QWLD vs. PRBLX

Last updated Jul 14, 2026

QWLD (SPDR MSCI World StrategicFactors ETF) and PRBLX (Parnassus Core Equity Fund Investor Shares) are both funds - QWLD is a Large Cap Growth Equities fund tracking the MSCI World Factor Mix A-Series (USD), while PRBLX is a Large Cap Blend Equities fund actively managed by Parnassus. QWLD is passively managed, while PRBLX is actively managed. Over the past 10 years, QWLD returned 11.54%/yr vs 13.63%/yr for PRBLX. A 0.74 correlation means they provide meaningful diversification when combined. QWLD charges 0.30%/yr vs 0.81%/yr for PRBLX.

Performance

QWLD vs. PRBLX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI World StrategicFactors ETF (QWLD) and Parnassus Core Equity Fund Investor Shares (PRBLX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QWLD achieves a 8.08% return, which is significantly lower than PRBLX's 9.21% return. Over the past 10 years, QWLD has underperformed PRBLX with an annualized return of 11.54%, while PRBLX has yielded a comparatively higher 13.63% annualized return.

QWLD

• 1D: -0.16%
• 1M: 1.24%
• 6M: 5.87%
• YTD: 8.08%
• 1Y: 16.23%
• 3Y*: 15.44%
• 5Y*: 9.90%
• 10Y*: 11.54%

PRBLX

• 1D: 0.63%
• 1M: 2.71%
• 6M: 5.86%
• YTD: 9.21%
• 1Y: 13.07%
• 3Y*: 16.40%
• 5Y*: 10.03%
• 10Y*: 13.63%

*Multi-year figures are annualized to reflect compound growth (CAGR)

QWLD vs. PRBLX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QWLD SPDR MSCI World StrategicFactors ETF	8.08%	17.93%	14.44%	19.59%	-13.30%	21.57%	10.24%	27.59%	-7.02%	22.44%
PRBLX Parnassus Core Equity Fund Investor Shares	9.21%	11.67%	18.58%	24.97%	-18.64%	27.59%	21.21%	30.68%	-0.30%	16.63%

Correlation

The correlation between QWLD and PRBLX is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.81
Correlation (All Time) Calculated using the full available price history since Jun 5, 2014	0.74

The correlation between QWLD and PRBLX shifts across timeframes, from 0.74 (all time) to 0.90 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

QWLD vs. PRBLX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QWLD

QWLD Risk / Return Rank: 62
QWLD Sharpe Ratio Rank: 64
QWLD Sortino Ratio Rank: 66
QWLD Omega Ratio Rank: 62
QWLD Calmar Ratio Rank: 53
QWLD Martin Ratio Rank: 64

PRBLX

PRBLX Risk / Return Rank: 21
PRBLX Sharpe Ratio Rank: 23
PRBLX Sortino Ratio Rank: 22
PRBLX Omega Ratio Rank: 21
PRBLX Calmar Ratio Rank: 17
PRBLX Martin Ratio Rank: 23

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QWLD vs. PRBLX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and Parnassus Core Equity Fund Investor Shares (PRBLX). 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.

	QWLD	PRBLX	Difference
Sharpe ratio: Return per unit of total volatility	1.68	1.01	+0.67
Sortino ratio: Return per unit of downside risk	2.41	1.47	+0.93
Omega ratio: Gain probability vs. loss probability	1.30	1.18	+0.12
Calmar ratio: Return relative to maximum drawdown	2.13	1.09	+1.04
Martin ratio: Return relative to average drawdown	9.15	4.22	+4.93

QWLD vs. PRBLX - Sharpe Ratio Comparison

The current QWLD Sharpe Ratio is 1.68, which is higher than the PRBLX Sharpe Ratio of 1.01. The chart below compares the historical Sharpe Ratios of QWLD and PRBLX, 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

QWLD vs. PRBLX - Drawdown Comparison

The maximum QWLD drawdown since its inception was -31.89%, smaller than the maximum PRBLX drawdown of -42.20%. Use the drawdown chart below to compare losses from any high point for QWLD and PRBLX.

Drawdown Indicators

	QWLD	PRBLX	Difference
Max Drawdown Largest peak-to-trough decline	-31.89%	-42.20%	+10.31%
Max Drawdown (1Y) Largest decline over 1 year	-7.66%	-11.63%	+3.97%
Max Drawdown (3Y) Largest decline over 3 years	-12.40%	-16.31%	+3.91%
Max Drawdown (5Y) Largest decline over 5 years	-22.84%	-26.31%	+3.47%
Max Drawdown (10Y) Largest decline over 10 years	-31.89%	-30.09%	-1.80%
Current Drawdown Current decline from peak	-0.16%	-0.38%	+0.22%
Average Drawdown Average peak-to-trough decline	-3.68%	-4.04%	+0.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.78%	2.99%	-1.21%

Volatility

QWLD vs. PRBLX - Volatility Comparison

The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.45%, while Parnassus Core Equity Fund Investor Shares (PRBLX) has a volatility of 4.75%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than PRBLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QWLD	PRBLX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.45%	4.75%	-2.30%
Volatility (6M) Calculated over the trailing 6-month period	7.81%	10.22%	-2.41%
Volatility (1Y) Calculated over the trailing 1-year period	9.72%	12.55%	-2.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.52%	16.37%	-2.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.11%	17.25%	-2.14%

QWLD vs. PRBLX - Expense Ratio Comparison

QWLD has a 0.30% expense ratio, which is lower than PRBLX's 0.81% expense ratio.

Dividends

QWLD vs. PRBLX - Dividend Comparison

QWLD's dividend yield for the trailing twelve months is around 1.81%, less than PRBLX's 17.43% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PRBLX Parnassus Core Equity Fund Investor Shares	17.43%	19.08%	10.00%	6.01%	10.13%	7.77%	5.87%	8.02%	9.64%	7.16%	3.80%	9.62%
QWLD SPDR MSCI World StrategicFactors ETF	1.81%	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 QWLD and PRBLX in my portfolio?

QWLD and PRBLX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QWLD or PRBLX?

PRBLX has higher volatility (4.75%) compared to QWLD (2.45%). In terms of maximum drawdown, QWLD dropped -31.89% vs PRBLX's -42.20%.

Which has better risk-adjusted returns?

QWLD currently has the higher Sharpe Ratio (1.68 vs 1.01), 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.