GLOF vs. NZAC
GLOF (iShares Global Equity Factor ETF) and NZAC (SPDR MSCI ACWI Climate Paris Aligned ETF) are both Global Equities funds - GLOF tracks the STOXX Global Equity Factor Index while NZAC tracks the MSCI ACWI Climate Paris Aligned Index. Both are passively managed. Over the past 10 years, GLOF returned 12.32%/yr vs 12.17%/yr for NZAC. Their correlation of 0.85 suggests significant overlap in exposure. GLOF charges 0.20%/yr vs 0.12%/yr for NZAC.
Performance
GLOF vs. NZAC - Performance Comparison
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Returns By Period
In the year-to-date period, GLOF achieves a 10.82% return, which is significantly higher than NZAC's 6.02% return. Both investments have delivered pretty close results over the past 10 years, with GLOF having a 12.32% annualized return and NZAC not far behind at 12.17%.
GLOF
- 1D
- -2.29%
- 1M
- -0.01%
- YTD
- 10.82%
- 6M
- 10.20%
- 1Y
- 26.49%
- 3Y*
- 21.52%
- 5Y*
- 11.36%
- 10Y*
- 12.32%
NZAC
- 1D
- -1.70%
- 1M
- -1.26%
- YTD
- 6.02%
- 6M
- 5.37%
- 1Y
- 20.66%
- 3Y*
- 17.81%
- 5Y*
- 9.25%
- 10Y*
- 12.17%
GLOF vs. NZAC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 10.82% | 23.92% | 17.49% | 22.38% | -16.97% | 18.68% | 10.00% | 23.21% | -13.70% | 29.86% |
NZAC SPDR MSCI ACWI Climate Paris Aligned ETF | 6.02% | 20.55% | 16.67% | 23.22% | -19.77% | 18.35% | 17.21% | 28.24% | -9.80% | 22.93% |
Correlation
The correlation between GLOF and NZAC is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.96 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.89 |
Correlation (All Time) Calculated using the full available price history since May 4, 2015 | 0.85 |
The correlation between GLOF and NZAC shifts across timeframes, from 0.85 (all time) to 0.96 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
GLOF vs. NZAC — Risk / Return Rank
GLOF
NZAC
GLOF vs. NZAC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Global Equity Factor ETF (GLOF) and SPDR MSCI ACWI Climate Paris Aligned ETF (NZAC). 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.
| GLOF | NZAC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.48 | ||
| Sortino ratioReturn per unit of downside risk | +0.62 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.27 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.94 | 2.05 | +0.89 |
| Martin ratioReturn relative to average drawdown | 12.72 | 8.63 | +4.10 |
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Drawdowns
GLOF vs. NZAC - Drawdown Comparison
The maximum GLOF drawdown since its inception was -34.12%, roughly equal to the maximum NZAC drawdown of -33.72%. Use the drawdown chart below to compare losses from any high point for GLOF and NZAC.
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Drawdown Indicators
| GLOF | NZAC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.12% | -33.72% | -0.40% |
Max Drawdown (1Y)Largest decline over 1 year | -9.05% | -10.10% | +1.05% |
Max Drawdown (3Y)Largest decline over 3 years | -16.12% | -16.19% | +0.07% |
Max Drawdown (5Y)Largest decline over 5 years | -25.15% | -28.31% | +3.16% |
Max Drawdown (10Y)Largest decline over 10 years | -34.12% | -33.72% | -0.40% |
Current DrawdownCurrent decline from peak | -2.85% | -3.38% | +0.53% |
Average DrawdownAverage peak-to-trough decline | -6.09% | -5.31% | -0.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.09% | 2.40% | -0.31% |
Volatility
GLOF vs. NZAC - Volatility Comparison
iShares Global Equity Factor ETF (GLOF) and SPDR MSCI ACWI Climate Paris Aligned ETF (NZAC) have volatilities of 5.42% and 5.41%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GLOF | NZAC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.42% | 5.41% | +0.01% |
Volatility (6M)Calculated over the trailing 6-month period | 11.10% | 11.34% | -0.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.37% | 13.73% | -0.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.81% | 16.94% | -1.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.12% | 17.13% | -0.01% |
GLOF vs. NZAC - Expense Ratio Comparison
GLOF has a 0.20% expense ratio, which is higher than NZAC's 0.12% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GLOF vs. NZAC - Dividend Comparison
GLOF's dividend yield for the trailing twelve months is around 1.61%, less than NZAC's 2.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 1.61% | 1.70% | 2.59% | 2.51% | 2.53% | 1.90% | 1.73% | 2.41% | 2.03% | 1.94% | 1.94% | 0.92% |
NZAC SPDR MSCI ACWI Climate Paris Aligned ETF | 2.09% | 1.90% | 1.88% | 1.65% | 1.81% | 1.62% | 1.59% | 2.17% | 2.53% | 2.20% | 2.00% | 2.40% |
Frequently Asked Questions
With a correlation of 0.96, GLOF and NZAC move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
GLOF has higher volatility (5.42%) compared to NZAC (5.41%). In terms of maximum drawdown, GLOF dropped -34.12% vs NZAC's -33.72%.
On 10-year performance, GLOF leads with 12.32% vs 12.17% for NZAC. On fees, NZAC is cheaper at 0.12% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GLOF has performed better with a 12.32% return vs 12.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
NZAC is cheaper with a 0.12% expense ratio, compared with 0.20% for GLOF.
NZAC has the higher dividend yield at 2.09%, compared with 1.61% for GLOF.
GLOF tracks STOXX Global Equity Factor Index, while NZAC tracks MSCI ACWI Climate Paris Aligned Index. They also come from different issuers: iShares and State Street. Their fees differ too: 0.20% for GLOF and 0.12% for NZAC.
GLOF currently has the higher Sharpe Ratio (1.99 vs 1.52), 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.
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