GLOF vs. QWLD
Compare and contrast key facts about iShares Global Equity Factor ETF (GLOF) and SPDR MSCI World StrategicFactors ETF (QWLD).
GLOF and QWLD are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GLOF is a passively managed fund by iShares that tracks the performance of the STOXX Global Equity Factor Index. It was launched on Apr 28, 2005. QWLD is a passively managed fund by State Street that tracks the performance of the MSCI World Factor Mix A-Series (USD). It was launched on Jun 4, 2014. Both GLOF and QWLD 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: GLOF or QWLD.
Key characteristics
| GLOF | QWLD | |
|---|---|---|
| YTD Return | 18.70% | 16.94% |
| 1Y Return | 26.80% | 23.47% |
| 3Y Return (Ann) | 7.02% | 7.09% |
| 5Y Return (Ann) | 10.36% | 10.87% |
| Sharpe Ratio | 2.31 | 2.49 |
| Sortino Ratio | 3.11 | 3.51 |
| Omega Ratio | 1.41 | 1.45 |
| Calmar Ratio | 3.08 | 4.24 |
| Martin Ratio | 14.19 | 16.22 |
| Ulcer Index | 1.89% | 1.44% |
| Daily Std Dev | 11.63% | 9.42% |
| Max Drawdown | -34.12% | -31.89% |
| Current Drawdown | -1.74% | -1.75% |
Correlation
The correlation between GLOF and QWLD is 0.77, 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
GLOF vs. QWLD - Performance Comparison
In the year-to-date period, GLOF achieves a 18.70% return, which is significantly higher than QWLD's 16.94% 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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GLOF vs. QWLD - Expense Ratio Comparison
GLOF has a 0.20% expense ratio, which is lower than QWLD's 0.30% expense ratio.
Risk-Adjusted Performance
GLOF vs. QWLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Global Equity Factor ETF (GLOF) 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.
Dividends
GLOF vs. QWLD - Dividend Comparison
GLOF's dividend yield for the trailing twelve months is around 2.27%, more than QWLD's 1.49% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 2.27% | 2.51% | 2.53% | 1.90% | 1.73% | 2.41% | 2.03% | 1.94% | 1.94% | 0.92% | 0.00% |
QWLD SPDR MSCI World StrategicFactors ETF | 1.49% | 1.78% | 2.02% | 1.77% | 1.77% | 2.13% | 2.33% | 2.73% | 2.22% | 3.42% | 1.02% |
Drawdowns
GLOF vs. QWLD - Drawdown Comparison
The maximum GLOF drawdown since its inception was -34.12%, which is greater than QWLD's maximum drawdown of -31.89%. Use the drawdown chart below to compare losses from any high point for GLOF and QWLD. For additional features, visit the drawdowns tool.
Volatility
GLOF vs. QWLD - Volatility Comparison
iShares Global Equity Factor ETF (GLOF) has a higher volatility of 2.95% compared to SPDR MSCI World StrategicFactors ETF (QWLD) at 2.50%. This indicates that GLOF'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.