OMFS vs. VOO
Compare and contrast key facts about Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Vanguard S&P 500 ETF (VOO).
OMFS and VOO 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. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010. Both OMFS and VOO 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 VOO.
Key characteristics
| OMFS | VOO | |
|---|---|---|
| YTD Return | 12.95% | 26.88% |
| 1Y Return | 31.69% | 37.59% |
| 3Y Return (Ann) | 0.00% | 10.23% |
| 5Y Return (Ann) | 10.83% | 15.93% |
| Sharpe Ratio | 1.43 | 3.06 |
| Sortino Ratio | 2.13 | 4.08 |
| Omega Ratio | 1.25 | 1.58 |
| Calmar Ratio | 1.32 | 4.43 |
| Martin Ratio | 5.21 | 20.25 |
| Ulcer Index | 6.09% | 1.85% |
| Daily Std Dev | 22.12% | 12.23% |
| Max Drawdown | -42.50% | -33.99% |
| Current Drawdown | -1.44% | -0.30% |
Correlation
The correlation between OMFS and VOO is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
OMFS vs. VOO - Performance Comparison
In the year-to-date period, OMFS achieves a 12.95% return, which is significantly lower than VOO's 26.88% 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. VOO - Expense Ratio Comparison
OMFS has a 0.39% expense ratio, which is higher than VOO's 0.03% expense ratio.
Risk-Adjusted Performance
OMFS vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Vanguard S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
OMFS's dividend yield for the trailing twelve months is around 1.44%, more than VOO's 1.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
OMFS Invesco Russell 2000 Dynamic Multifactor ETF | 1.44% | 1.28% | 1.83% | 0.66% | 1.07% | 1.29% | 1.50% | 0.34% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.23% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
OMFS vs. VOO - Drawdown Comparison
The maximum OMFS drawdown since its inception was -42.50%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for OMFS and VOO. For additional features, visit the drawdowns tool.
Volatility
OMFS vs. VOO - Volatility Comparison
Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 7.88% compared to Vanguard S&P 500 ETF (VOO) at 3.89%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.