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

Performance

QWLD vs. DGT - Performance Comparison

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

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
7.06%
6.70%
QWLD
DGT

Returns By Period

The year-to-date returns for both stocks are quite close, with QWLD having a 17.14% return and DGT slightly lower at 16.36%. Over the past 10 years, QWLD has outperformed DGT with an annualized return of 12.80%, while DGT has yielded a comparatively lower 9.72% annualized return.


QWLD

YTD

17.14%

1M

-0.47%

6M

7.06%

1Y

22.20%

5Y (annualized)

10.96%

10Y (annualized)

12.80%

DGT

YTD

16.36%

1M

-0.84%

6M

6.70%

1Y

22.71%

5Y (annualized)

12.35%

10Y (annualized)

9.72%

Key characteristics


QWLDDGT
Sharpe Ratio2.382.15
Sortino Ratio3.352.89
Omega Ratio1.431.38
Calmar Ratio4.093.28
Martin Ratio15.2714.03
Ulcer Index1.48%1.65%
Daily Std Dev9.48%10.74%
Max Drawdown-31.89%-55.36%
Current Drawdown-1.58%-1.82%

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QWLD vs. DGT - Expense Ratio Comparison

QWLD has a 0.30% expense ratio, which is lower than DGT's 0.50% expense ratio.


DGT
SPDR Global Dow ETF
Expense ratio chart for DGT: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
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%

Correlation

-0.50.00.51.00.7

The correlation between QWLD and DGT is 0.72, 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.

Risk-Adjusted Performance

QWLD vs. DGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and SPDR Global Dow ETF (DGT). 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 QWLD, currently valued at 2.38, compared to the broader market0.002.004.002.382.15
The chart of Sortino ratio for QWLD, currently valued at 3.35, compared to the broader market-2.000.002.004.006.008.0010.003.352.89
The chart of Omega ratio for QWLD, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.38
The chart of Calmar ratio for QWLD, currently valued at 4.09, compared to the broader market0.005.0010.0015.004.093.28
The chart of Martin ratio for QWLD, currently valued at 15.27, compared to the broader market0.0020.0040.0060.0080.00100.0015.2714.03
QWLD
DGT

The current QWLD Sharpe Ratio is 2.38, which is comparable to the DGT Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of QWLD and DGT, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.38
2.15
QWLD
DGT

Dividends

QWLD vs. DGT - Dividend Comparison

QWLD's dividend yield for the trailing twelve months is around 1.49%, less than DGT's 2.29% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%
DGT
SPDR Global Dow ETF
2.29%2.53%3.15%2.66%1.97%2.76%2.50%1.93%2.31%2.37%2.67%2.18%

Drawdowns

QWLD vs. DGT - Drawdown Comparison

The maximum QWLD drawdown since its inception was -31.89%, smaller than the maximum DGT drawdown of -55.36%. Use the drawdown chart below to compare losses from any high point for QWLD and DGT. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.58%
-1.82%
QWLD
DGT

Volatility

QWLD vs. DGT - Volatility Comparison

The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.57%, while SPDR Global Dow ETF (DGT) has a volatility of 2.83%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than DGT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.57%
2.83%
QWLD
DGT