CWI vs. OMFL
Compare and contrast key facts about SPDR MSCI ACWI ex-US ETF (CWI) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL).
CWI and OMFL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CWI is a passively managed fund by State Street that tracks the performance of the MSCI All Country World ex-U.S. Index. It was launched on Jan 10, 2007. OMFL is a passively managed fund by Invesco that tracks the performance of the Russell 1000 OFI Dynamic Multifactor Index. It was launched on Nov 8, 2017. Both CWI and OMFL 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: CWI or OMFL.
Performance
CWI vs. OMFL - Performance Comparison
Returns By Period
In the year-to-date period, CWI achieves a 6.98% return, which is significantly higher than OMFL's 5.96% return.
CWI
6.98%
-5.47%
-1.31%
13.14%
5.31%
4.88%
OMFL
5.96%
0.26%
-0.38%
16.04%
12.26%
N/A
Key characteristics
| CWI | OMFL | |
|---|---|---|
| Sharpe Ratio | 1.07 | 1.09 |
| Sortino Ratio | 1.54 | 1.54 |
| Omega Ratio | 1.19 | 1.19 |
| Calmar Ratio | 1.20 | 1.16 |
| Martin Ratio | 5.84 | 3.44 |
| Ulcer Index | 2.38% | 4.51% |
| Daily Std Dev | 12.96% | 14.16% |
| Max Drawdown | -60.76% | -33.24% |
| Current Drawdown | -7.37% | -2.99% |
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CWI vs. OMFL - Expense Ratio Comparison
CWI has a 0.30% expense ratio, which is higher than OMFL's 0.29% expense ratio.
Correlation
The correlation between CWI and OMFL is 0.74, 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.
Risk-Adjusted Performance
CWI vs. OMFL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI ACWI ex-US ETF (CWI) 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.
Dividends
CWI vs. OMFL - Dividend Comparison
CWI's dividend yield for the trailing twelve months is around 2.67%, more than OMFL's 1.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CWI SPDR MSCI ACWI ex-US ETF | 2.67% | 2.80% | 3.18% | 2.65% | 2.07% | 3.05% | 2.81% | 2.29% | 2.45% | 2.62% | 3.21% | 2.69% |
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 1.31% | 1.37% | 1.55% | 0.95% | 1.48% | 1.53% | 1.39% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
CWI vs. OMFL - Drawdown Comparison
The maximum CWI drawdown since its inception was -60.76%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for CWI and OMFL. For additional features, visit the drawdowns tool.
Volatility
CWI vs. OMFL - Volatility Comparison
SPDR MSCI ACWI ex-US ETF (CWI) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) have volatilities of 4.25% and 4.27%, 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.