PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
QWLD vs. URTH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

QWLD vs. URTH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI World StrategicFactors ETF (QWLD) and iShares MSCI World ETF (URTH). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.36%
9.46%
QWLD
URTH

Returns By Period

In the year-to-date period, QWLD achieves a 16.38% return, which is significantly lower than URTH's 19.56% return. Over the past 10 years, QWLD has outperformed URTH with an annualized return of 12.71%, while URTH has yielded a comparatively lower 10.08% annualized return.


QWLD

YTD

16.38%

1M

-1.32%

6M

6.17%

1Y

21.78%

5Y (annualized)

10.82%

10Y (annualized)

12.71%

URTH

YTD

19.56%

1M

0.03%

6M

8.70%

1Y

26.46%

5Y (annualized)

12.37%

10Y (annualized)

10.08%

Key characteristics


QWLDURTH
Sharpe Ratio2.292.24
Sortino Ratio3.233.06
Omega Ratio1.411.41
Calmar Ratio3.923.18
Martin Ratio14.6814.10
Ulcer Index1.48%1.86%
Daily Std Dev9.46%11.68%
Max Drawdown-31.89%-34.01%
Current Drawdown-2.22%-1.55%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


QWLD vs. URTH - Expense Ratio Comparison

QWLD has a 0.30% expense ratio, which is higher than URTH's 0.24% 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 URTH: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Correlation

-0.50.00.51.00.8

The correlation between QWLD and URTH is 0.76, 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.

Risk-Adjusted Performance

QWLD vs. URTH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and iShares MSCI World ETF (URTH). 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.


Sharpe ratio
The chart of Sharpe ratio for QWLD, currently valued at 2.29, compared to the broader market0.002.004.006.002.292.24
The chart of Sortino ratio for QWLD, currently valued at 3.23, compared to the broader market-2.000.002.004.006.008.0010.0012.003.233.06
The chart of Omega ratio for QWLD, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.41
The chart of Calmar ratio for QWLD, currently valued at 3.92, compared to the broader market0.005.0010.0015.003.923.18
The chart of Martin ratio for QWLD, currently valued at 14.68, compared to the broader market0.0020.0040.0060.0080.00100.0014.6814.10
QWLD
URTH

The current QWLD Sharpe Ratio is 2.29, which is comparable to the URTH Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of QWLD and URTH, 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
2.29
2.24
QWLD
URTH

Dividends

QWLD vs. URTH - Dividend Comparison

QWLD's dividend yield for the trailing twelve months is around 1.50%, more than URTH's 1.44% yield.


TTM20232022202120202019201820172016201520142013
QWLD
SPDR MSCI World StrategicFactors ETF
1.50%1.78%2.02%1.77%1.77%2.13%2.33%2.73%2.22%3.42%1.02%0.00%
URTH
iShares MSCI World ETF
1.44%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.14%2.35%2.32%1.04%

Drawdowns

QWLD vs. URTH - Drawdown Comparison

The maximum QWLD drawdown since its inception was -31.89%, smaller than the maximum URTH drawdown of -34.01%. Use the drawdown chart below to compare losses from any high point for QWLD and URTH. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.22%
-1.55%
QWLD
URTH

Volatility

QWLD vs. URTH - Volatility Comparison

The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.59%, while iShares MSCI World ETF (URTH) has a volatility of 3.41%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than URTH 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
2.59%
3.41%
QWLD
URTH