PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
OMFS vs. JSML
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


OMFSJSML
YTD Return-7.90%-2.12%
1Y Return3.38%16.20%
3Y Return (Ann)-2.11%-5.12%
5Y Return (Ann)7.45%6.64%
Sharpe Ratio0.200.87
Daily Std Dev20.21%20.75%
Max Drawdown-42.50%-39.64%
Current Drawdown-18.47%-19.59%

Correlation

0.76
-1.001.00

The correlation between OMFS and JSML is 0.76, 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. JSML - Performance Comparison

In the year-to-date period, OMFS achieves a -7.90% return, which is significantly lower than JSML's -2.12% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
9.02%
16.53%
OMFS
JSML

Compare stocks, funds, or ETFs


Invesco Russell 2000 Dynamic Multifactor ETF

Janus Henderson Small Cap Growth Alpha ETF

OMFS vs. JSML - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than JSML's 0.30% 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%0.30%

Risk-Adjusted Performance

OMFS vs. JSML - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Janus Henderson Small Cap Growth Alpha ETF (JSML). 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-2.000.002.004.006.008.0010.000.44
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
JSML
Sharpe ratio
The Sharpe ratio of JSML compared to the broader market0.002.004.000.87
Sortino ratio
The Sortino ratio of JSML compared to the broader market-2.000.002.004.006.008.0010.001.40
Omega ratio
The Omega ratio of JSML compared to the broader market1.001.502.002.501.15
Calmar ratio
The Calmar ratio of JSML compared to the broader market0.002.004.006.008.0010.0012.000.52
Martin ratio
The Martin ratio of JSML compared to the broader market0.0020.0040.0060.0080.002.13

OMFS vs. JSML - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 0.20, which is lower than the JSML Sharpe Ratio of 0.87. The chart below compares the 12-month rolling Sharpe Ratio of OMFS and JSML.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
0.20
0.87
OMFS
JSML

Dividends

OMFS vs. JSML - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.55%, more than JSML's 0.53% yield.


TTM20232022202120202019201820172016
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%
JSML
Janus Henderson Small Cap Growth Alpha ETF
0.53%0.49%0.67%0.46%0.30%0.27%0.76%0.42%0.52%

Drawdowns

OMFS vs. JSML - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, which is greater than JSML's maximum drawdown of -39.64%. The drawdown chart below compares losses from any high point along the way for OMFS and JSML


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%NovemberDecember2024FebruaryMarchApril
-18.47%
-19.59%
OMFS
JSML

Volatility

OMFS vs. JSML - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 6.83% compared to Janus Henderson Small Cap Growth Alpha ETF (JSML) at 5.53%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than JSML 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%
5.53%
OMFS
JSML