OMFS vs. VTWV

Last updated Jul 12, 2026

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and VTWV (Vanguard Russell 2000 Value ETF) are both Small Cap Value Equities funds - OMFS tracks the Russell 2000 Invesco Dynamic Multifactor Index while VTWV tracks the Russell 2000 Value Index. Both are passively managed. Over the past 5 years, OMFS returned 6.99%/yr vs 8.42%/yr for VTWV. Their correlation of 0.89 suggests significant overlap in exposure. OMFS charges 0.39%/yr vs 0.06%/yr for VTWV.

Performance

OMFS vs. VTWV - Performance Comparison

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

Returns By Period

In the year-to-date period, OMFS achieves a 19.80% return, which is significantly lower than VTWV's 22.31% return.

OMFS

• 1D: -0.27%
• 1M: 2.34%
• 6M: 14.40%
• YTD: 19.80%
• 1Y: 31.40%
• 3Y*: 15.31%
• 5Y*: 6.99%
• 10Y*: —

VTWV

• 1D: 0.26%
• 1M: 1.28%
• 6M: 16.07%
• YTD: 22.31%
• 1Y: 36.05%
• 3Y*: 17.73%
• 5Y*: 8.42%
• 10Y*: 10.29%

*Multi-year figures are annualized to reflect compound growth (CAGR)

OMFS vs. VTWV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	19.80%	13.34%	3.98%	15.12%	-17.29%	28.60%	15.02%	27.12%	-9.01%	3.83%
VTWV Vanguard Russell 2000 Value ETF	22.31%	12.72%	7.83%	14.67%	-14.46%	27.90%	4.88%	22.44%	-13.34%	4.43%

Correlation

The correlation between OMFS and VTWV is 0.95, 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	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017	0.89

The correlation between OMFS and VTWV has been stable across timeframes, ranging from 0.89 to 0.95 - a consistent structural relationship.

OMFS vs. VTWV - Sectors Allocation Comparison

Sectors	OMFS	VTWV
Financial Services	25.2%	24.0%
Healthcare	13.1%	10.1%
Technology	11.4%	11.6%
Real Estate	10.7%	10.2%
Industrials	10.3%	12.2%
Consumer Cyclical	7.9%	8.9%
Consumer Defensive	2.8%	2.1%
Energy	2.8%	7.8%
Basic Materials	2.1%	5.4%
Communication Services	0.7%	2.7%
Utilities	0.6%	5.0%

Return for Risk

OMFS vs. VTWV — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

OMFS

OMFS Risk / Return Rank: 68
OMFS Sharpe Ratio Rank: 63
OMFS Sortino Ratio Rank: 67
OMFS Omega Ratio Rank: 58
OMFS Calmar Ratio Rank: 77
OMFS Martin Ratio Rank: 74

VTWV

VTWV Risk / Return Rank: 79
VTWV Sharpe Ratio Rank: 75
VTWV Sortino Ratio Rank: 78
VTWV Omega Ratio Rank: 70
VTWV Calmar Ratio Rank: 88
VTWV Martin Ratio Rank: 85

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. VTWV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Vanguard Russell 2000 Value ETF (VTWV). 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.

	OMFS	VTWV	Difference
Sharpe ratio: Return per unit of total volatility	1.67	1.92	-0.25
Sortino ratio: Return per unit of downside risk	2.48	2.77	-0.29
Omega ratio: Gain probability vs. loss probability	1.29	1.33	-0.05
Calmar ratio: Return relative to maximum drawdown	3.18	4.02	-0.84
Martin ratio: Return relative to average drawdown	10.94	13.79	-2.85

OMFS vs. VTWV - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.67, which is comparable to the VTWV Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of OMFS and VTWV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

OMFS vs. VTWV - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum VTWV drawdown of -45.73%. Use the drawdown chart below to compare losses from any high point for OMFS and VTWV.

Drawdown Indicators

	OMFS	VTWV	Difference
Max Drawdown Largest peak-to-trough decline	-42.50%	-45.73%	+3.23%
Max Drawdown (1Y) Largest decline over 1 year	-9.38%	-8.64%	-0.74%
Max Drawdown (3Y) Largest decline over 3 years	-22.35%	-26.72%	+4.37%
Max Drawdown (5Y) Largest decline over 5 years	-29.22%	-26.72%	-2.50%
Max Drawdown (10Y) Largest decline over 10 years	—	-45.73%	—
Current Drawdown Current decline from peak	-0.89%	-0.78%	-0.11%
Average Drawdown Average peak-to-trough decline	-10.37%	-7.77%	-2.60%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.72%	2.52%	+0.20%

Volatility

OMFS vs. VTWV - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 4.29% compared to Vanguard Russell 2000 Value ETF (VTWV) at 4.00%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than VTWV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	OMFS	VTWV	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.29%	4.00%	+0.29%
Volatility (6M) Calculated over the trailing 6-month period	12.65%	12.51%	+0.14%
Volatility (1Y) Calculated over the trailing 1-year period	17.83%	18.07%	-0.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.40%	21.64%	-0.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.22%	23.48%	+0.74%

OMFS vs. VTWV - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than VTWV's 0.06% expense ratio.

Dividends

OMFS vs. VTWV - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.08%, less than VTWV's 1.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
VTWV Vanguard Russell 2000 Value ETF	1.61%	1.79%	1.78%	2.02%	2.07%	1.60%	1.49%	1.82%	2.04%	1.63%	1.57%	2.03%

Frequently Asked Questions

Can I hold both OMFS and VTWV in my portfolio?

With a correlation of 0.95, OMFS and VTWV move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, OMFS or VTWV?

OMFS has higher volatility (4.29%) compared to VTWV (4.00%). In terms of maximum drawdown, OMFS dropped -42.50% vs VTWV's -45.73%.

Which ETF is better, OMFS or VTWV?

On 5-year performance, VTWV leads with 8.42% vs 6.99% for OMFS. On fees, VTWV is cheaper at 0.06% per year. On volatility, VTWV has been the lower-risk option at 4.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, OMFS or VTWV?

Over the 5-year period, VTWV has performed better with a 8.42% return vs 6.99%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, OMFS or VTWV?

VTWV is cheaper with a 0.06% expense ratio, compared with 0.39% for OMFS.

Which ETF pays a higher dividend yield, OMFS or VTWV?

VTWV has the higher dividend yield at 1.61%, compared with 1.08% for OMFS.

What is the main difference between OMFS and VTWV?

OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while VTWV tracks Russell 2000 Value Index. They also come from different issuers: Invesco and Vanguard. Their fees differ too: 0.39% for OMFS and 0.06% for VTWV.

Which has better risk-adjusted returns?

VTWV currently has the higher Sharpe Ratio (1.92 vs 1.67), 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.