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NZAC vs. QWLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NZAC 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.


-0.50.00.51.00.8

Performance

NZAC vs. QWLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI ACWI Climate Paris Aligned ETF (NZAC) and SPDR MSCI World StrategicFactors ETF (QWLD). The values are adjusted to include any dividend payments, if applicable.

110.00%120.00%130.00%140.00%150.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
139.16%
152.99%
NZAC
QWLD

Key characteristics

Sharpe Ratio

NZAC:

1.62

QWLD:

1.74

Sortino Ratio

NZAC:

2.22

QWLD:

2.43

Omega Ratio

NZAC:

1.29

QWLD:

1.31

Calmar Ratio

NZAC:

2.67

QWLD:

3.04

Martin Ratio

NZAC:

11.07

QWLD:

10.68

Ulcer Index

NZAC:

1.87%

QWLD:

1.57%

Daily Std Dev

NZAC:

12.75%

QWLD:

9.63%

Max Drawdown

NZAC:

-33.72%

QWLD:

-31.89%

Current Drawdown

NZAC:

-3.09%

QWLD:

-4.15%

Returns By Period

In the year-to-date period, NZAC achieves a 17.99% return, which is significantly higher than QWLD's 14.49% return. Over the past 10 years, NZAC has underperformed QWLD with an annualized return of 9.28%, while QWLD has yielded a comparatively higher 12.26% annualized return.


NZAC

YTD

17.99%

1M

0.43%

6M

6.82%

1Y

19.23%

5Y*

10.20%

10Y*

9.28%

QWLD

YTD

14.49%

1M

-1.62%

6M

3.97%

1Y

15.58%

5Y*

9.80%

10Y*

12.26%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


NZAC vs. QWLD - Expense Ratio Comparison

NZAC has a 0.12% expense ratio, which is lower than QWLD's 0.30% expense ratio.


QWLD
SPDR MSCI World StrategicFactors ETF
Expense ratio chart for QWLD: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for NZAC: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

NZAC vs. QWLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI ACWI Climate Paris Aligned ETF (NZAC) 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.


Sharpe ratio
The chart of Sharpe ratio for NZAC, currently valued at 1.62, compared to the broader market0.002.004.001.621.74
The chart of Sortino ratio for NZAC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.008.0010.002.222.43
The chart of Omega ratio for NZAC, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.291.31
The chart of Calmar ratio for NZAC, currently valued at 2.67, compared to the broader market0.005.0010.0015.002.673.04
The chart of Martin ratio for NZAC, currently valued at 11.07, compared to the broader market0.0020.0040.0060.0080.00100.0011.0710.68
NZAC
QWLD

The current NZAC Sharpe Ratio is 1.62, which is comparable to the QWLD Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of NZAC and QWLD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.62
1.74
NZAC
QWLD

Dividends

NZAC vs. QWLD - Dividend Comparison

NZAC's dividend yield for the trailing twelve months is around 1.86%, more than QWLD's 1.74% yield.


TTM2023202220212020201920182017201620152014
NZAC
SPDR MSCI ACWI Climate Paris Aligned ETF
1.86%1.65%1.81%1.62%1.59%2.17%2.53%2.20%2.00%2.40%0.18%
QWLD
SPDR MSCI World StrategicFactors ETF
1.74%1.78%2.02%1.77%1.77%2.13%2.33%2.73%2.22%3.42%1.02%

Drawdowns

NZAC vs. QWLD - Drawdown Comparison

The maximum NZAC drawdown since its inception was -33.72%, which is greater than QWLD's maximum drawdown of -31.89%. Use the drawdown chart below to compare losses from any high point for NZAC and QWLD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.09%
-4.15%
NZAC
QWLD

Volatility

NZAC vs. QWLD - Volatility Comparison

SPDR MSCI ACWI Climate Paris Aligned ETF (NZAC) has a higher volatility of 3.89% compared to SPDR MSCI World StrategicFactors ETF (QWLD) at 2.86%. This indicates that NZAC'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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.89%
2.86%
NZAC
QWLD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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