OMFL vs. CWI

Last updated Jun 4, 2026

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

Performance

OMFL vs. CWI - Performance Comparison

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

Returns By Period

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

OMFL

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

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%

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

OMFL vs. CWI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
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%

Correlation

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

OMFL vs. CWI - Sectors Allocation Comparison

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

Return for Risk

OMFL vs. CWI — Risk / Return Rank

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

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

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

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.

OMFL vs. CWI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) and SPDR MSCI ACWI ex-US ETF (CWI). 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.

	OMFL	CWI	Difference
Sharpe ratio: Return per unit of total volatility	1.84	2.10	-0.27
Sortino ratio: Return per unit of downside risk	2.57	2.90	-0.33
Omega ratio: Gain probability vs. loss probability	1.33	1.38	-0.05
Calmar ratio: Return relative to maximum drawdown	2.91	2.81	+0.10
Martin ratio: Return relative to average drawdown	13.12	10.92	+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.

OMFL vs. CWI - Sharpe Ratio Comparison

The current OMFL Sharpe Ratio is 1.84, which is comparable to the CWI Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of OMFL and CWI, 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

	OMFL	CWI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.84	2.10	-0.27
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.56	0.54	+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	0.70	0.25	+0.45

Drawdowns

OMFL vs. CWI - Drawdown Comparison

The maximum OMFL drawdown since its inception was -33.24%, smaller than the maximum CWI drawdown of -60.77%. Use the drawdown chart below to compare losses from any high point for OMFL and CWI.

Drawdown Indicators

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

Volatility

OMFL vs. CWI - Volatility Comparison

The current volatility for Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) is 2.40%, while SPDR MSCI ACWI ex-US ETF (CWI) has a volatility of 5.81%. This indicates that OMFL experiences smaller price fluctuations and is considered to be less risky than CWI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

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

OMFL vs. CWI - Expense Ratio Comparison

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

Dividends

OMFL vs. CWI - Dividend Comparison

OMFL's dividend yield for the trailing twelve months is around 0.75%, less than CWI's 2.70% 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 OMFL and CWI in my portfolio?

OMFL and CWI 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, OMFL or CWI?

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

Which ETF is better, OMFL or CWI?

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, OMFL or CWI?

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, OMFL or CWI?

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

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

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

What is the main difference between OMFL and CWI?

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

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.