

-42.50%

-58.00%

+15.50%

Max Drawdown (1Y)

Largest decline over 1 year

-9.38%

-10.59%

+1.21%

Max Drawdown (3Y)

Largest decline over 3 years

-22.35%

-22.68%

+0.33%

Max Drawdown (5Y)

Largest decline over 5 years

-29.22%

-22.68%

-6.54%

Max Drawdown (10Y)

Largest decline over 10 years

—

-46.11%

—

Current Drawdown

Current decline from peak

-2.10%

-1.19%

-0.91%

Average Drawdown

Average peak-to-trough decline

-10.31%

-7.89%

-2.42%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.70%

2.97%

-0.27%

Volatility

OMFS vs. IJJ - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 3.76% compared to iShares S&P Mid-Cap 400 Value ETF (IJJ) at 3.38%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than IJJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

OMFSIJJDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.76%

3.38%

+0.38%

Volatility (6M)

Calculated over the trailing 6-month period

12.21%

10.47%

+1.74%

Volatility (1Y)

Calculated over the trailing 1-year period

17.70%

15.10%

+2.60%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.22%

19.36%

+1.86%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

24.16%

21.96%

+2.20%

OMFS vs. IJJ - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than IJJ's 0.18% expense ratio.

Dividends

OMFS vs. IJJ - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.09%, less than IJJ's 1.58% yield.

PositionTTM20252024202320222021202020192018201720162015
IJJ
iShares S&P Mid-Cap 400 Value ETF		1.58%1.79%1.81%1.68%1.97%1.62%1.78%1.70%2.01%1.52%1.67%1.83%
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%0.00%0.00%

Frequently Asked Questions

OMFS and IJJ have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

OMFS has higher volatility (3.76%) compared to IJJ (3.38%). In terms of maximum drawdown, OMFS dropped -42.50% vs IJJ's -58.00%.

On 5-year performance, IJJ leads with 9.05% vs 7.25% for OMFS. On fees, IJJ is cheaper at 0.18% per year. On volatility, IJJ has been the lower-risk option at 3.38%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, IJJ has performed better with a 9.05% return vs 7.25%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IJJ is cheaper with a 0.18% expense ratio, compared with 0.39% for OMFS.

IJJ has the higher dividend yield at 1.58%, compared with 1.09% for OMFS.

OMFS is categorized as Small Cap Value Equities, while IJJ is Mid Cap Value Equities. OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while IJJ tracks S&P MidCap 400 Value Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.39% for OMFS and 0.18% for IJJ.

OMFS currently has the higher Sharpe Ratio (1.74 vs 1.38), 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.

Portfolio Optimizer

Find the right allocation for OMFS and IJJ

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer