QWLD vs. PRBLX
Compare and contrast key facts about SPDR MSCI World StrategicFactors ETF (QWLD) and Parnassus Core Equity Fund (PRBLX).
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. PRBLX is managed by Parnassus. It was launched on Aug 31, 1992.
Performance
QWLD vs. PRBLX - Performance Comparison
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QWLD vs. PRBLX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QWLD SPDR MSCI World StrategicFactors ETF | 0.53% | 17.93% | 14.44% | 19.59% | -13.30% | 21.57% | 10.24% | 27.59% | -7.02% | 22.44% |
PRBLX Parnassus Core Equity Fund | -6.17% | 11.67% | 18.58% | 24.97% | -18.64% | 27.59% | 21.21% | 30.68% | -0.30% | 16.63% |
Returns By Period
In the year-to-date period, QWLD achieves a 0.53% return, which is significantly higher than PRBLX's -6.17% return. Over the past 10 years, QWLD has underperformed PRBLX with an annualized return of 11.14%, while PRBLX has yielded a comparatively higher 12.27% annualized return.
QWLD
- 1D
- 0.61%
- 1M
- -4.33%
- YTD
- 0.53%
- 6M
- 3.21%
- 1Y
- 15.02%
- 3Y*
- 15.26%
- 5Y*
- 9.99%
- 10Y*
- 11.14%
PRBLX
- 1D
- 2.68%
- 1M
- -6.10%
- YTD
- -6.17%
- 6M
- -5.13%
- 1Y
- 6.94%
- 3Y*
- 13.02%
- 5Y*
- 8.22%
- 10Y*
- 12.27%
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QWLD vs. PRBLX - Expense Ratio Comparison
QWLD has a 0.30% expense ratio, which is lower than PRBLX's 0.82% expense ratio.
Return for Risk
QWLD vs. PRBLX — Risk / Return Rank
QWLD
PRBLX
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 (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.
| QWLD | PRBLX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.07 | 0.44 | +0.62 |
Sortino ratioReturn per unit of downside risk | 1.61 | 0.76 | +0.85 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.11 | +0.13 |
Calmar ratioReturn relative to maximum drawdown | 1.44 | 0.49 | +0.95 |
Martin ratioReturn relative to average drawdown | 7.15 | 1.81 | +5.35 |
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
| QWLD | PRBLX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.07 | 0.44 | +0.62 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.74 | 0.51 | +0.23 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.73 | 0.71 | +0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.67 | 0.69 | -0.02 |
Correlation
The correlation between QWLD and PRBLX is 0.74, 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.
Dividends
QWLD vs. PRBLX - Dividend Comparison
QWLD's dividend yield for the trailing twelve months is around 1.84%, less than PRBLX's 20.28% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QWLD SPDR MSCI World StrategicFactors ETF | 1.84% | 1.85% | 1.74% | 1.78% | 2.02% | 1.77% | 1.77% | 2.13% | 2.33% | 2.73% | 2.22% | 3.42% |
PRBLX Parnassus Core Equity Fund | 20.28% | 19.08% | 10.00% | 6.01% | 10.13% | 7.77% | 5.87% | 8.02% | 9.64% | 7.16% | 3.80% | 9.62% |
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.
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Drawdown Indicators
| QWLD | PRBLX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.89% | -42.20% | +10.31% |
Max Drawdown (1Y)Largest decline over 1 year | -10.44% | -11.63% | +1.19% |
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 DrawdownCurrent decline from peak | -4.82% | -9.24% | +4.42% |
Average DrawdownAverage peak-to-trough decline | -3.74% | -4.06% | +0.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 3.14% | -1.04% |
Volatility
QWLD vs. PRBLX - Volatility Comparison
The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 4.62%, while Parnassus Core Equity Fund (PRBLX) has a volatility of 5.11%. 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.
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Volatility by Period
| QWLD | PRBLX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.62% | 5.11% | -0.49% |
Volatility (6M)Calculated over the trailing 6-month period | 7.53% | 8.96% | -1.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.15% | 16.86% | -2.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.56% | 16.23% | -2.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.20% | 17.24% | -2.04% |