PortfoliosLab logoPortfoliosLab logo

Documentation

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

OMFS vs. RWJ

Last updated Jul 17, 2026
Documentation

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and RWJ (Invesco S&P SmallCap 600 Revenue ETF) are both Small Cap Value Equities funds from Invesco - OMFS tracks the Russell 2000 Invesco Dynamic Multifactor Index while RWJ tracks the S&P SmallCap 600 Revenue-Weighted Index. Both are passively managed. Over the past 5 years, OMFS returned 8.31%/yr vs 11.72%/yr for RWJ. Their correlation of 0.85 suggests significant overlap in exposure. Both charge a 0.39% expense ratio.

Performance

OMFS vs. RWJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Invesco S&P SmallCap 600 Revenue ETF (RWJ). 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 20.30% return, which is significantly lower than RWJ's 26.65% return.

OMFS

1D
0.50%
1M
2.92%
6M
12.02%
YTD
20.30%
1Y
32.18%
3Y*
14.93%
5Y*
8.31%
10Y*
—

RWJ

1D
1.72%
1M
5.58%
6M
16.42%
YTD
26.65%
1Y
39.34%
3Y*
17.88%
5Y*
11.72%
10Y*
13.38%
*Multi-year figures are annualized to reflect compound growth (CAGR)

OMFS vs. RWJ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF		20.30%13.34%3.98%15.12%-17.29%28.60%15.02%27.12%-9.01%3.83%
RWJ
Invesco S&P SmallCap 600 Revenue ETF		26.65%7.75%11.81%16.21%-10.97%52.82%20.83%20.29%-16.95%7.48%

Correlation

The correlation between OMFS and RWJ is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.85

Correlation (3Y)
Calculated over the trailing 3-year period

0.89

Correlation (5Y)
Calculated over the trailing 5-year period

0.91

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

0.85

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

OMFS vs. RWJ - Sectors Allocation Comparison

Sectors
OMFS
RWJ

Financial Services

25.2%
10.7%

Healthcare

13.1%
11.0%

Technology

11.4%
11.2%

Real Estate

10.7%
3.9%

Industrials

10.3%
16.0%

Consumer Cyclical

7.9%
23.9%

Consumer Defensive

2.8%
6.8%

Energy

2.8%
7.2%

Basic Materials

2.1%
5.0%

Communication Services

0.7%
3.5%

Utilities

0.6%
0.8%

Financial Services

OMFS
25.2%
RWJ
10.7%

Healthcare

OMFS
13.1%
RWJ
11.0%

Technology

OMFS
11.4%
RWJ
11.2%

Real Estate

OMFS
10.7%
RWJ
3.9%

Industrials

OMFS
10.3%
RWJ
16.0%

Consumer Cyclical

OMFS
7.9%
RWJ
23.9%

Consumer Defensive

OMFS
2.8%
RWJ
6.8%

Energy

OMFS
2.8%
RWJ
7.2%

Basic Materials

OMFS
2.1%
RWJ
5.0%

Communication Services

OMFS
0.7%
RWJ
3.5%

Utilities

OMFS
0.6%
RWJ
0.8%

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

Invesco S&P SmallCap 600 Revenue ETF

Often compared with OMFS:
OMFS vs. OMFLOMFS vs. DFASOMFS vs. XSHQOMFS vs. JSMLOMFS vs. IWMOMFS vs. AVUVOMFS vs. VOO
Often compared with RWJ:
RWJ vs. AVUVXRWJ vs. XSVMRWJ vs. RWKRWJ vs. RZVRWJ vs. CALFRWJ vs. RFVRWJ vs. FSMD

Return for Risk

OMFS vs. RWJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
OMFS
OMFS Risk / Return Rank: 7575
Overall Rank
OMFS Sharpe Ratio Rank: 7272
Sharpe Ratio Rank
OMFS Sortino Ratio Rank: 7575
Sortino Ratio Rank
OMFS Omega Ratio Rank: 6666
Omega Ratio Rank
OMFS Calmar Ratio Rank: 8181
Calmar Ratio Rank
OMFS Martin Ratio Rank: 7979
Martin Ratio Rank
RWJ
RWJ Risk / Return Rank: 8080
Overall Rank
RWJ Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
RWJ Sortino Ratio Rank: 8484
Sortino Ratio Rank
RWJ Omega Ratio Rank: 7777
Omega Ratio Rank
RWJ Calmar Ratio Rank: 8282
Calmar Ratio Rank
RWJ Martin Ratio Rank: 7676
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

OMFS vs. RWJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Invesco S&P SmallCap 600 Revenue ETF (RWJ). 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.

OMFSRWJDifference
Sharpe ratioReturn per unit of total volatility
1.84
2.09

-0.25

Sortino ratioReturn per unit of downside risk
2.71
3.02

-0.31

Omega ratioGain probability vs. loss probability

1.31

1.36

-0.05

Calmar ratioReturn relative to maximum drawdown

3.45

3.50

-0.05

Martin ratioReturn relative to average drawdown

11.88

11.29

+0.59

OMFS vs. RWJ - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.84, which is comparable to the RWJ Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of OMFS and RWJ, 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. RWJ - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum RWJ drawdown of -55.97%. Use the drawdown chart below to compare losses from any high point for OMFS and RWJ.

Loading charts...

Drawdown Indicators

OMFSRWJDifference

Max Drawdown

Largest peak-to-trough decline

-42.50%

-55.97%

+13.47%

Max Drawdown (1Y)

Largest decline over 1 year

-9.38%

-11.31%

+1.93%

Max Drawdown (3Y)

Largest decline over 3 years

-22.35%

-29.29%

+6.94%

Max Drawdown (5Y)

Largest decline over 5 years

-29.22%

-29.29%

+0.07%

Max Drawdown (10Y)

Largest decline over 10 years

—

-51.33%

—

Current Drawdown

Current decline from peak

-0.47%

0.00%

-0.47%

Average Drawdown

Average peak-to-trough decline

-10.35%

-9.18%

-1.17%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.72%

3.49%

-0.77%

Volatility

OMFS vs. RWJ - Volatility Comparison

The current volatility for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) is 3.37%, while Invesco S&P SmallCap 600 Revenue ETF (RWJ) has a volatility of 4.45%. This indicates that OMFS experiences smaller price fluctuations and is considered to be less risky than RWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

OMFSRWJDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.37%

4.45%

-1.08%

Volatility (6M)

Calculated over the trailing 6-month period

12.58%

12.52%

+0.06%

Volatility (1Y)

Calculated over the trailing 1-year period

17.64%

18.94%

-1.30%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.36%

23.58%

-2.22%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

24.20%

26.05%

-1.85%

OMFS vs. RWJ - Expense Ratio Comparison

Both OMFS and RWJ have an expense ratio of 0.39%.

Dividends

OMFS vs. RWJ - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.08%, more than RWJ's 0.99% yield.

PositionTTM20252024202320222021202020192018201720162015
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF		1.08%0.80%1.87%1.27%1.84%0.66%1.07%1.29%1.50%0.34%0.00%0.00%
RWJ
Invesco S&P SmallCap 600 Revenue ETF		0.99%1.11%1.15%1.34%1.02%0.61%0.89%1.22%1.44%1.11%0.60%0.74%

Frequently Asked Questions

OMFS and RWJ have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

RWJ has higher volatility (4.45%) compared to OMFS (3.37%). In terms of maximum drawdown, OMFS dropped -42.50% vs RWJ's -55.97%.

On 5-year performance, RWJ leads with 11.72% vs 8.31% for OMFS. Both ETFs have the same 0.39% expense ratio. On volatility, OMFS has been the lower-risk option at 3.37%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, RWJ has performed better with a 11.72% return vs 8.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

OMFS and RWJ have the same expense ratio: 0.39% per year.

OMFS has the higher dividend yield at 1.08%, compared with 0.99% for RWJ.

OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while RWJ tracks S&P SmallCap 600 Revenue-Weighted Index.

RWJ currently has the higher Sharpe Ratio (2.09 vs 1.84), 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 RWJ

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