XSHQ vs. OMFS
Compare and contrast key facts about Invesco S&P SmallCap Quality ETF (XSHQ) and Invesco Russell 2000 Dynamic Multifactor ETF (OMFS).
XSHQ and OMFS are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both XSHQ and OMFS 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: XSHQ or OMFS.
Key characteristics
| XSHQ | OMFS | |
|---|---|---|
| YTD Return | 19.72% | 14.60% |
| 1Y Return | 37.94% | 33.65% |
| 3Y Return (Ann) | 6.88% | 0.48% |
| 5Y Return (Ann) | 12.53% | 11.16% |
| Sharpe Ratio | 1.94 | 1.61 |
| Sortino Ratio | 2.85 | 2.35 |
| Omega Ratio | 1.34 | 1.28 |
| Calmar Ratio | 3.35 | 1.48 |
| Martin Ratio | 11.18 | 5.84 |
| Ulcer Index | 3.60% | 6.09% |
| Daily Std Dev | 20.73% | 22.10% |
| Max Drawdown | -38.33% | -42.50% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between XSHQ and OMFS 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
XSHQ vs. OMFS - Performance Comparison
In the year-to-date period, XSHQ achieves a 19.72% return, which is significantly higher than OMFS's 14.60% 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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XSHQ vs. OMFS - Expense Ratio Comparison
XSHQ has a 0.29% expense ratio, which is lower than OMFS's 0.39% expense ratio.
Risk-Adjusted Performance
XSHQ vs. OMFS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Quality ETF (XSHQ) 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.
Dividends
XSHQ vs. OMFS - Dividend Comparison
XSHQ's dividend yield for the trailing twelve months is around 1.01%, less than OMFS's 1.42% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
XSHQ Invesco S&P SmallCap Quality ETF | 1.01% | 1.15% | 2.02% | 1.25% | 1.24% | 1.11% | 1.16% | 0.79% |
OMFS Invesco Russell 2000 Dynamic Multifactor ETF | 1.42% | 1.28% | 1.83% | 0.66% | 1.07% | 1.29% | 1.50% | 0.34% |
Drawdowns
XSHQ vs. OMFS - Drawdown Comparison
The maximum XSHQ drawdown since its inception was -38.33%, smaller than the maximum OMFS drawdown of -42.50%. Use the drawdown chart below to compare losses from any high point for XSHQ and OMFS. For additional features, visit the drawdowns tool.
Volatility
XSHQ vs. OMFS - Volatility Comparison
Invesco S&P SmallCap Quality ETF (XSHQ) and Invesco Russell 2000 Dynamic Multifactor ETF (OMFS) have volatilities of 7.89% and 7.66%, 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.