QWLD vs. IOO
Compare and contrast key facts about SPDR MSCI World StrategicFactors ETF (QWLD) and iShares Global 100 ETF (IOO).
QWLD and IOO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QWLD is a passively managed fund by State Street that tracks the performance of the MSCI World Factor Mix A-Series (USD). It was launched on Jun 4, 2014. IOO is a passively managed fund by iShares that tracks the performance of the S&P Global 100 Index. It was launched on Dec 5, 2000. Both QWLD and IOO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QWLD or IOO.
Key characteristics
| QWLD | IOO | |
|---|---|---|
| YTD Return | 18.46% | 25.71% |
| 1Y Return | 27.35% | 33.18% |
| 3Y Return (Ann) | 7.54% | 11.32% |
| 5Y Return (Ann) | 11.28% | 16.09% |
| 10Y Return (Ann) | 13.06% | 12.29% |
| Sharpe Ratio | 3.00 | 2.57 |
| Sortino Ratio | 4.22 | 3.39 |
| Omega Ratio | 1.55 | 1.47 |
| Calmar Ratio | 5.19 | 3.17 |
| Martin Ratio | 19.97 | 13.17 |
| Ulcer Index | 1.44% | 2.67% |
| Daily Std Dev | 9.53% | 13.63% |
| Max Drawdown | -31.89% | -55.85% |
| Current Drawdown | -0.48% | -1.05% |
Correlation
The correlation between QWLD and IOO 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.
Performance
QWLD vs. IOO - Performance Comparison
In the year-to-date period, QWLD achieves a 18.46% return, which is significantly lower than IOO's 25.71% return. Over the past 10 years, QWLD has outperformed IOO with an annualized return of 13.06%, while IOO has yielded a comparatively lower 12.29% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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QWLD vs. IOO - Expense Ratio Comparison
QWLD has a 0.30% expense ratio, which is lower than IOO's 0.40% expense ratio.
Risk-Adjusted Performance
QWLD vs. IOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and iShares Global 100 ETF (IOO). 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.
Dividends
QWLD vs. IOO - Dividend Comparison
QWLD's dividend yield for the trailing twelve months is around 1.47%, more than IOO's 1.08% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QWLD SPDR MSCI World StrategicFactors ETF | 1.47% | 1.78% | 2.02% | 1.77% | 1.77% | 2.13% | 2.33% | 2.73% | 2.22% | 3.42% | 1.02% | 0.00% |
IOO iShares Global 100 ETF | 1.08% | 1.49% | 2.00% | 1.53% | 1.49% | 2.02% | 2.54% | 2.23% | 2.75% | 2.89% | 3.52% | 2.37% |
Drawdowns
QWLD vs. IOO - Drawdown Comparison
The maximum QWLD drawdown since its inception was -31.89%, smaller than the maximum IOO drawdown of -55.85%. Use the drawdown chart below to compare losses from any high point for QWLD and IOO. For additional features, visit the drawdowns tool.
Volatility
QWLD vs. IOO - Volatility Comparison
The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.64%, while iShares Global 100 ETF (IOO) has a volatility of 4.20%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than IOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.