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EGUS vs. QWLD
Performance
Return for Risk
Drawdowns
Volatility
Dividends

EGUS vs. QWLD

Last updated Aug 2, 2026
Documentation

EGUS (Ishares ESG Aware MSCI USA Growth ETF) and QWLD (SPDR MSCI World StrategicFactors ETF) are both Large Cap Growth Equities funds - EGUS tracks the MSCI USA Growth Extended ESG Focus Index while QWLD tracks the MSCI World Factor Mix A-Series (USD). Both are passively managed. Over the past 3 years, EGUS returned 22.36%/yr vs 15.49%/yr for QWLD. Their 0.73 correlation means they have sometimes moved together and sometimes differently. EGUS charges 0.18%/yr vs 0.30%/yr for QWLD.

Performance

EGUS vs. QWLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ishares ESG Aware MSCI USA Growth ETF (EGUS) and SPDR MSCI World StrategicFactors ETF (QWLD). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, EGUS achieves a 7.97% return, which is significantly lower than QWLD's 9.39% return.

EGUS

1D
1.33%
1M
-0.80%
6M
10.13%
YTD
7.97%
1Y
20.16%
3Y*
22.36%
5Y*
—
10Y*
—
ALL TIME*
24.82%

QWLD

1D
0.22%
1M
1.63%
6M
6.46%
YTD
9.39%
1Y
19.11%
3Y*
15.49%
5Y*
10.03%
10Y*
11.57%
ALL TIME*
10.49%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

EGUS

Ishares ESG Aware MSCI USA Growth ETF
$143.52K$111.36K$164.88K

QWLD

SPDR MSCI World StrategicFactors ETF
$231.12K$297.84K$1.04M

EGUS vs. QWLD - Yearly Performance Comparison

2026 (YTD)202520242023
EGUS
Ishares ESG Aware MSCI USA Growth ETF		7.97%19.02%32.85%27.00%
QWLD
SPDR MSCI World StrategicFactors ETF		9.39%17.93%14.44%12.64%

Correlation

The correlation between EGUS and QWLD is 0.66, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.66

Correlation (3Y)
Balances recent behavior with more history.

0.71

Correlation (All Time)
Calculated using the full available price history since Feb 2, 2023

0.73

The correlation between EGUS and QWLD has been stable across timeframes, ranging from 0.66 to 0.73 - a consistent structural relationship.

EGUS vs. QWLD - Sectors Allocation Comparison

Sectors
EGUS
QWLD

Technology

55.6%
24.9%

Consumer Cyclical

11.9%
6.3%

Communication Services

9.9%
9.5%

Industrials

7.2%
10.9%

Healthcare

6.2%
13.2%

Financial Services

4.2%
16.5%

Real Estate

1.7%
1.0%

Energy

1.1%
3.4%

Utilities

1.1%
3.8%

Basic Materials

0.8%
2.5%

Consumer Defensive

0.2%
8.1%

Technology

EGUS
55.6%
QWLD
24.9%

Consumer Cyclical

EGUS
11.9%
QWLD
6.3%

Communication Services

EGUS
9.9%
QWLD
9.5%

Industrials

EGUS
7.2%
QWLD
10.9%

Healthcare

EGUS
6.2%
QWLD
13.2%

Financial Services

EGUS
4.2%
QWLD
16.5%

Real Estate

EGUS
1.7%
QWLD
1.0%

Energy

EGUS
1.1%
QWLD
3.4%

Utilities

EGUS
1.1%
QWLD
3.8%

Basic Materials

EGUS
0.8%
QWLD
2.5%

Consumer Defensive

EGUS
0.2%
QWLD
8.1%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Ishares ESG Aware MSCI USA Growth ETF

SPDR MSCI World StrategicFactors ETF

Often compared with EGUS:
EGUS vs. SPYEGUS vs. FGDLEGUS vs. FELGEGUS vs. FXAIXEGUS vs. SCHGEGUS vs. VUGEGUS vs. SPMO
Often compared with QWLD:
QWLD vs. URTHQWLD vs. DGTQWLD vs. SPGMQWLD vs. VTQWLD vs. VWICXQWLD vs. JPGL.LQWLD vs. QVML

Return for Risk

EGUS vs. QWLD — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
EGUS
EGUS Risk / Return Rank: 3636
Overall Rank
EGUS Sharpe Ratio Rank: 3939
Sharpe Ratio Rank
EGUS Sortino Ratio Rank: 3838
Sortino Ratio Rank
EGUS Omega Ratio Rank: 3636
Omega Ratio Rank
EGUS Calmar Ratio Rank: 3333
Calmar Ratio Rank
EGUS Martin Ratio Rank: 3636
Martin Ratio Rank
QWLD
QWLD Risk / Return Rank: 8080
Overall Rank
QWLD Sharpe Ratio Rank: 8383
Sharpe Ratio Rank
QWLD Sortino Ratio Rank: 8484
Sortino Ratio Rank
QWLD Omega Ratio Rank: 8282
Omega Ratio Rank
QWLD Calmar Ratio Rank: 7070
Calmar Ratio Rank
QWLD Martin Ratio Rank: 8181
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

EGUS vs. QWLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Ishares ESG Aware MSCI USA Growth ETF (EGUS) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

EGUSQWLDDifference
Sharpe ratioReturn per unit of total volatility
0.96
1.93

-0.97

Sortino ratioReturn per unit of downside risk
1.41
2.75

-1.34

Omega ratioGain probability vs. loss probability

1.17

1.34

-0.17

Calmar ratioReturn relative to maximum drawdown

1.12

2.44

-1.32

Martin ratioReturn relative to average drawdown

3.57

10.67

-7.10

EGUS vs. QWLD - Sharpe Ratio Comparison

The current EGUS Sharpe Ratio is 0.96, which is lower than the QWLD Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of EGUS and QWLD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

EGUS vs. QWLD - Drawdown Comparison

The maximum EGUS drawdown since its inception was -24.87%, smaller than the maximum QWLD drawdown of -31.89%. Use the drawdown chart below to compare losses from any high point for EGUS and QWLD.

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Drawdown Indicators

EGUSQWLDDifference

Max Drawdown

Largest peak-to-trough decline

-24.87%

-31.89%

+7.02%

Max Drawdown (1Y)

Largest decline over 1 year

-15.66%

-7.66%

-8.00%

Max Drawdown (3Y)

Largest decline over 3 years

-24.87%

-12.40%

-12.47%

Max Drawdown (5Y)

Largest decline over 5 years

—

-22.84%

—

Max Drawdown (10Y)

Largest decline over 10 years

—

-31.89%

—

Current Drawdown

Current decline from peak

-4.69%

0.00%

-4.69%

Average Drawdown

Average peak-to-trough decline

-3.39%

-3.66%

+0.27%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.92%

1.75%

+3.17%

Volatility

EGUS vs. QWLD - Volatility Comparison

Ishares ESG Aware MSCI USA Growth ETF (EGUS) has a higher volatility of 5.38% compared to SPDR MSCI World StrategicFactors ETF (QWLD) at 2.30%. This indicates that EGUS'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.

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Volatility by Period

EGUSQWLDDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.38%

2.30%

+3.08%

Volatility (6M)

Calculated over the trailing 6-month period

14.54%

7.73%

+6.81%

Volatility (1Y)

Calculated over the trailing 1-year period

18.25%

9.71%

+8.54%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

19.32%

13.51%

+5.81%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.32%

15.12%

+4.20%

EGUS vs. QWLD - Expense Ratio Comparison

EGUS has a 0.18% expense ratio, which is lower than QWLD's 0.30% expense ratio.

Dividends

EGUS vs. QWLD - Dividend Comparison

EGUS's dividend yield for the trailing twelve months is around 0.21%, less than QWLD's 1.79% yield.

PositionTTM20252024202320222021202020192018201720162015
EGUS
Ishares ESG Aware MSCI USA Growth ETF		0.21%0.22%0.25%0.36%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QWLD
SPDR MSCI World StrategicFactors ETF		1.79%1.85%1.74%1.78%2.02%1.77%1.77%2.13%2.33%2.73%2.22%3.42%

Frequently Asked Questions

EGUS and QWLD have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EGUS has higher volatility (5.38%) compared to QWLD (2.30%). In terms of maximum drawdown, EGUS dropped -24.87% vs QWLD's -31.89%.

On 3-year performance, EGUS leads with 22.36% vs 15.49% for QWLD. On fees, EGUS is cheaper at 0.18% per year. On volatility, QWLD has been the lower-risk option at 2.30%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 3-year period, EGUS has performed better with a 22.36% return vs 15.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

EGUS is cheaper with a 0.18% expense ratio, compared with 0.30% for QWLD.

QWLD has the higher dividend yield at 1.79%, compared with 0.21% for EGUS.

EGUS tracks MSCI USA Growth Extended ESG Focus Index, while QWLD tracks MSCI World Factor Mix A-Series (USD). They also come from different issuers: iShares and State Street. Their fees differ too: 0.18% for EGUS and 0.30% for QWLD.

QWLD currently has the higher Sharpe Ratio (1.93 vs 0.96), 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.

Portfolio Optimizer

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