MGK vs. QWLD

Last updated Aug 4, 2026

MGK (Vanguard Mega Cap Growth ETF) and QWLD (SPDR MSCI World StrategicFactors ETF) are both Large Cap Growth Equities funds - MGK tracks the CRSP US Mega Cap Growth Index while QWLD tracks the MSCI World Factor Mix A-Series (USD). Both are passively managed. Over the past 10 years, MGK returned 18.41%/yr vs 11.64%/yr for QWLD. Their 0.67 correlation means they have sometimes moved together and sometimes differently. MGK charges 0.05%/yr vs 0.30%/yr for QWLD.

Performance

MGK vs. QWLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Mega Cap Growth ETF (MGK) 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, MGK achieves a 7.10% return, which is significantly lower than QWLD's 10.03% return. Over the past 10 years, MGK has outperformed QWLD with an annualized return of 18.41%, while QWLD has yielded a comparatively lower 11.64% annualized return.

MGK

• 1D: 2.22%
• 1M: 1.43%
• 6M: 8.75%
• YTD: 7.10%
• 1Y: 19.10%
• 3Y*: 23.88%
• 5Y*: 13.45%
• 10Y*: 18.41%
• ALL TIME*: 13.49%

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)
MGK Vanguard Mega Cap Growth ETF	$120.45M	$120.74M	$143.14M
QWLD SPDR MSCI World StrategicFactors ETF	$247.86K	$289.30K	$1.06M

MGK vs. QWLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MGK Vanguard Mega Cap Growth ETF	7.10%	20.67%	32.94%	51.67%	-33.59%	28.58%	41.01%	37.38%	-2.91%	29.49%
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 MGK and QWLD is 0.65, 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.	0.65
Correlation (3Y) Balances recent behavior with more history.	0.69
Correlation (5Y) Shows whether the relationship held over a longer period.	0.79
Correlation (10Y) Provides a long-term view across more market conditions.	0.73
Correlation (All Time) Calculated using the full available price history since Jun 5, 2014	0.67

The correlation between MGK and QWLD shifts across timeframes, from 0.65 (1 year) to 0.79 (5 years), reflecting how their relationship changes across market environments.

MGK vs. QWLD - Sectors Allocation Comparison

Sectors	MGK	QWLD
Technology	58.7%	24.9%
Communication Services	16.4%	9.5%
Consumer Cyclical	11.3%	6.3%
Healthcare	4.9%	13.2%
Financial Services	4.0%	16.5%
Industrials	2.7%	10.9%
Real Estate	1.2%	1.0%
Utilities	1.0%	3.8%
Basic Materials	0.4%	2.5%
Consumer Defensive	0.4%	8.1%
Energy	-	3.4%

Return for Risk

MGK vs. QWLD — Risk / Return Rank

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

MGK

MGK Risk / Return Rank: 38
MGK Sharpe Ratio Rank: 42
MGK Sortino Ratio Rank: 41
MGK Omega Ratio Rank: 39
MGK Calmar Ratio Rank: 34
MGK Martin Ratio Rank: 36

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.

MGK vs. QWLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Mega Cap Growth ETF (MGK) 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.

	MGK	QWLD	Difference
Sharpe ratio: Return per unit of total volatility	1.05	2.06	-1.00
Sortino ratio: Return per unit of downside risk	1.54	2.91	-1.37
Omega ratio: Gain probability vs. loss probability	1.19	1.37	-0.18
Calmar ratio: Return relative to maximum drawdown	1.14	2.60	-1.46
Martin ratio: Return relative to average drawdown	3.54	11.35	-7.81

MGK vs. QWLD - Sharpe Ratio Comparison

The current MGK Sharpe Ratio is 1.05, which is lower than the QWLD Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of MGK 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

MGK vs. QWLD - Drawdown Comparison

The maximum MGK drawdown since its inception was -48.43%, which is greater than QWLD's maximum drawdown of -31.89%. Use the drawdown chart below to compare losses from any high point for MGK and QWLD.

Drawdown Indicators

	MGK	QWLD	Difference
Max Drawdown Largest peak-to-trough decline	-48.43%	-31.89%	-16.54%
Max Drawdown (1Y) Largest decline over 1 year	-16.85%	-7.66%	-9.19%
Max Drawdown (3Y) Largest decline over 3 years	-23.36%	-12.40%	-10.96%
Max Drawdown (5Y) Largest decline over 5 years	-36.01%	-22.84%	-13.17%
Max Drawdown (10Y) Largest decline over 10 years	-36.01%	-31.89%	-4.12%
Current Drawdown Current decline from peak	-4.04%	0.00%	-4.04%
Average Drawdown Average peak-to-trough decline	-7.57%	-3.66%	-3.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.40%	1.75%	+3.65%

Volatility

MGK vs. QWLD - Volatility Comparison

Vanguard Mega Cap Growth ETF (MGK) has a higher volatility of 6.24% compared to SPDR MSCI World StrategicFactors ETF (QWLD) at 2.28%. This indicates that MGK'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

	MGK	QWLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.24%	2.28%	+3.96%
Volatility (6M) Calculated over the trailing 6-month period	14.80%	7.74%	+7.06%
Volatility (1Y) Calculated over the trailing 1-year period	18.27%	9.70%	+8.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.96%	13.51%	+9.45%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.03%	15.12%	+6.91%

MGK vs. QWLD - Expense Ratio Comparison

MGK has a 0.05% expense ratio, which is lower than QWLD's 0.30% expense ratio.

Dividends

MGK vs. QWLD - Dividend Comparison

MGK's dividend yield for the trailing twelve months is around 0.33%, less than QWLD's 1.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MGK Vanguard Mega Cap Growth ETF	0.33%	0.35%	0.43%	0.50%	0.70%	0.41%	0.65%	0.85%	1.12%	1.23%	1.53%	1.43%
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 MGK and QWLD in my portfolio?

MGK and QWLD have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MGK or QWLD?

MGK has higher volatility (6.24%) compared to QWLD (2.28%). In terms of maximum drawdown, MGK dropped -48.43% vs QWLD's -31.89%.

Which ETF is better, MGK or QWLD?

On 10-year performance, MGK leads with 18.41% vs 11.64% for QWLD. On fees, MGK is cheaper at 0.05% 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, MGK or QWLD?

Over the 10-year period, MGK has performed better with a 18.41% return vs 11.64%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MGK or QWLD?

MGK is cheaper with a 0.05% expense ratio, compared with 0.30% for QWLD.

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

QWLD has the higher dividend yield at 1.78%, compared with 0.33% for MGK.

What is the main difference between MGK and QWLD?

MGK tracks CRSP US Mega Cap Growth Index, while QWLD tracks MSCI World Factor Mix A-Series (USD). They also come from different issuers: Vanguard and State Street. Their fees differ too: 0.05% for MGK and 0.30% for QWLD.

Which has better risk-adjusted returns?

QWLD currently has the higher Sharpe Ratio (2.06 vs 1.05), 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.