GLOF vs. SPGM

Last updated Jun 4, 2026

GLOF (iShares Global Equity Factor ETF) and SPGM (SPDR Portfolio MSCI Global Stock Market ETF) are both Global Equities funds - GLOF tracks the STOXX Global Equity Factor Index while SPGM tracks the MSCI AC World IMI. Both are passively managed. Over the past 10 years, GLOF returned 12.29%/yr vs 12.95%/yr for SPGM. Their correlation of 0.83 suggests significant overlap in exposure. GLOF charges 0.20%/yr vs 0.09%/yr for SPGM.

Performance

GLOF vs. SPGM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Global Equity Factor ETF (GLOF) and SPDR Portfolio MSCI Global Stock Market ETF (SPGM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with GLOF having a 13.19% return and SPGM slightly lower at 12.88%. Over the past 10 years, GLOF has underperformed SPGM with an annualized return of 12.29%, while SPGM has yielded a comparatively higher 12.95% annualized return.

GLOF

• 1D: -0.77%
• 1M: 5.15%
• YTD: 13.19%
• 6M: 14.18%
• 1Y: 30.42%
• 3Y*: 22.67%
• 5Y*: 11.56%
• 10Y*: 12.29%

SPGM

• 1D: -0.87%
• 1M: 4.94%
• YTD: 12.88%
• 6M: 13.62%
• 1Y: 31.70%
• 3Y*: 21.46%
• 5Y*: 11.48%
• 10Y*: 12.95%

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

GLOF vs. SPGM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GLOF iShares Global Equity Factor ETF	13.19%	23.92%	17.49%	22.38%	-16.97%	18.68%	10.00%	23.21%	-13.70%	29.86%
SPGM SPDR Portfolio MSCI Global Stock Market ETF	12.88%	23.62%	16.75%	21.34%	-17.53%	21.13%	15.28%	26.58%	-10.12%	23.26%

Correlation

The correlation between GLOF and SPGM is 0.97 - 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	0.97
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (10Y) Calculated over the trailing 10-year period	0.88
Correlation (All Time) Calculated using the full available price history since May 5, 2015	0.83

The correlation between GLOF and SPGM shifts across timeframes, from 0.83 (all time) to 0.97 (3 years), reflecting how their relationship changes across market environments.

GLOF vs. SPGM - Sectors Allocation Comparison

Sectors	GLOF	SPGM
Technology	28.8%	27.4%
Financial Services	16.7%	16.4%
Consumer Cyclical	10.7%	9.2%
Industrials	9.3%	13.1%
Communication Services	8.7%	8.5%
Healthcare	8.2%	8.2%
Consumer Defensive	5.7%	4.8%
Energy	4.4%	4.5%
Basic Materials	3.3%	3.9%
Utilities	3.1%	2.2%
Real Estate	1.1%	1.9%

Return for Risk

GLOF vs. SPGM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GLOF

GLOF Risk / Return Rank: 73
GLOF Sharpe Ratio Rank: 74
GLOF Sortino Ratio Rank: 75
GLOF Omega Ratio Rank: 71
GLOF Calmar Ratio Rank: 67
GLOF Martin Ratio Rank: 77

SPGM

SPGM Risk / Return Rank: 73
SPGM Sharpe Ratio Rank: 74
SPGM Sortino Ratio Rank: 73
SPGM Omega Ratio Rank: 74
SPGM Calmar Ratio Rank: 66
SPGM Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GLOF vs. SPGM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Global Equity Factor ETF (GLOF) and SPDR Portfolio MSCI Global Stock Market ETF (SPGM). 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.

	GLOF	SPGM	Difference
Sharpe ratio: Return per unit of total volatility	2.43	2.47	-0.04
Sortino ratio: Return per unit of downside risk	3.41	3.39	+0.03
Omega ratio: Gain probability vs. loss probability	1.43	1.45	-0.02
Calmar ratio: Return relative to maximum drawdown	3.38	3.35	+0.02
Martin ratio: Return relative to average drawdown	15.08	15.14	-0.06
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GLOF vs. SPGM - Sharpe Ratio Comparison

The current GLOF Sharpe Ratio is 2.43, which is comparable to the SPGM Sharpe Ratio of 2.47. The chart below compares the historical Sharpe Ratios of GLOF and SPGM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GLOF	SPGM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.43	2.47	-0.04
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.74	0.72	+0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.72	0.74	-0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.66	-0.06

Drawdowns

GLOF vs. SPGM - Drawdown Comparison

The maximum GLOF drawdown since its inception was -34.12%, roughly equal to the maximum SPGM drawdown of -33.97%. Use the drawdown chart below to compare losses from any high point for GLOF and SPGM.

Drawdown Indicators

	GLOF	SPGM	Difference
Max Drawdown Largest peak-to-trough decline	-34.12%	-33.97%	-0.15%
Max Drawdown (1Y) Largest decline over 1 year	-9.05%	-9.50%	+0.45%
Max Drawdown (3Y) Largest decline over 3 years	-16.12%	-16.90%	+0.78%
Max Drawdown (5Y) Largest decline over 5 years	-25.15%	-25.93%	+0.78%
Max Drawdown (10Y) Largest decline over 10 years	-34.12%	-33.97%	-0.15%
Current Drawdown Current decline from peak	-0.77%	-0.87%	+0.10%
Average Drawdown Average peak-to-trough decline	-6.12%	-4.81%	-1.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.02%	2.10%	-0.08%

Volatility

GLOF vs. SPGM - Volatility Comparison

The current volatility for iShares Global Equity Factor ETF (GLOF) is 3.65%, while SPDR Portfolio MSCI Global Stock Market ETF (SPGM) has a volatility of 3.92%. This indicates that GLOF experiences smaller price fluctuations and is considered to be less risky than SPGM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GLOF	SPGM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.65%	3.92%	-0.27%
Volatility (6M) Calculated over the trailing 6-month period	10.10%	10.35%	-0.25%
Volatility (1Y) Calculated over the trailing 1-year period	12.57%	12.88%	-0.31%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.69%	16.03%	-0.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.17%	17.57%	-0.40%

GLOF vs. SPGM - Expense Ratio Comparison

GLOF has a 0.20% expense ratio, which is higher than SPGM's 0.09% 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. SPGM - Dividend Comparison

GLOF's dividend yield for the trailing twelve months is around 1.50%, less than SPGM's 1.79% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GLOF iShares Global Equity Factor ETF	1.50%	1.70%	2.59%	2.51%	2.53%	1.90%	1.73%	2.41%	2.03%	1.94%	1.94%	0.92%
SPGM SPDR Portfolio MSCI Global Stock Market ETF	1.79%	1.89%	1.98%	2.09%	2.37%	1.94%	1.45%	2.46%	1.89%	2.29%	1.87%	3.70%

Frequently Asked Questions

Can I hold both GLOF and SPGM in my portfolio?

With a correlation of 0.97, GLOF and SPGM 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.

Which is riskier, GLOF or SPGM?

SPGM has higher volatility (3.92%) compared to GLOF (3.65%). In terms of maximum drawdown, GLOF dropped -34.12% vs SPGM's -33.97%.

Which ETF is better, GLOF or SPGM?

On 10-year performance, SPGM leads with 12.95% vs 12.29% for GLOF. On fees, SPGM is cheaper at 0.09% per year. On volatility, GLOF has been the lower-risk option at 3.65%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, GLOF or SPGM?

Over the 10-year period, SPGM has performed better with a 12.95% return vs 12.29%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, GLOF or SPGM?

SPGM is cheaper with a 0.09% expense ratio, compared with 0.20% for GLOF.

Which ETF pays a higher dividend yield, GLOF or SPGM?

SPGM has the higher dividend yield at 1.79%, compared with 1.50% for GLOF.

What is the main difference between GLOF and SPGM?

GLOF tracks STOXX Global Equity Factor Index, while SPGM tracks MSCI AC World IMI. They also come from different issuers: iShares and State Street. Their fees differ too: 0.20% for GLOF and 0.09% for SPGM.

Which has better risk-adjusted returns?

SPGM currently has the higher Sharpe Ratio (2.47 vs 2.43), 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.