CWI vs. OMFL

Last updated Jun 4, 2026

CWI (SPDR MSCI ACWI ex-US ETF) and OMFL (Invesco Russell 1000 Dynamic Multifactor ETF) are both exchange-traded funds - CWI is a Foreign Large Cap Equities fund tracking the MSCI All Country World ex-U.S. Index, while OMFL is a Large Cap Blend Equities fund tracking the Russell 1000 Invesco Dynamic Multifactor Index. Both are passively managed. Over the past 5 years, CWI returned 8.77%/yr vs 9.27%/yr for OMFL. A 0.73 correlation means they provide meaningful diversification when combined. CWI charges 0.30%/yr vs 0.29%/yr for OMFL.

Performance

CWI vs. OMFL - Performance Comparison

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

Returns By Period

In the year-to-date period, CWI achieves a 13.91% return, which is significantly higher than OMFL's 12.39% return.

CWI

• 1D: -1.22%
• 1M: 5.25%
• YTD: 13.91%
• 6M: 16.33%
• 1Y: 32.11%
• 3Y*: 19.76%
• 5Y*: 8.77%
• 10Y*: 9.91%

OMFL

• 1D: -0.10%
• 1M: 4.53%
• YTD: 12.39%
• 6M: 12.90%
• 1Y: 21.98%
• 3Y*: 14.35%
• 5Y*: 9.27%
• 10Y*: —

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

CWI vs. OMFL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CWI SPDR MSCI ACWI ex-US ETF	13.91%	32.75%	6.27%	15.74%	-15.39%	8.81%	9.83%	21.92%	-13.83%	2.53%
OMFL Invesco Russell 1000 Dynamic Multifactor ETF	12.39%	13.68%	6.82%	21.53%	-13.97%	28.95%	20.91%	35.58%	-2.55%	4.95%

Correlation

The correlation between CWI and OMFL is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (All Time) Calculated using the full available price history since Nov 13, 2017	0.73

The correlation between CWI and OMFL has been stable across timeframes, ranging from 0.71 to 0.77 - a consistent structural relationship.

CWI vs. OMFL - Sectors Allocation Comparison

Sectors	CWI	OMFL
Financial Services	17.4%	11.5%
Technology	14.9%	31.0%
Industrials	7.8%	9.8%
Consumer Cyclical	5.8%	9.5%
Healthcare	5.3%	10.4%
Energy	5.0%	3.7%
Basic Materials	4.4%	2.5%
Communication Services	3.2%	11.7%
Consumer Defensive	2.8%	8.8%
Utilities	1.2%	0.4%
Real Estate	0.9%	0.8%

Return for Risk

CWI vs. OMFL — Risk / Return Rank

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

CWI

CWI Risk / Return Rank: 60
CWI Sharpe Ratio Rank: 61
CWI Sortino Ratio Rank: 61
CWI Omega Ratio Rank: 62
CWI Calmar Ratio Rank: 56
CWI Martin Ratio Rank: 60

OMFL

OMFL Risk / Return Rank: 57
OMFL Sharpe Ratio Rank: 53
OMFL Sortino Ratio Rank: 52
OMFL Omega Ratio Rank: 52
OMFL Calmar Ratio Rank: 58
OMFL Martin Ratio Rank: 70

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.

CWI vs. OMFL - Risk-Adjusted Trends 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.

	CWI	OMFL	Difference
Sharpe ratio: Return per unit of total volatility	2.10	1.84	+0.27
Sortino ratio: Return per unit of downside risk	2.90	2.57	+0.33
Omega ratio: Gain probability vs. loss probability	1.38	1.33	+0.05
Calmar ratio: Return relative to maximum drawdown	2.81	2.91	-0.10
Martin ratio: Return relative to average drawdown	10.92	13.12	-2.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CWI vs. OMFL - Sharpe Ratio Comparison

The current CWI Sharpe Ratio is 2.10, which is comparable to the OMFL Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of CWI and OMFL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CWI	OMFL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.10	1.84	+0.27
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.54	0.56	-0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.25	0.70	-0.45

Drawdowns

CWI vs. OMFL - Drawdown Comparison

The maximum CWI drawdown since its inception was -60.77%, 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.

Drawdown Indicators

	CWI	OMFL	Difference
Max Drawdown Largest peak-to-trough decline	-60.77%	-33.24%	-27.53%
Max Drawdown (1Y) Largest decline over 1 year	-11.47%	-7.58%	-3.89%
Max Drawdown (3Y) Largest decline over 3 years	-13.85%	-15.52%	+1.67%
Max Drawdown (5Y) Largest decline over 5 years	-29.45%	-22.44%	-7.01%
Max Drawdown (10Y) Largest decline over 10 years	-34.64%	—	—
Current Drawdown Current decline from peak	-1.22%	-0.19%	-1.03%
Average Drawdown Average peak-to-trough decline	-12.86%	-4.80%	-8.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.95%	1.68%	+1.27%

Volatility

CWI vs. OMFL - Volatility Comparison

SPDR MSCI ACWI ex-US ETF (CWI) has a higher volatility of 5.81% compared to Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) at 2.40%. This indicates that CWI's price experiences larger fluctuations and is considered to be riskier than OMFL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CWI	OMFL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.81%	2.40%	+3.41%
Volatility (6M) Calculated over the trailing 6-month period	13.10%	9.45%	+3.65%
Volatility (1Y) Calculated over the trailing 1-year period	15.35%	12.03%	+3.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.25%	16.75%	-0.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.13%	20.11%	-2.98%

CWI vs. OMFL - Expense Ratio Comparison

CWI has a 0.30% expense ratio, which is higher than OMFL's 0.29% expense ratio.

Dividends

CWI vs. OMFL - Dividend Comparison

CWI's dividend yield for the trailing twelve months is around 2.70%, more than OMFL's 0.75% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CWI SPDR MSCI ACWI ex-US ETF	2.70%	2.97%	2.89%	2.80%	3.17%	2.65%	2.07%	3.05%	2.81%	2.29%	2.45%	2.62%
OMFL Invesco Russell 1000 Dynamic Multifactor ETF	0.75%	0.80%	1.22%	1.37%	1.55%	0.95%	1.48%	1.53%	1.39%	0.32%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CWI and OMFL in my portfolio?

CWI and OMFL have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CWI or OMFL?

CWI has higher volatility (5.81%) compared to OMFL (2.40%). In terms of maximum drawdown, CWI dropped -60.77% vs OMFL's -33.24%.

Which ETF is better, CWI or OMFL?

On 5-year performance, OMFL leads with 9.27% vs 8.77% for CWI. On fees, OMFL is cheaper at 0.29% per year. On volatility, OMFL has been the lower-risk option at 2.40%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CWI or OMFL?

Over the 5-year period, OMFL has performed better with a 9.27% return vs 8.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CWI or OMFL?

OMFL is cheaper with a 0.29% expense ratio, compared with 0.30% for CWI.

Which ETF pays a higher dividend yield, CWI or OMFL?

CWI has the higher dividend yield at 2.70%, compared with 0.75% for OMFL.

What is the main difference between CWI and OMFL?

CWI is categorized as Foreign Large Cap Equities, while OMFL is Large Cap Blend Equities. CWI tracks MSCI All Country World ex-U.S. Index, while OMFL tracks Russell 1000 Invesco Dynamic Multifactor Index. They also come from different issuers: State Street and Invesco. Their fees differ too: 0.30% for CWI and 0.29% for OMFL.

Which has better risk-adjusted returns?

CWI currently has the higher Sharpe Ratio (2.10 vs 1.84), 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.