OMFS vs. IWN
Compare and contrast key facts about Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and iShares Russell 2000 Value ETF (IWN).
OMFS and IWN are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. OMFS is a passively managed fund by Invesco that tracks the performance of the Russell 2000 Invesco Dynamic Multifactor Index. It was launched on Nov 8, 2017. IWN is a passively managed fund by iShares that tracks the performance of the Russell 2000 Value Index. It was launched on Jul 24, 2000. Both OMFS and IWN are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: OMFS or IWN.
Key characteristics
| OMFS | IWN | |
|---|---|---|
| YTD Return | 14.60% | 17.92% |
| 1Y Return | 33.65% | 40.84% |
| 3Y Return (Ann) | 0.48% | 3.21% |
| 5Y Return (Ann) | 11.16% | 9.99% |
| Sharpe Ratio | 1.61 | 1.92 |
| Sortino Ratio | 2.35 | 2.79 |
| Omega Ratio | 1.28 | 1.34 |
| Calmar Ratio | 1.48 | 1.84 |
| Martin Ratio | 5.84 | 10.42 |
| Ulcer Index | 6.09% | 4.03% |
| Daily Std Dev | 22.10% | 21.89% |
| Max Drawdown | -42.50% | -61.55% |
| Current Drawdown | 0.00% | 0.00% |
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.
Performance
OMFS vs. IWN - Performance Comparison
In the year-to-date period, OMFS achieves a 14.60% return, which is significantly lower than IWN's 17.92% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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OMFS vs. IWN - Expense Ratio Comparison
OMFS has a 0.39% expense ratio, which is higher than IWN's 0.24% expense ratio.
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.
Dividends
OMFS vs. IWN - Dividend Comparison
OMFS's dividend yield for the trailing twelve months is around 1.42%, less than IWN's 1.66% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
OMFS Invesco Russell 2000 Dynamic Multifactor ETF | 1.42% | 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 | 1.66% | 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.
Volatility
OMFS vs. IWN - Volatility Comparison
Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and iShares Russell 2000 Value ETF (IWN) have volatilities of 7.66% and 7.63%, 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.