QDVB.DE vs. ^GSPC
QDVB.DE (iShares Edge MSCI USA Quality Factor UCITS ETF) is Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality, while ^GSPC (S&P 500 Index) is an index. Over the past 5 years, QDVB.DE returned 12.96%/yr vs 13.43%/yr for ^GSPC. A 0.59 correlation means they provide meaningful diversification when combined.
Performance
QDVB.DE vs. ^GSPC - Performance Comparison
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Different Trading Currencies
QDVB.DE is traded in EUR, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, QDVB.DE achieves a 9.84% return, which is significantly lower than ^GSPC's 12.06% return.
QDVB.DE
- 1D
- 0.72%
- 1M
- 5.60%
- YTD
- 9.84%
- 6M
- 9.96%
- 1Y
- 19.74%
- 3Y*
- 16.51%
- 5Y*
- 12.96%
- 10Y*
- —
^GSPC
- 1D
- 0.27%
- 1M
- 5.17%
- YTD
- 12.06%
- 6M
- 10.90%
- 1Y
- 24.89%
- 3Y*
- 17.85%
- 5Y*
- 13.43%
- 10Y*
- 13.40%
QDVB.DE vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QDVB.DE iShares Edge MSCI USA Quality Factor UCITS ETF | 9.84% | 0.36% | 29.35% | 26.56% | -16.50% | 39.05% | 5.36% | 37.25% | -2.65% | 7.18% |
^GSPC S&P 500 Index | 12.06% | 2.58% | 31.45% | 20.51% | -14.45% | 36.38% | 6.68% | 31.79% | -1.84% | 4.74% |
Correlation
The correlation between QDVB.DE and ^GSPC is 0.62, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.62 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.58 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Oct 25, 2016 | 0.59 |
The correlation between QDVB.DE and ^GSPC has been stable across timeframes, ranging from 0.57 to 0.62 - a consistent structural relationship.
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Return for Risk
QDVB.DE vs. ^GSPC — Risk / Return Rank
QDVB.DE
^GSPC
QDVB.DE vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Quality Factor UCITS ETF (QDVB.DE) and S&P 500 Index (^GSPC). 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.
| QDVB.DE | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.26 | ||
| Sortino ratioReturn per unit of downside risk | -0.11 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.37 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.92 | 3.30 | -0.39 |
| Martin ratioReturn relative to average drawdown | 10.33 | 12.34 | -2.01 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| QDVB.DE | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.77 | 2.04 | -0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.83 | 0.80 | +0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.72 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.83 | 0.51 | +0.32 |
Drawdowns
QDVB.DE vs. ^GSPC - Drawdown Comparison
The maximum QDVB.DE drawdown since its inception was -33.26%, smaller than the maximum ^GSPC drawdown of -51.62%. Use the drawdown chart below to compare losses from any high point for QDVB.DE and ^GSPC.
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Drawdown Indicators
| QDVB.DE | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.26% | -51.62% | +18.36% |
Max Drawdown (1Y)Largest decline over 1 year | -6.74% | -7.57% | +0.83% |
Max Drawdown (3Y)Largest decline over 3 years | -22.66% | -23.99% | +1.33% |
Max Drawdown (5Y)Largest decline over 5 years | -22.66% | -23.99% | +1.33% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.42% | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.20% | +0.20% |
Average DrawdownAverage peak-to-trough decline | -4.97% | -9.08% | +4.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.91% | 2.02% | -0.11% |
Volatility
QDVB.DE vs. ^GSPC - Volatility Comparison
iShares Edge MSCI USA Quality Factor UCITS ETF (QDVB.DE) has a higher volatility of 2.46% compared to S&P 500 Index (^GSPC) at 2.24%. This indicates that QDVB.DE's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QDVB.DE | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.46% | 2.24% | +0.22% |
Volatility (6M)Calculated over the trailing 6-month period | 7.27% | 8.62% | -1.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.09% | 12.29% | -1.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.53% | 16.79% | -1.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.44% | 18.59% | -2.15% |
Frequently Asked Questions
QDVB.DE and ^GSPC have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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