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OMFS vs. SVAL
Performance
Return for Risk
Drawdowns
Volatility
Dividends

OMFS vs. SVAL

Last updated Aug 2, 2026
Documentation

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and SVAL (iShares US Small Cap Value Factor ETF) are both Small Cap Value Equities funds - OMFS tracks the Russell 2000 Invesco Dynamic Multifactor Index while SVAL tracks the Russell 2000 Focused Value Select Index. Both are passively managed. Over the past 5 years, OMFS returned 7.25%/yr vs 9.86%/yr for SVAL. Their correlation of 0.91 means they have usually moved in the same direction. OMFS charges 0.39%/yr vs 0.20%/yr for SVAL.

Performance

OMFS vs. SVAL - Performance Comparison

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

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Returns By Period

In the year-to-date period, OMFS achieves a 18.33% return, which is significantly lower than SVAL's 25.30% return.

OMFS

1D
-0.51%
1M
-1.48%
6M
11.99%
YTD
18.33%
1Y
33.45%
3Y*
12.70%
5Y*
7.25%
10Y*
—
ALL TIME*
10.34%

SVAL

1D
0.26%
1M
2.62%
6M
17.08%
YTD
25.30%
1Y
43.73%
3Y*
16.07%
5Y*
9.86%
10Y*
—
ALL TIME*
17.62%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

OMFS

Invesco Russell 2000 Dynamic Multifactor ETF
$494.23K$429.77K$649.60K

SVAL

iShares US Small Cap Value Factor ETF
$620.93K$633.76K$608.86K

OMFS vs. SVAL - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF		18.33%13.34%3.98%15.12%-17.29%28.60%34.16%
SVAL
iShares US Small Cap Value Factor ETF		25.30%8.23%7.54%12.27%-10.15%33.18%29.82%

Correlation

The correlation between OMFS and SVAL is 0.86, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.86

Correlation (3Y)
Balances recent behavior with more history.

0.89

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.91

Correlation (All Time)
Calculated using the full available price history since Oct 29, 2020

0.91

The correlation between OMFS and SVAL has been stable across timeframes, ranging from 0.86 to 0.91 - a consistent structural relationship.

OMFS vs. SVAL - Sectors Allocation Comparison

Sectors
OMFS
SVAL

Financial Services

26.7%
22.7%

Healthcare

15.1%
12.0%

Technology

13.9%
10.4%

Real Estate

12.4%
4.7%

Industrials

11.0%
12.9%

Consumer Cyclical

8.9%
11.8%

Energy

3.5%
10.0%

Basic Materials

3.5%
4.7%

Consumer Defensive

3.2%
4.3%

Communication Services

1.2%
3.0%

Utilities

0.7%
3.4%

Financial Services

OMFS
26.7%
SVAL
22.7%

Healthcare

OMFS
15.1%
SVAL
12.0%

Technology

OMFS
13.9%
SVAL
10.4%

Real Estate

OMFS
12.4%
SVAL
4.7%

Industrials

OMFS
11.0%
SVAL
12.9%

Consumer Cyclical

OMFS
8.9%
SVAL
11.8%

Energy

OMFS
3.5%
SVAL
10.0%

Basic Materials

OMFS
3.5%
SVAL
4.7%

Consumer Defensive

OMFS
3.2%
SVAL
4.3%

Communication Services

OMFS
1.2%
SVAL
3.0%

Utilities

OMFS
0.7%
SVAL
3.4%

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

iShares US Small Cap Value Factor ETF

Often compared with OMFS:
OMFS vs. OMFLOMFS vs. DFASOMFS vs. XSHQOMFS vs. JSMLOMFS vs. IWMOMFS vs. AVUVOMFS vs. VOO
Often compared with SVAL:
SVAL vs. AVUVSVAL vs. XSVMSVAL vs. SPYVSVAL vs. IJSSVAL vs. SLYVSVAL vs. IWOSVAL vs. VDC

Return for Risk

OMFS vs. SVAL — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
OMFS
OMFS Risk / Return Rank: 7979
Overall Rank
OMFS Sharpe Ratio Rank: 7777
Sharpe Ratio Rank
OMFS Sortino Ratio Rank: 8080
Sortino Ratio Rank
OMFS Omega Ratio Rank: 7272
Omega Ratio Rank
OMFS Calmar Ratio Rank: 8585
Calmar Ratio Rank
OMFS Martin Ratio Rank: 8383
Martin Ratio Rank
SVAL
SVAL Risk / Return Rank: 9292
Overall Rank
SVAL Sharpe Ratio Rank: 9292
Sharpe Ratio Rank
SVAL Sortino Ratio Rank: 9393
Sortino Ratio Rank
SVAL Omega Ratio Rank: 9191
Omega Ratio Rank
SVAL Calmar Ratio Rank: 9393
Calmar Ratio Rank
SVAL Martin Ratio Rank: 9292
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

OMFS vs. SVAL - Risk-Adjusted Trends Comparison

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

OMFSSVALDifference
Sharpe ratioReturn per unit of total volatility
1.74
2.41

-0.67

Sortino ratioReturn per unit of downside risk
2.59
3.51

-0.92

Omega ratioGain probability vs. loss probability

1.30

1.42

-0.13

Calmar ratioReturn relative to maximum drawdown

3.29

4.59

-1.30

Martin ratioReturn relative to average drawdown

11.43

15.49

-4.07

OMFS vs. SVAL - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.74, which is comparable to the SVAL Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of OMFS and SVAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

OMFS vs. SVAL - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, which is greater than SVAL's maximum drawdown of -27.44%. Use the drawdown chart below to compare losses from any high point for OMFS and SVAL.

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Drawdown Indicators

OMFSSVALDifference

Max Drawdown

Largest peak-to-trough decline

-42.50%

-27.44%

-15.06%

Max Drawdown (1Y)

Largest decline over 1 year

-9.38%

-8.94%

-0.44%

Max Drawdown (3Y)

Largest decline over 3 years

-22.35%

-27.44%

+5.09%

Max Drawdown (5Y)

Largest decline over 5 years

-29.22%

-27.44%

-1.78%

Current Drawdown

Current decline from peak

-2.10%

-0.79%

-1.31%

Average Drawdown

Average peak-to-trough decline

-10.31%

-8.29%

-2.02%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.70%

2.64%

+0.06%

Volatility

OMFS vs. SVAL - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 3.76% compared to iShares US Small Cap Value Factor ETF (SVAL) at 3.19%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than SVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

OMFSSVALDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.76%

3.19%

+0.57%

Volatility (6M)

Calculated over the trailing 6-month period

12.21%

10.99%

+1.22%

Volatility (1Y)

Calculated over the trailing 1-year period

17.70%

17.03%

+0.67%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.22%

22.01%

-0.79%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

24.16%

23.04%

+1.12%

OMFS vs. SVAL - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than SVAL's 0.20% expense ratio.

Dividends

OMFS vs. SVAL - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.09%, less than SVAL's 2.04% yield.

PositionTTM202520242023202220212020201920182017
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF		1.09%0.80%1.87%1.27%1.84%0.66%1.07%1.29%1.50%0.34%
SVAL
iShares US Small Cap Value Factor ETF		2.04%2.33%1.82%2.25%2.09%2.33%0.28%0.00%0.00%0.00%

Frequently Asked Questions

OMFS and SVAL have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

OMFS has higher volatility (3.76%) compared to SVAL (3.19%). In terms of maximum drawdown, OMFS dropped -42.50% vs SVAL's -27.44%.

On 5-year performance, SVAL leads with 9.86% vs 7.25% for OMFS. On fees, SVAL is cheaper at 0.20% per year. On volatility, SVAL has been the lower-risk option at 3.19%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, SVAL has performed better with a 9.86% return vs 7.25%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SVAL is cheaper with a 0.20% expense ratio, compared with 0.39% for OMFS.

SVAL has the higher dividend yield at 2.04%, compared with 1.09% for OMFS.

OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while SVAL tracks Russell 2000 Focused Value Select Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.39% for OMFS and 0.20% for SVAL.

SVAL currently has the higher Sharpe Ratio (2.41 vs 1.74), 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

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