QVMS vs. OMFS

Last updated Jun 23, 2026

QVMS (Invesco S&P SmallCap 600 QVM Multi-factor ETF) and OMFS (Invesco Russell 2000 Dynamic Multifactor ETF) are both exchange-traded funds - QVMS is a Multi-factor fund tracking the S&P Small Cap 600, while OMFS is a Small Cap Value Equities fund tracking the Russell 2000 Invesco Dynamic Multifactor Index. Both are passively managed. Over the past 3 years, QVMS returned 16.95%/yr vs 16.15%/yr for OMFS. Their correlation of 0.94 suggests significant overlap in exposure. QVMS charges 0.15%/yr vs 0.39%/yr for OMFS.

Performance

QVMS vs. OMFS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) and Invesco Russell 2000 Dynamic Multifactor ETF (OMFS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QVMS achieves a 20.78% return, which is significantly higher than OMFS's 19.07% return.

QVMS

• 1D: 0.19%
• 1M: 5.14%
• YTD: 20.78%
• 6M: 17.79%
• 1Y: 37.18%
• 3Y*: 16.95%
• 5Y*: —
• 10Y*: —

OMFS

• 1D: 1.13%
• 1M: 4.50%
• YTD: 19.07%
• 6M: 15.99%
• 1Y: 36.23%
• 3Y*: 16.15%
• 5Y*: 6.52%
• 10Y*: —

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

QVMS vs. OMFS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	20.78%	5.56%	9.50%	16.89%	-14.61%	4.82%
OMFS Invesco Russell 2000 Dynamic Multifactor ETF	19.07%	13.34%	3.98%	15.12%	-17.29%	2.41%

Correlation

The correlation between QVMS and OMFS is 0.93, 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	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (All Time) Calculated using the full available price history since Jun 30, 2021	0.94

The correlation between QVMS and OMFS has been stable across timeframes, ranging from 0.93 to 0.94 - a consistent structural relationship.

QVMS vs. OMFS - Sectors Allocation Comparison

Sectors	QVMS	OMFS
Financial Services	18.0%	24.3%
Technology	16.7%	15.3%
Industrials	16.3%	14.9%
Consumer Cyclical	13.4%	8.6%
Healthcare	11.1%	13.7%
Real Estate	7.1%	11.5%
Energy	5.6%	3.4%
Basic Materials	5.0%	2.7%
Consumer Defensive	2.8%	3.7%
Utilities	2.1%	1.1%
Communication Services	1.9%	0.9%

Return for Risk

QVMS vs. OMFS — Risk / Return Rank

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

QVMS

QVMS Risk / Return Rank: 71
QVMS Sharpe Ratio Rank: 67
QVMS Sortino Ratio Rank: 70
QVMS Omega Ratio Rank: 60
QVMS Calmar Ratio Rank: 83
QVMS Martin Ratio Rank: 78

OMFS

OMFS Risk / Return Rank: 67
OMFS Sharpe Ratio Rank: 63
OMFS Sortino Ratio Rank: 66
OMFS Omega Ratio Rank: 57
OMFS Calmar Ratio Rank: 78
OMFS Martin Ratio Rank: 73

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.

QVMS vs. OMFS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) and Invesco Russell 2000 Dynamic Multifactor ETF (OMFS). 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.

	QVMS	OMFS	Difference
Sharpe ratio: Return per unit of total volatility	2.10	2.03	+0.07
Sortino ratio: Return per unit of downside risk	3.04	2.92	+0.12
Omega ratio: Gain probability vs. loss probability	1.36	1.34	+0.02
Calmar ratio: Return relative to maximum drawdown	4.25	3.88	+0.37
Martin ratio: Return relative to average drawdown	14.44	13.35	+1.08

QVMS vs. OMFS - Sharpe Ratio Comparison

The current QVMS Sharpe Ratio is 2.10, which is comparable to the OMFS Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of QVMS and OMFS, 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

QVMS vs. OMFS - Drawdown Comparison

The maximum QVMS drawdown since its inception was -28.05%, smaller than the maximum OMFS drawdown of -42.50%. Use the drawdown chart below to compare losses from any high point for QVMS and OMFS.

Drawdown Indicators

	QVMS	OMFS	Difference
Max Drawdown Largest peak-to-trough decline	-28.05%	-42.50%	+14.45%
Max Drawdown (1Y) Largest decline over 1 year	-8.78%	-9.38%	+0.60%
Max Drawdown (3Y) Largest decline over 3 years	-28.05%	-22.35%	-5.70%
Max Drawdown (5Y) Largest decline over 5 years	—	-29.22%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-9.01%	-10.43%	+1.42%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.58%	2.72%	-0.14%

Volatility

QVMS vs. OMFS - Volatility Comparison

Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) and Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) have volatilities of 5.02% and 5.00%, 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.

Volatility by Period

	QVMS	OMFS	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.02%	5.00%	+0.02%
Volatility (6M) Calculated over the trailing 6-month period	12.43%	12.70%	-0.27%
Volatility (1Y) Calculated over the trailing 1-year period	17.86%	18.00%	-0.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.23%	21.46%	-0.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.23%	24.28%	-3.05%

QVMS vs. OMFS - Expense Ratio Comparison

QVMS has a 0.15% expense ratio, which is lower than OMFS's 0.39% expense ratio.

Dividends

QVMS vs. OMFS - Dividend Comparison

QVMS's dividend yield for the trailing twelve months is around 1.37%, more than OMFS's 1.23% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	1.16%	1.10%	1.53%	1.51%	1.58%	0.64%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both QVMS and OMFS in my portfolio?

With a correlation of 0.93, QVMS and OMFS 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, QVMS or OMFS?

QVMS has higher volatility (5.02%) compared to OMFS (5.00%). In terms of maximum drawdown, QVMS dropped -28.05% vs OMFS's -42.50%.

Which ETF is better, QVMS or OMFS?

On 3-year performance, QVMS leads with 16.95% vs 16.15% for OMFS. On fees, QVMS is cheaper at 0.15% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, QVMS or OMFS?

Over the 3-year period, QVMS has performed better with a 16.95% return vs 16.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QVMS or OMFS?

QVMS is cheaper with a 0.15% expense ratio, compared with 0.39% for OMFS.

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

QVMS has the higher dividend yield at 1.37%, compared with 1.23% for OMFS.

What is the main difference between QVMS and OMFS?

QVMS is categorized as Multi-factor, while OMFS is Small Cap Value Equities. QVMS tracks S&P Small Cap 600, while OMFS tracks Russell 2000 Invesco Dynamic Multifactor Index. Their fees differ too: 0.15% for QVMS and 0.39% for OMFS.

Which has better risk-adjusted returns?

QVMS currently has the higher Sharpe Ratio (2.10 vs 2.03), 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.