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

Key characteristics


QWLDVIGI
YTD Return18.43%7.82%
1Y Return28.63%19.28%
3Y Return (Ann)7.55%1.20%
5Y Return (Ann)11.27%6.99%
Sharpe Ratio2.921.68
Sortino Ratio4.122.44
Omega Ratio1.531.29
Calmar Ratio5.071.33
Martin Ratio19.498.74
Ulcer Index1.44%2.20%
Daily Std Dev9.58%11.42%
Max Drawdown-31.89%-31.01%
Current Drawdown-0.50%-5.24%

Correlation

-0.50.00.51.00.7

The correlation between QWLD and VIGI is 0.75, 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. VIGI - Performance Comparison

In the year-to-date period, QWLD achieves a 18.43% return, which is significantly higher than VIGI's 7.82% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
9.18%
5.61%
QWLD
VIGI

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. VIGI - Expense Ratio Comparison

QWLD has a 0.30% expense ratio, which is higher than VIGI's 0.15% 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 VIGI: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

QWLD vs. VIGI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and Vanguard International Dividend Appreciation ETF (VIGI). 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
VIGI
Sharpe ratio
The chart of Sharpe ratio for VIGI, currently valued at 1.68, compared to the broader market-2.000.002.004.006.001.68
Sortino ratio
The chart of Sortino ratio for VIGI, currently valued at 2.44, compared to the broader market-2.000.002.004.006.008.0010.0012.002.44
Omega ratio
The chart of Omega ratio for VIGI, currently valued at 1.29, compared to the broader market1.001.502.002.503.001.29
Calmar ratio
The chart of Calmar ratio for VIGI, currently valued at 1.33, compared to the broader market0.005.0010.0015.001.33
Martin ratio
The chart of Martin ratio for VIGI, currently valued at 8.74, compared to the broader market0.0020.0040.0060.0080.00100.008.74

QWLD vs. VIGI - Sharpe Ratio Comparison

The current QWLD Sharpe Ratio is 2.92, which is higher than the VIGI Sharpe Ratio of 1.68. The chart below compares the historical Sharpe Ratios of QWLD and VIGI, 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
1.68
QWLD
VIGI

Dividends

QWLD vs. VIGI - Dividend Comparison

QWLD's dividend yield for the trailing twelve months is around 1.47%, less than VIGI's 1.97% yield.


TTM2023202220212020201920182017201620152014
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%
VIGI
Vanguard International Dividend Appreciation ETF
1.97%1.92%2.06%7.02%1.29%1.83%1.99%1.75%0.98%0.00%0.00%

Drawdowns

QWLD vs. VIGI - Drawdown Comparison

The maximum QWLD drawdown since its inception was -31.89%, roughly equal to the maximum VIGI drawdown of -31.01%. Use the drawdown chart below to compare losses from any high point for QWLD and VIGI. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.50%
-5.24%
QWLD
VIGI

Volatility

QWLD vs. VIGI - Volatility Comparison

The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.72%, while Vanguard International Dividend Appreciation ETF (VIGI) has a volatility of 3.23%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than VIGI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.72%
3.23%
QWLD
VIGI