QWLD vs. SPYM

Last updated Jun 4, 2026

QWLD (SPDR MSCI World StrategicFactors ETF) and SPYM (State Street SPDR Portfolio S&P 500 ETF) are both exchange-traded funds - QWLD is a Large Cap Growth Equities fund tracking the MSCI World Factor Mix A-Series (USD), while SPYM is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, QWLD returned 11.68%/yr vs 15.62%/yr for SPYM. A 0.75 correlation means they provide meaningful diversification when combined. QWLD charges 0.30%/yr vs 0.02%/yr for SPYM.

Performance

QWLD vs. SPYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI World StrategicFactors ETF (QWLD) and State Street SPDR Portfolio S&P 500 ETF (SPYM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QWLD achieves a 6.55% return, which is significantly lower than SPYM's 10.98% return. Over the past 10 years, QWLD has underperformed SPYM with an annualized return of 11.68%, while SPYM has yielded a comparatively higher 15.62% annualized return.

QWLD

• 1D: -0.56%
• 1M: 2.55%
• YTD: 6.55%
• 6M: 7.32%
• 1Y: 17.09%
• 3Y*: 16.35%
• 5Y*: 9.96%
• 10Y*: 11.68%

SPYM

• 1D: -0.66%
• 1M: 5.06%
• YTD: 10.98%
• 6M: 10.98%
• 1Y: 28.09%
• 3Y*: 22.46%
• 5Y*: 13.91%
• 10Y*: 15.62%

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

QWLD vs. SPYM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QWLD SPDR MSCI World StrategicFactors ETF	6.55%	17.93%	14.44%	19.59%	-13.30%	21.57%	10.24%	27.59%	-7.02%	22.44%
SPYM State Street SPDR Portfolio S&P 500 ETF	10.98%	17.79%	25.00%	26.24%	-18.09%	28.78%	18.49%	31.99%	-4.78%	21.30%

Correlation

The correlation between QWLD and SPYM is 0.83, 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	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.92
Correlation (10Y) Calculated over the trailing 10-year period	0.82
Correlation (All Time) Calculated using the full available price history since Jun 6, 2014	0.75

The correlation between QWLD and SPYM shifts across timeframes, from 0.75 (all time) to 0.92 (5 years), reflecting how their relationship changes across market environments.

QWLD vs. SPYM - Sectors Allocation Comparison

Sectors	QWLD	SPYM
Technology	22.3%	38.5%
Financial Services	13.8%	11.1%
Healthcare	12.6%	8.4%
Communication Services	9.6%	10.6%
Industrials	8.6%	7.6%
Consumer Defensive	7.6%	4.6%
Consumer Cyclical	5.0%	9.9%
Energy	4.5%	3.2%
Utilities	3.7%	2.5%
Basic Materials	2.9%	1.7%
Real Estate	0.8%	1.8%

Return for Risk

QWLD vs. SPYM — Risk / Return Rank

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

QWLD

QWLD Risk / Return Rank: 50
QWLD Sharpe Ratio Rank: 51
QWLD Sortino Ratio Rank: 52
QWLD Omega Ratio Rank: 49
QWLD Calmar Ratio Rank: 45
QWLD Martin Ratio Rank: 55

SPYM

SPYM Risk / Return Rank: 70
SPYM Sharpe Ratio Rank: 71
SPYM Sortino Ratio Rank: 70
SPYM Omega Ratio Rank: 71
SPYM Calmar Ratio Rank: 62
SPYM Martin Ratio Rank: 76

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. SPYM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and State Street SPDR Portfolio S&P 500 ETF (SPYM). 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	SPYM	Difference
Sharpe ratio: Return per unit of total volatility	1.77	2.39	-0.62
Sortino ratio: Return per unit of downside risk	2.55	3.27	-0.72
Omega ratio: Gain probability vs. loss probability	1.31	1.44	-0.12
Calmar ratio: Return relative to maximum drawdown	2.24	3.17	-0.93
Martin ratio: Return relative to average drawdown	9.70	14.76	-5.06
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QWLD vs. SPYM - Sharpe Ratio Comparison

The current QWLD Sharpe Ratio is 1.77, which is comparable to the SPYM Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of QWLD and SPYM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QWLD	SPYM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.77	2.39	-0.62
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.74	0.83	-0.09
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.77	0.87	-0.10
Sharpe Ratio (All Time) Calculated using the full available price history	0.69	0.62	+0.08

Drawdowns

QWLD vs. SPYM - Drawdown Comparison

The maximum QWLD drawdown since its inception was -31.89%, smaller than the maximum SPYM drawdown of -54.46%. Use the drawdown chart below to compare losses from any high point for QWLD and SPYM.

Drawdown Indicators

	QWLD	SPYM	Difference
Max Drawdown Largest peak-to-trough decline	-31.89%	-54.46%	+22.57%
Max Drawdown (1Y) Largest decline over 1 year	-7.66%	-8.90%	+1.24%
Max Drawdown (3Y) Largest decline over 3 years	-12.40%	-18.72%	+6.32%
Max Drawdown (5Y) Largest decline over 5 years	-22.84%	-24.48%	+1.64%
Max Drawdown (10Y) Largest decline over 10 years	-31.89%	-33.87%	+1.98%
Current Drawdown Current decline from peak	-0.56%	-0.66%	+0.10%
Average Drawdown Average peak-to-trough decline	-3.71%	-7.15%	+3.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.77%	1.91%	-0.14%

Volatility

QWLD vs. SPYM - Volatility Comparison

The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.26%, while State Street SPDR Portfolio S&P 500 ETF (SPYM) has a volatility of 2.83%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than SPYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QWLD	SPYM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.26%	2.83%	-0.57%
Volatility (6M) Calculated over the trailing 6-month period	7.51%	8.90%	-1.39%
Volatility (1Y) Calculated over the trailing 1-year period	9.68%	11.80%	-2.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.53%	16.80%	-3.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.18%	18.00%	-2.82%

QWLD vs. SPYM - Expense Ratio Comparison

QWLD has a 0.30% expense ratio, which is higher than SPYM's 0.02% expense ratio.

Dividends

QWLD vs. SPYM - Dividend Comparison

QWLD's dividend yield for the trailing twelve months is around 1.84%, more than SPYM's 1.00% yield.

Position	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%
SPYM State Street SPDR Portfolio S&P 500 ETF	1.00%	1.13%	1.28%	1.44%	1.69%	1.25%	1.54%	1.79%	2.23%	1.75%	1.97%	1.98%

Frequently Asked Questions

Can I hold both QWLD and SPYM in my portfolio?

QWLD and SPYM have a correlation of 0.83, 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 SPYM?

SPYM has higher volatility (2.83%) compared to QWLD (2.26%). In terms of maximum drawdown, QWLD dropped -31.89% vs SPYM's -54.46%.

Which ETF is better, QWLD or SPYM?

On 10-year performance, SPYM leads with 15.62% vs 11.68% for QWLD. On fees, SPYM is cheaper at 0.02% per year. On volatility, QWLD has been the lower-risk option at 2.26%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, QWLD or SPYM?

Over the 10-year period, SPYM has performed better with a 15.62% return vs 11.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QWLD or SPYM?

SPYM is cheaper with a 0.02% expense ratio, compared with 0.30% for QWLD.

Which ETF pays a higher dividend yield, QWLD or SPYM?

QWLD has the higher dividend yield at 1.84%, compared with 1.00% for SPYM.

What is the main difference between QWLD and SPYM?

QWLD is categorized as Large Cap Growth Equities, while SPYM is S&P 500. QWLD tracks MSCI World Factor Mix A-Series (USD), while SPYM tracks S&P 500 Index. Their fees differ too: 0.30% for QWLD and 0.02% for SPYM.

Which has better risk-adjusted returns?

SPYM currently has the higher Sharpe Ratio (2.39 vs 1.77), 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.