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OMFS vs. XSVM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

OMFS vs. XSVM

Last updated Jun 24, 2026

OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) and XSVM (Invesco S&P SmallCap Value with Momentum ETF) are both exchange-traded funds - OMFS is a Small Cap Value Equities fund tracking the Russell 2000 Invesco Dynamic Multifactor Index, while XSVM is a Momentum fund tracking the S&P SmallCap 600 High Momentum Value Index. Both are passively managed. Over the past 5 years, OMFS returned 6.12%/yr vs 7.87%/yr for XSVM. Their correlation of 0.85 suggests significant overlap in exposure. OMFS charges 0.39%/yr vs 0.37%/yr for XSVM.

Performance

OMFS vs. XSVM - 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 Value with Momentum ETF (XSVM). 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 18.54% return, which is significantly lower than XSVM's 20.98% return.

OMFS

1D
-0.44%
1M
4.03%
YTD
18.54%
6M
16.21%
1Y
33.25%
3Y*
15.98%
5Y*
6.12%
10Y*
—

XSVM

1D
0.77%
1M
3.66%
YTD
20.98%
6M
18.82%
1Y
37.12%
3Y*
17.66%
5Y*
7.87%
10Y*
13.32%
*Multi-year figures are annualized to reflect compound growth (CAGR)

OMFS vs. XSVM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
OMFS
Invesco Russell 2000 Dynamic Multifactor ETF		18.54%13.34%3.98%15.12%-17.29%28.60%15.02%27.12%-9.01%3.83%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		20.98%7.47%2.30%20.20%-13.63%56.36%5.08%30.01%-12.33%5.14%

Correlation

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

OMFS vs. XSVM - Sectors Allocation Comparison

Sectors
OMFS
XSVM

Financial Services

24.3%
38.7%

Technology

15.3%
9.5%

Industrials

14.9%
6.3%

Healthcare

13.7%
1.1%

Real Estate

11.5%
4.8%

Consumer Cyclical

8.6%
17.4%

Consumer Defensive

3.7%
6.9%

Energy

3.4%
9.3%

Basic Materials

2.7%
2.0%

Utilities

1.1%
1.2%

Communication Services

0.9%
2.8%

Financial Services

OMFS
24.3%
XSVM
38.7%

Technology

OMFS
15.3%
XSVM
9.5%

Industrials

OMFS
14.9%
XSVM
6.3%

Healthcare

OMFS
13.7%
XSVM
1.1%

Real Estate

OMFS
11.5%
XSVM
4.8%

Consumer Cyclical

OMFS
8.6%
XSVM
17.4%

Consumer Defensive

OMFS
3.7%
XSVM
6.9%

Energy

OMFS
3.4%
XSVM
9.3%

Basic Materials

OMFS
2.7%
XSVM
2.0%

Utilities

OMFS
1.1%
XSVM
1.2%

Communication Services

OMFS
0.9%
XSVM
2.8%

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 Value with Momentum ETF

Often compared with OMFS:
OMFS vs. OMFLOMFS vs. DFASOMFS vs. XSHQOMFS vs. JSMLOMFS vs. IWMOMFS vs. AVUVOMFS vs. VOO
Often compared with XSVM:
XSVM vs. XSMOXSVM vs. AVUVXSVM vs. RWJXSVM vs. XSHQXSVM vs. SPHBXSVM vs. DGRSXSVM vs. RYPRX

Return for Risk

OMFS vs. XSVM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
OMFS
OMFS Risk / Return Rank: 6464
Overall Rank
OMFS Sharpe Ratio Rank: 5959
Sharpe Ratio Rank
OMFS Sortino Ratio Rank: 6363
Sortino Ratio Rank
OMFS Omega Ratio Rank: 5454
Omega Ratio Rank
OMFS Calmar Ratio Rank: 7474
Calmar Ratio Rank
OMFS Martin Ratio Rank: 7070
Martin Ratio Rank
XSVM
XSVM Risk / Return Rank: 6767
Overall Rank
XSVM Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
XSVM Sortino Ratio Rank: 6767
Sortino Ratio Rank
XSVM Omega Ratio Rank: 6262
Omega Ratio Rank
XSVM Calmar Ratio Rank: 7676
Calmar Ratio Rank
XSVM Martin Ratio Rank: 6666
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. XSVM - 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 Value with Momentum ETF (XSVM). 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.

OMFSXSVMDifference
Sharpe ratioReturn per unit of total volatility
1.87
2.03

-0.16

Sortino ratioReturn per unit of downside risk
2.72
2.93

-0.21

Omega ratioGain probability vs. loss probability

1.32

1.36

-0.04

Calmar ratioReturn relative to maximum drawdown

3.56

3.70

-0.14

Martin ratioReturn relative to average drawdown

12.26

11.45

+0.81

OMFS vs. XSVM - Sharpe Ratio Comparison

The current OMFS Sharpe Ratio is 1.87, which is comparable to the XSVM Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of OMFS and XSVM, 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. XSVM - Drawdown Comparison

The maximum OMFS drawdown since its inception was -42.50%, smaller than the maximum XSVM drawdown of -62.57%. Use the drawdown chart below to compare losses from any high point for OMFS and XSVM.

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Drawdown Indicators

OMFSXSVMDifference

Max Drawdown

Largest peak-to-trough decline

-42.50%

-62.57%

+20.07%

Max Drawdown (1Y)

Largest decline over 1 year

-9.38%

-10.08%

+0.70%

Max Drawdown (3Y)

Largest decline over 3 years

-22.35%

-26.21%

+3.86%

Max Drawdown (5Y)

Largest decline over 5 years

-29.22%

-26.21%

-3.01%

Max Drawdown (10Y)

Largest decline over 10 years

—

-49.02%

—

Current Drawdown

Current decline from peak

-0.44%

-0.73%

+0.29%

Average Drawdown

Average peak-to-trough decline

-10.42%

-11.54%

+1.12%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.72%

3.25%

-0.53%

Volatility

OMFS vs. XSVM - Volatility Comparison

Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) has a higher volatility of 5.05% compared to Invesco S&P SmallCap Value with Momentum ETF (XSVM) at 4.63%. This indicates that OMFS's price experiences larger fluctuations and is considered to be riskier than XSVM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

OMFSXSVMDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.05%

4.63%

+0.42%

Volatility (6M)

Calculated over the trailing 6-month period

12.70%

12.28%

+0.42%

Volatility (1Y)

Calculated over the trailing 1-year period

17.97%

18.54%

-0.57%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.46%

22.55%

-1.09%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

24.27%

25.07%

-0.80%

OMFS vs. XSVM - Expense Ratio Comparison

OMFS has a 0.39% expense ratio, which is higher than XSVM's 0.37% expense ratio.

Dividends

OMFS vs. XSVM - Dividend Comparison

OMFS's dividend yield for the trailing twelve months is around 1.09%, less than XSVM's 1.82% yield.

PositionTTM20252024202320222021202020192018201720162015
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%0.00%0.00%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		1.82%2.29%1.69%1.31%1.79%1.23%1.21%1.22%2.54%1.90%2.29%2.68%

Frequently Asked Questions

OMFS and XSVM 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.

OMFS has higher volatility (5.05%) compared to XSVM (4.63%). In terms of maximum drawdown, OMFS dropped -42.50% vs XSVM's -62.57%.

On 5-year performance, XSVM leads with 7.87% vs 6.12% for OMFS. On fees, XSVM is cheaper at 0.37% per year. On volatility, XSVM has been the lower-risk option at 4.63%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, XSVM has performed better with a 7.87% return vs 6.12%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

XSVM is cheaper with a 0.37% expense ratio, compared with 0.39% for OMFS.

XSVM has the higher dividend yield at 1.82%, compared with 1.09% for OMFS.

OMFS is categorized as Small Cap Value Equities, while XSVM is Momentum. OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index, while XSVM tracks S&P SmallCap 600 High Momentum Value Index. Their fees differ too: 0.39% for OMFS and 0.37% for XSVM.

XSVM currently has the higher Sharpe Ratio (2.03 vs 1.87), 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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