DGT vs. QUS
Compare and contrast key facts about SPDR Global Dow ETF (DGT) and SPDR MSCI USA StrategicFactors ETF (QUS).
DGT and QUS are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DGT is a passively managed fund by State Street that tracks the performance of the Global Dow Index. It was launched on Sep 25, 2000. QUS is a passively managed fund by State Street that tracks the performance of the MSCI USA Factor Mix A-Series Capped (USD). It was launched on Apr 16, 2015. Both DGT and QUS 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: DGT or QUS.
Key characteristics
| DGT | QUS | |
|---|---|---|
| YTD Return | 17.13% | 23.70% |
| 1Y Return | 29.39% | 34.96% |
| 3Y Return (Ann) | 9.22% | 9.88% |
| 5Y Return (Ann) | 12.40% | 14.05% |
| Sharpe Ratio | 2.64 | 3.38 |
| Sortino Ratio | 3.54 | 4.75 |
| Omega Ratio | 1.47 | 1.64 |
| Calmar Ratio | 4.07 | 6.06 |
| Martin Ratio | 17.98 | 22.60 |
| Ulcer Index | 1.59% | 1.50% |
| Daily Std Dev | 10.86% | 10.01% |
| Max Drawdown | -55.36% | -33.78% |
| Current Drawdown | -1.17% | 0.00% |
Correlation
The correlation between DGT and QUS is 0.75, 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
DGT vs. QUS - Performance Comparison
In the year-to-date period, DGT achieves a 17.13% return, which is significantly lower than QUS's 23.70% 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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DGT vs. QUS - Expense Ratio Comparison
DGT has a 0.50% expense ratio, which is higher than QUS's 0.15% expense ratio.
Risk-Adjusted Performance
DGT vs. QUS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Global Dow ETF (DGT) and SPDR MSCI USA StrategicFactors ETF (QUS). 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
DGT vs. QUS - Dividend Comparison
DGT's dividend yield for the trailing twelve months is around 2.28%, more than QUS's 1.34% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGT SPDR Global Dow ETF | 2.28% | 2.53% | 3.15% | 2.66% | 1.97% | 2.76% | 2.50% | 1.93% | 2.31% | 2.37% | 2.67% | 2.18% |
QUS SPDR MSCI USA StrategicFactors ETF | 1.34% | 1.57% | 1.68% | 1.27% | 1.73% | 1.81% | 2.12% | 1.86% | 2.07% | 1.48% | 0.00% | 0.00% |
Drawdowns
DGT vs. QUS - Drawdown Comparison
The maximum DGT drawdown since its inception was -55.36%, which is greater than QUS's maximum drawdown of -33.78%. Use the drawdown chart below to compare losses from any high point for DGT and QUS. For additional features, visit the drawdowns tool.
Volatility
DGT vs. QUS - Volatility Comparison
The current volatility for SPDR Global Dow ETF (DGT) is 2.99%, while SPDR MSCI USA StrategicFactors ETF (QUS) has a volatility of 3.42%. This indicates that DGT experiences smaller price fluctuations and is considered to be less risky than QUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.