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ONEV vs. OMFL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ONEVOMFL
YTD Return12.91%4.05%
1Y Return23.54%17.04%
3Y Return (Ann)7.07%3.35%
5Y Return (Ann)10.84%11.90%
Sharpe Ratio2.461.48
Sortino Ratio3.582.05
Omega Ratio1.441.26
Calmar Ratio3.711.59
Martin Ratio11.574.71
Ulcer Index2.38%4.50%
Daily Std Dev11.19%14.36%
Max Drawdown-39.72%-33.24%
Current Drawdown-2.56%-3.60%

Correlation

-0.50.00.51.00.9

The correlation between ONEV and OMFL is 0.86, 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

ONEV vs. OMFL - Performance Comparison

In the year-to-date period, ONEV achieves a 12.91% return, which is significantly higher than OMFL's 4.05% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.05%
-0.37%
ONEV
OMFL

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ONEV vs. OMFL - Expense Ratio Comparison

ONEV has a 0.20% expense ratio, which is lower than OMFL's 0.29% expense ratio.


OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
Expense ratio chart for OMFL: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for ONEV: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

ONEV vs. OMFL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 1000 Low Volatility Focus ETF (ONEV) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL). 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.


ONEV
Sharpe ratio
The chart of Sharpe ratio for ONEV, currently valued at 2.46, compared to the broader market-2.000.002.004.006.002.46
Sortino ratio
The chart of Sortino ratio for ONEV, currently valued at 3.58, compared to the broader market0.005.0010.003.58
Omega ratio
The chart of Omega ratio for ONEV, currently valued at 1.44, compared to the broader market1.001.502.002.503.003.501.44
Calmar ratio
The chart of Calmar ratio for ONEV, currently valued at 3.71, compared to the broader market0.005.0010.0015.0020.003.71
Martin ratio
The chart of Martin ratio for ONEV, currently valued at 11.57, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.57
OMFL
Sharpe ratio
The chart of Sharpe ratio for OMFL, currently valued at 1.48, compared to the broader market-2.000.002.004.006.001.48
Sortino ratio
The chart of Sortino ratio for OMFL, currently valued at 2.05, compared to the broader market0.005.0010.002.05
Omega ratio
The chart of Omega ratio for OMFL, currently valued at 1.26, compared to the broader market1.001.502.002.503.003.501.26
Calmar ratio
The chart of Calmar ratio for OMFL, currently valued at 1.59, compared to the broader market0.005.0010.0015.0020.001.59
Martin ratio
The chart of Martin ratio for OMFL, currently valued at 4.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.71

ONEV vs. OMFL - Sharpe Ratio Comparison

The current ONEV Sharpe Ratio is 2.46, which is higher than the OMFL Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of ONEV and OMFL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.46
1.48
ONEV
OMFL

Dividends

ONEV vs. OMFL - Dividend Comparison

ONEV's dividend yield for the trailing twelve months is around 1.72%, more than OMFL's 1.33% yield.


TTM202320222021202020192018201720162015
ONEV
SPDR Russell 1000 Low Volatility Focus ETF
1.72%1.79%1.80%1.44%1.87%2.07%2.14%6.91%2.02%0.08%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
1.33%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%

Drawdowns

ONEV vs. OMFL - Drawdown Comparison

The maximum ONEV drawdown since its inception was -39.72%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for ONEV and OMFL. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.56%
-3.60%
ONEV
OMFL

Volatility

ONEV vs. OMFL - Volatility Comparison

The current volatility for SPDR Russell 1000 Low Volatility Focus ETF (ONEV) is 2.65%, while Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) has a volatility of 3.41%. This indicates that ONEV experiences smaller price fluctuations and is considered to be less risky than OMFL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
2.65%
3.41%
ONEV
OMFL