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

Correlation

The correlation between WTV and OMFL is 0.84, 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.


-0.50.00.51.00.8

Performance

WTV vs. OMFL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree US Value ETF (WTV) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL). The values are adjusted to include any dividend payments, if applicable.

110.00%120.00%130.00%140.00%150.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
142.09%
142.59%
WTV
OMFL

Key characteristics

Sharpe Ratio

WTV:

1.80

OMFL:

0.58

Sortino Ratio

WTV:

2.53

OMFL:

0.86

Omega Ratio

WTV:

1.32

OMFL:

1.11

Calmar Ratio

WTV:

3.22

OMFL:

0.62

Martin Ratio

WTV:

9.78

OMFL:

1.84

Ulcer Index

WTV:

2.40%

OMFL:

4.53%

Daily Std Dev

WTV:

13.01%

OMFL:

14.24%

Max Drawdown

WTV:

-61.95%

OMFL:

-33.24%

Current Drawdown

WTV:

-7.28%

OMFL:

-3.57%

Returns By Period

In the year-to-date period, WTV achieves a 22.50% return, which is significantly higher than OMFL's 7.31% return.


WTV

YTD

22.50%

1M

-3.66%

6M

14.05%

1Y

22.32%

5Y*

13.77%

10Y*

11.78%

OMFL

YTD

7.31%

1M

1.02%

6M

3.75%

1Y

7.25%

5Y*

11.85%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


WTV vs. OMFL - Expense Ratio Comparison

WTV has a 0.12% 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 WTV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

WTV vs. OMFL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree US Value ETF (WTV) 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.


Sharpe ratio
The chart of Sharpe ratio for WTV, currently valued at 1.80, compared to the broader market0.002.004.001.800.58
The chart of Sortino ratio for WTV, currently valued at 2.53, compared to the broader market-2.000.002.004.006.008.0010.002.530.86
The chart of Omega ratio for WTV, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.11
The chart of Calmar ratio for WTV, currently valued at 3.22, compared to the broader market0.005.0010.0015.003.220.62
The chart of Martin ratio for WTV, currently valued at 9.78, compared to the broader market0.0020.0040.0060.0080.00100.009.781.84
WTV
OMFL

The current WTV Sharpe Ratio is 1.80, which is higher than the OMFL Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of WTV 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.80
0.58
WTV
OMFL

Dividends

WTV vs. OMFL - Dividend Comparison

WTV's dividend yield for the trailing twelve months is around 1.59%, more than OMFL's 1.07% yield.


TTM20232022202120202019201820172016201520142013
WTV
WisdomTree US Value ETF
1.59%1.62%2.08%1.55%1.63%1.44%1.94%1.38%1.30%1.57%1.20%1.17%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
1.07%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%0.00%0.00%

Drawdowns

WTV vs. OMFL - Drawdown Comparison

The maximum WTV drawdown since its inception was -61.95%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for WTV 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%JulyAugustSeptemberOctoberNovemberDecember
-7.28%
-3.57%
WTV
OMFL

Volatility

WTV vs. OMFL - Volatility Comparison

WisdomTree US Value ETF (WTV) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) have volatilities of 3.89% and 4.03%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.89%
4.03%
WTV
OMFL
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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