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

Key characteristics


QWLDSPGM
YTD Return18.43%19.52%
1Y Return28.63%32.31%
3Y Return (Ann)7.55%6.04%
5Y Return (Ann)11.27%11.69%
10Y Return (Ann)13.04%9.78%
Sharpe Ratio2.922.65
Sortino Ratio4.123.61
Omega Ratio1.531.48
Calmar Ratio5.073.06
Martin Ratio19.4917.11
Ulcer Index1.44%1.85%
Daily Std Dev9.58%11.91%
Max Drawdown-31.89%-33.96%
Current Drawdown-0.50%-0.26%

Correlation

-0.50.00.51.00.7

The correlation between QWLD and SPGM 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. SPGM - Performance Comparison

In the year-to-date period, QWLD achieves a 18.43% return, which is significantly lower than SPGM's 19.52% return. Over the past 10 years, QWLD has outperformed SPGM with an annualized return of 13.04%, while SPGM has yielded a comparatively lower 9.78% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.18%
10.72%
QWLD
SPGM

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QWLD vs. SPGM - Expense Ratio Comparison

QWLD has a 0.30% expense ratio, which is higher than SPGM's 0.09% expense ratio.


QWLD
SPDR MSCI World StrategicFactors ETF
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%
Expense ratio chart for SPGM: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

QWLD vs. SPGM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and SPDR Portfolio MSCI Global Stock Market ETF (SPGM). 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
Sharpe ratio
The chart of Sharpe ratio for QWLD, currently valued at 2.92, compared to the broader market-2.000.002.004.006.002.92
Sortino ratio
The chart of Sortino ratio for QWLD, currently valued at 4.12, compared to the broader market-2.000.002.004.006.008.0010.0012.004.12
Omega ratio
The chart of Omega ratio for QWLD, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for QWLD, currently valued at 5.07, compared to the broader market0.005.0010.0015.005.07
Martin ratio
The chart of Martin ratio for QWLD, currently valued at 19.49, compared to the broader market0.0020.0040.0060.0080.00100.0019.49
SPGM
Sharpe ratio
The chart of Sharpe ratio for SPGM, currently valued at 2.65, compared to the broader market-2.000.002.004.006.002.65
Sortino ratio
The chart of Sortino ratio for SPGM, currently valued at 3.61, compared to the broader market-2.000.002.004.006.008.0010.0012.003.61
Omega ratio
The chart of Omega ratio for SPGM, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for SPGM, currently valued at 3.06, compared to the broader market0.005.0010.0015.003.06
Martin ratio
The chart of Martin ratio for SPGM, currently valued at 17.11, compared to the broader market0.0020.0040.0060.0080.00100.0017.11

QWLD vs. SPGM - Sharpe Ratio Comparison

The current QWLD Sharpe Ratio is 2.92, which is comparable to the SPGM Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of QWLD and SPGM, 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
2.92
2.65
QWLD
SPGM

Dividends

QWLD vs. SPGM - Dividend Comparison

QWLD's dividend yield for the trailing twelve months is around 1.47%, less than SPGM's 1.70% yield.


TTM20232022202120202019201820172016201520142013
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%
SPGM
SPDR Portfolio MSCI Global Stock Market ETF
1.70%2.09%2.37%1.94%1.45%2.46%1.89%2.29%1.87%3.70%2.18%1.74%

Drawdowns

QWLD vs. SPGM - Drawdown Comparison

The maximum QWLD drawdown since its inception was -31.89%, smaller than the maximum SPGM drawdown of -33.96%. Use the drawdown chart below to compare losses from any high point for QWLD and SPGM. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.50%
-0.26%
QWLD
SPGM

Volatility

QWLD vs. SPGM - Volatility Comparison

The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.72%, while SPDR Portfolio MSCI Global Stock Market ETF (SPGM) has a volatility of 3.22%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than SPGM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.72%
3.22%
QWLD
SPGM