ESGG vs. QWLD

Last updated Aug 4, 2026

ESGG (FlexShares STOXX Global ESG Select Index Fund) and QWLD (SPDR MSCI World StrategicFactors ETF) are both Large Cap Growth Equities funds - ESGG tracks the STOXX Global ESG Select KPIs Index while QWLD tracks the MSCI World Factor Mix A-Series (USD). Both are passively managed. Over the past 10 years, ESGG returned 13.94%/yr vs 11.64%/yr for QWLD. Their correlation of 0.83 means they have usually moved in the same direction. ESGG charges 0.42%/yr vs 0.30%/yr for QWLD.

Performance

ESGG vs. QWLD - Performance Comparison

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

Returns By Period

In the year-to-date period, ESGG achieves a 14.95% return, which is significantly higher than QWLD's 10.03% return. Over the past 10 years, ESGG has outperformed QWLD with an annualized return of 13.94%, while QWLD has yielded a comparatively lower 11.64% annualized return.

ESGG

• 1D: 0.53%
• 1M: 1.39%
• 6M: 11.36%
• YTD: 14.95%
• 1Y: 27.50%
• 3Y*: 20.42%
• 5Y*: 12.16%
• 10Y*: 13.94%
• ALL TIME*: 13.88%

QWLD

• 1D: 0.58%
• 1M: 2.22%
• 6M: 5.89%
• YTD: 10.03%
• 1Y: 19.80%
• 3Y*: 16.43%
• 5Y*: 10.04%
• 10Y*: 11.64%
• ALL TIME*: 10.53%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ESGG FlexShares STOXX Global ESG Select Index Fund	$88.70K	$102.70K	$84.24K
QWLD SPDR MSCI World StrategicFactors ETF	$247.86K	$289.30K	$1.06M

ESGG vs. QWLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESGG FlexShares STOXX Global ESG Select Index Fund	14.95%	24.01%	14.48%	25.57%	-18.66%	23.76%	17.32%	29.10%	-8.44%	23.60%
QWLD SPDR MSCI World StrategicFactors ETF	10.03%	17.93%	14.44%	19.59%	-13.30%	21.57%	10.24%	27.59%	-7.02%	22.44%

Correlation

The correlation between ESGG and QWLD is 0.85, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.85
Correlation (3Y) Balances recent behavior with more history.	0.90
Correlation (5Y) Shows whether the relationship held over a longer period.	0.94
Correlation (10Y) Provides a long-term view across more market conditions.	0.83
Correlation (All Time) Calculated using the full available price history since Jul 14, 2016	0.83

The correlation between ESGG and QWLD shifts across timeframes, from 0.83 (all time) to 0.94 (5 years), reflecting how their relationship changes across market environments.

ESGG vs. QWLD - Sectors Allocation Comparison

Sectors	ESGG	QWLD
Technology	40.0%	24.9%
Financial Services	19.5%	16.5%
Healthcare	14.1%	13.2%
Industrials	6.8%	10.9%
Consumer Defensive	5.4%	8.1%
Consumer Cyclical	4.4%	6.3%
Energy	4.2%	3.4%
Basic Materials	2.0%	2.5%
Utilities	1.4%	3.8%
Communication Services	1.3%	9.5%
Real Estate	1.1%	1.0%

Return for Risk

ESGG vs. QWLD — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ESGG

ESGG Risk / Return Rank: 83
ESGG Sharpe Ratio Rank: 85
ESGG Sortino Ratio Rank: 85
ESGG Omega Ratio Rank: 83
ESGG Calmar Ratio Rank: 79
ESGG Martin Ratio Rank: 85

QWLD

QWLD Risk / Return Rank: 81
QWLD Sharpe Ratio Rank: 85
QWLD Sortino Ratio Rank: 85
QWLD Omega Ratio Rank: 83
QWLD Calmar Ratio Rank: 72
QWLD Martin Ratio Rank: 82

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.

ESGG vs. QWLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX Global ESG Select Index Fund (ESGG) 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.

	ESGG	QWLD	Difference
Sharpe ratio: Return per unit of total volatility	2.09	2.06	+0.04
Sortino ratio: Return per unit of downside risk	2.96	2.91	+0.05
Omega ratio: Gain probability vs. loss probability	1.37	1.37	0.00
Calmar ratio: Return relative to maximum drawdown	3.01	2.60	+0.42
Martin ratio: Return relative to average drawdown	12.72	11.35	+1.37

ESGG vs. QWLD - Sharpe Ratio Comparison

The current ESGG Sharpe Ratio is 2.09, which is comparable to the QWLD Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of ESGG 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.

Drawdowns

ESGG vs. QWLD - Drawdown Comparison

The maximum ESGG drawdown since its inception was -32.31%, roughly equal to the maximum QWLD drawdown of -31.89%. Use the drawdown chart below to compare losses from any high point for ESGG and QWLD.

Drawdown Indicators

	ESGG	QWLD	Difference
Max Drawdown Largest peak-to-trough decline	-32.31%	-31.89%	-0.42%
Max Drawdown (1Y) Largest decline over 1 year	-9.16%	-7.66%	-1.50%
Max Drawdown (3Y) Largest decline over 3 years	-16.71%	-12.40%	-4.31%
Max Drawdown (5Y) Largest decline over 5 years	-27.57%	-22.84%	-4.73%
Max Drawdown (10Y) Largest decline over 10 years	-32.31%	-31.89%	-0.42%
Current Drawdown Current decline from peak	-0.29%	0.00%	-0.29%
Average Drawdown Average peak-to-trough decline	-4.61%	-3.66%	-0.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.17%	1.75%	+0.42%

Volatility

ESGG vs. QWLD - Volatility Comparison

FlexShares STOXX Global ESG Select Index Fund (ESGG) has a higher volatility of 4.19% compared to SPDR MSCI World StrategicFactors ETF (QWLD) at 2.28%. This indicates that ESGG'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.

Volatility by Period

	ESGG	QWLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.19%	2.28%	+1.91%
Volatility (6M) Calculated over the trailing 6-month period	11.16%	7.74%	+3.42%
Volatility (1Y) Calculated over the trailing 1-year period	13.24%	9.70%	+3.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.19%	13.51%	+2.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.55%	15.12%	+1.43%

ESGG vs. QWLD - Expense Ratio Comparison

ESGG has a 0.42% expense ratio, which is higher than QWLD's 0.30% expense ratio.

Dividends

ESGG vs. QWLD - Dividend Comparison

ESGG's dividend yield for the trailing twelve months is around 1.28%, less than QWLD's 1.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGG FlexShares STOXX Global ESG Select Index Fund	1.28%	1.39%	1.84%	1.73%	1.83%	1.34%	1.36%	1.94%	2.12%	1.71%	0.87%	0.00%
QWLD SPDR MSCI World StrategicFactors ETF	1.78%	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

Can I hold both ESGG and QWLD in my portfolio?

ESGG and QWLD have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGG or QWLD?

ESGG has higher volatility (4.19%) compared to QWLD (2.28%). In terms of maximum drawdown, ESGG dropped -32.31% vs QWLD's -31.89%.

Which ETF is better, ESGG or QWLD?

On 10-year performance, ESGG leads with 13.94% vs 11.64% for QWLD. On fees, QWLD is cheaper at 0.30% per year. On volatility, QWLD has been the lower-risk option at 2.28%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGG or QWLD?

Over the 10-year period, ESGG has performed better with a 13.94% return vs 11.64%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGG or QWLD?

QWLD is cheaper with a 0.30% expense ratio, compared with 0.42% for ESGG.

Which ETF pays a higher dividend yield, ESGG or QWLD?

QWLD has the higher dividend yield at 1.78%, compared with 1.28% for ESGG.

What is the main difference between ESGG and QWLD?

ESGG tracks STOXX Global ESG Select KPIs Index, while QWLD tracks MSCI World Factor Mix A-Series (USD). They also come from different issuers: Northern Trust and State Street. Their fees differ too: 0.42% for ESGG and 0.30% for QWLD.

Which has better risk-adjusted returns?

ESGG currently has the higher Sharpe Ratio (2.09 vs 2.06), 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.