OMFS vs. XSHQ
Compare and contrast key facts about Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Invesco S&P SmallCap Quality ETF (XSHQ).
OMFS and XSHQ 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. XSHQ is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Quality Index. It was launched on Apr 6, 2017. Both OMFS and XSHQ 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 XSHQ.
Key characteristics
| OMFS | XSHQ | |
|---|---|---|
| YTD Return | 14.60% | 19.72% |
| 1Y Return | 33.65% | 37.94% |
| 3Y Return (Ann) | 0.48% | 6.88% |
| 5Y Return (Ann) | 11.16% | 12.53% |
| Sharpe Ratio | 1.61 | 1.94 |
| Sortino Ratio | 2.35 | 2.85 |
| Omega Ratio | 1.28 | 1.34 |
| Calmar Ratio | 1.48 | 3.35 |
| Martin Ratio | 5.84 | 11.18 |
| Ulcer Index | 6.09% | 3.60% |
| Daily Std Dev | 22.10% | 20.73% |
| Max Drawdown | -42.50% | -38.33% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between OMFS and XSHQ is 0.83, 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. XSHQ - Performance Comparison
In the year-to-date period, OMFS achieves a 14.60% return, which is significantly lower than XSHQ's 19.72% 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. XSHQ - Expense Ratio Comparison
OMFS has a 0.39% expense ratio, which is higher than XSHQ's 0.29% expense ratio.
Risk-Adjusted Performance
OMFS vs. XSHQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Invesco S&P SmallCap Quality ETF (XSHQ). 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. XSHQ - Dividend Comparison
OMFS's dividend yield for the trailing twelve months is around 1.42%, more than XSHQ's 1.01% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
OMFS Invesco Russell 2000 Dynamic Multifactor ETF | 1.42% | 1.28% | 1.83% | 0.66% | 1.07% | 1.29% | 1.50% | 0.34% |
XSHQ Invesco S&P SmallCap Quality ETF | 1.01% | 1.15% | 2.02% | 1.25% | 1.24% | 1.11% | 1.16% | 0.79% |
Drawdowns
OMFS vs. XSHQ - Drawdown Comparison
The maximum OMFS drawdown since its inception was -42.50%, which is greater than XSHQ's maximum drawdown of -38.33%. Use the drawdown chart below to compare losses from any high point for OMFS and XSHQ. For additional features, visit the drawdowns tool.
Volatility
OMFS vs. XSHQ - Volatility Comparison
Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) and Invesco S&P SmallCap Quality ETF (XSHQ) have volatilities of 7.66% and 7.89%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.