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

Correlation

The correlation between OMFS and IWN is 0.86, 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.


-0.50.00.51.00.9

Performance

OMFS vs. IWN - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
12.08%
9.53%
OMFS
IWN

Key characteristics

Sharpe Ratio

OMFS:

0.17

IWN:

0.37

Sortino Ratio

OMFS:

0.40

IWN:

0.67

Omega Ratio

OMFS:

1.05

IWN:

1.08

Calmar Ratio

OMFS:

0.18

IWN:

0.57

Martin Ratio

OMFS:

0.60

IWN:

1.80

Ulcer Index

OMFS:

6.24%

IWN:

4.29%

Daily Std Dev

OMFS:

21.53%

IWN:

20.83%

Max Drawdown

OMFS:

-42.50%

IWN:

-61.55%

Current Drawdown

OMFS:

-9.54%

IWN:

-9.20%

Returns By Period

In the year-to-date period, OMFS achieves a 3.86% return, which is significantly lower than IWN's 7.43% return.


OMFS

YTD

3.86%

1M

-8.39%

6M

12.07%

1Y

3.25%

5Y*

7.97%

10Y*

N/A

IWN

YTD

7.43%

1M

-7.77%

6M

9.54%

1Y

6.94%

5Y*

7.00%

10Y*

6.88%

Compare stocks, funds, or ETFs

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


OMFS vs. IWN - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than IWN's 0.24% expense ratio.


OMFS
Invesco Russell 2000 Dynamic Multifactor ETF
Expense ratio chart for OMFS: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for IWN: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

OMFS vs. IWN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and iShares Russell 2000 Value ETF (IWN). 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.


Sharpe ratio
The chart of Sharpe ratio for OMFS, currently valued at 0.17, compared to the broader market0.002.004.000.170.37
The chart of Sortino ratio for OMFS, currently valued at 0.40, compared to the broader market-2.000.002.004.006.008.0010.000.400.67
The chart of Omega ratio for OMFS, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.08
The chart of Calmar ratio for OMFS, currently valued at 0.18, compared to the broader market0.005.0010.0015.000.180.57
The chart of Martin ratio for OMFS, currently valued at 0.60, compared to the broader market0.0020.0040.0060.0080.00100.000.601.80
OMFS
IWN

The current OMFS Sharpe Ratio is 0.17, which is lower than the IWN Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of OMFS and IWN, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.17
0.37
OMFS
IWN

Dividends

OMFS vs. IWN - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.36%, less than IWN's 1.81% yield.


TTM20232022202120202019201820172016201520142013
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF
1.36%1.28%1.83%0.66%1.07%1.29%1.50%0.34%0.00%0.00%0.00%0.00%
IWN
iShares Russell 2000 Value ETF
1.81%2.04%2.12%1.48%1.60%1.92%1.99%1.78%1.74%2.15%1.88%1.77%

Drawdowns

OMFS vs. IWN - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum IWN drawdown of -61.55%. Use the drawdown chart below to compare losses from any high point for OMFS and IWN. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.54%
-9.20%
OMFS
IWN

Volatility

OMFS vs. IWN - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and iShares Russell 2000 Value ETF (IWN) have volatilities of 5.56% and 5.83%, 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.


4.00%5.00%6.00%7.00%8.00%9.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.56%
5.83%
OMFS
IWN
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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