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DGT vs. QWLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DGT vs. QWLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Global Dow ETF (DGT) and SPDR MSCI World StrategicFactors ETF (QWLD). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.62%
7.40%
DGT
QWLD

Returns By Period

The year-to-date returns for both investments are quite close, with DGT having a 17.09% return and QWLD slightly higher at 17.58%. Over the past 10 years, DGT has underperformed QWLD with an annualized return of 9.77%, while QWLD has yielded a comparatively higher 12.76% annualized return.


DGT

YTD

17.09%

1M

0.91%

6M

6.62%

1Y

23.48%

5Y (annualized)

12.48%

10Y (annualized)

9.77%

QWLD

YTD

17.58%

1M

0.66%

6M

7.40%

1Y

22.65%

5Y (annualized)

11.03%

10Y (annualized)

12.76%

Key characteristics


DGTQWLD
Sharpe Ratio2.182.39
Sortino Ratio2.933.36
Omega Ratio1.391.43
Calmar Ratio3.344.10
Martin Ratio14.2515.30
Ulcer Index1.65%1.48%
Daily Std Dev10.75%9.48%
Max Drawdown-55.36%-31.89%
Current Drawdown-1.20%-1.22%

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DGT vs. QWLD - Expense Ratio Comparison

DGT has a 0.50% expense ratio, which is higher than QWLD's 0.30% expense ratio.


DGT
SPDR Global Dow ETF
Expense ratio chart for DGT: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for QWLD: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Correlation

-0.50.00.51.00.7

The correlation between DGT and QWLD is 0.72, 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

DGT vs. QWLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Global Dow ETF (DGT) and SPDR MSCI World StrategicFactors ETF (QWLD). 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.


Sharpe ratio
The chart of Sharpe ratio for DGT, currently valued at 2.18, compared to the broader market0.002.004.002.182.39
The chart of Sortino ratio for DGT, currently valued at 2.93, compared to the broader market-2.000.002.004.006.008.0010.0012.002.933.36
The chart of Omega ratio for DGT, currently valued at 1.39, compared to the broader market0.501.001.502.002.503.001.391.43
The chart of Calmar ratio for DGT, currently valued at 3.34, compared to the broader market0.005.0010.0015.0020.003.344.10
The chart of Martin ratio for DGT, currently valued at 14.25, compared to the broader market0.0020.0040.0060.0080.00100.0014.2515.30
DGT
QWLD

The current DGT Sharpe Ratio is 2.18, which is comparable to the QWLD Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of DGT and QWLD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.18
2.39
DGT
QWLD

Dividends

DGT vs. QWLD - Dividend Comparison

DGT's dividend yield for the trailing twelve months is around 2.28%, more than QWLD's 1.48% yield.


TTM20232022202120202019201820172016201520142013
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%
QWLD
SPDR MSCI World StrategicFactors ETF
1.48%1.78%2.02%1.77%1.77%2.13%2.33%2.73%2.22%3.42%1.02%0.00%

Drawdowns

DGT vs. QWLD - Drawdown Comparison

The maximum DGT drawdown since its inception was -55.36%, which is greater than QWLD's maximum drawdown of -31.89%. Use the drawdown chart below to compare losses from any high point for DGT and QWLD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.20%
-1.22%
DGT
QWLD

Volatility

DGT vs. QWLD - Volatility Comparison

SPDR Global Dow ETF (DGT) has a higher volatility of 2.89% compared to SPDR MSCI World StrategicFactors ETF (QWLD) at 2.59%. This indicates that DGT's price experiences larger fluctuations and is considered to be riskier than QWLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.89%
2.59%
DGT
QWLD