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

Key characteristics


OMFSIWO
YTD Return-7.90%1.38%
1Y Return3.38%13.21%
3Y Return (Ann)-2.11%-4.85%
5Y Return (Ann)7.45%5.57%
Sharpe Ratio0.200.75
Daily Std Dev20.21%19.71%
Max Drawdown-42.50%-60.10%
Current Drawdown-18.47%-22.63%

Correlation

0.79
-1.001.00

The correlation between OMFS and IWO is 0.79, 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. IWO - Performance Comparison

In the year-to-date period, OMFS achieves a -7.90% return, which is significantly lower than IWO's 1.38% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%NovemberDecember2024FebruaryMarchApril
9.02%
19.02%
OMFS
IWO

Compare stocks, funds, or ETFs


Invesco Russell 2000 Dynamic Multifactor ETF

iShares Russell 2000 Growth ETF

OMFS vs. IWO - Expense Ratio Comparison

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

OMFS
Invesco Russell 2000 Dynamic Multifactor ETF
0.50%1.00%1.50%2.00%0.39%
0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

OMFS vs. IWO - 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 Growth ETF (IWO). 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
Sharpe ratio
The Sharpe ratio of OMFS compared to the broader market0.002.004.000.20
Sortino ratio
The Sortino ratio of OMFS compared to the broader market-2.000.002.004.006.008.000.44
Omega ratio
The Omega ratio of OMFS compared to the broader market1.001.502.002.501.05
Calmar ratio
The Calmar ratio of OMFS compared to the broader market0.002.004.006.008.0010.0012.000.15
Martin ratio
The Martin ratio of OMFS compared to the broader market0.0020.0040.0060.0080.000.56
IWO
Sharpe ratio
The Sharpe ratio of IWO compared to the broader market0.002.004.000.75
Sortino ratio
The Sortino ratio of IWO compared to the broader market-2.000.002.004.006.008.001.21
Omega ratio
The Omega ratio of IWO compared to the broader market1.001.502.002.501.13
Calmar ratio
The Calmar ratio of IWO compared to the broader market0.002.004.006.008.0010.0012.000.39
Martin ratio
The Martin ratio of IWO compared to the broader market0.0020.0040.0060.0080.002.03

OMFS vs. IWO - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 0.20, which is lower than the IWO Sharpe Ratio of 0.75. The chart below compares the 12-month rolling Sharpe Ratio of OMFS and IWO.


Rolling 12-month Sharpe Ratio0.000.501.00NovemberDecember2024FebruaryMarchApril
0.20
0.75
OMFS
IWO

Dividends

OMFS vs. IWO - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.55%, more than IWO's 0.68% yield.


TTM20232022202120202019201820172016201520142013
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF
1.55%1.27%1.84%0.66%1.07%1.29%1.50%0.34%0.00%0.00%0.00%0.00%
IWO
iShares Russell 2000 Growth ETF
0.68%0.73%0.75%0.32%0.44%0.71%0.76%0.73%0.97%0.89%0.73%0.72%

Drawdowns

OMFS vs. IWO - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum IWO drawdown of -60.10%. The drawdown chart below compares losses from any high point along the way for OMFS and IWO


-40.00%-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%NovemberDecember2024FebruaryMarchApril
-18.47%
-22.63%
OMFS
IWO

Volatility

OMFS vs. IWO - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 6.83% compared to iShares Russell 2000 Growth ETF (IWO) at 5.55%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than IWO based on this measure. 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%NovemberDecember2024FebruaryMarchApril
6.83%
5.55%
OMFS
IWO