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

Performance

QWLD vs. VT - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.06%
8.94%
QWLD
VT

Returns By Period

In the year-to-date period, QWLD achieves a 17.14% return, which is significantly lower than VT's 18.18% return. Over the past 10 years, QWLD has outperformed VT with an annualized return of 12.80%, while VT has yielded a comparatively lower 9.25% annualized return.


QWLD

YTD

17.14%

1M

-0.47%

6M

7.06%

1Y

22.20%

5Y (annualized)

10.96%

10Y (annualized)

12.80%

VT

YTD

18.18%

1M

0.34%

6M

8.94%

1Y

24.96%

5Y (annualized)

11.19%

10Y (annualized)

9.25%

Key characteristics


QWLDVT
Sharpe Ratio2.382.17
Sortino Ratio3.352.97
Omega Ratio1.431.39
Calmar Ratio4.093.11
Martin Ratio15.2713.89
Ulcer Index1.48%1.82%
Daily Std Dev9.48%11.63%
Max Drawdown-31.89%-50.27%
Current Drawdown-1.58%-1.38%

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QWLD vs. VT - Expense Ratio Comparison

QWLD has a 0.30% expense ratio, which is higher than VT's 0.07% 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 VT: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.00.8

The correlation between QWLD and VT 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. VT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and Vanguard Total World Stock ETF (VT). 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 2.38, compared to the broader market0.002.004.002.382.17
The chart of Sortino ratio for QWLD, currently valued at 3.35, compared to the broader market-2.000.002.004.006.008.0010.003.352.97
The chart of Omega ratio for QWLD, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.39
The chart of Calmar ratio for QWLD, currently valued at 4.09, compared to the broader market0.005.0010.0015.004.093.11
The chart of Martin ratio for QWLD, currently valued at 15.27, compared to the broader market0.0020.0040.0060.0080.00100.0015.2713.89
QWLD
VT

The current QWLD Sharpe Ratio is 2.38, which is comparable to the VT Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of QWLD and VT, 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
2.38
2.17
QWLD
VT

Dividends

QWLD vs. VT - Dividend Comparison

QWLD's dividend yield for the trailing twelve months is around 1.49%, less than VT's 1.85% yield.


TTM20232022202120202019201820172016201520142013
QWLD
SPDR MSCI World StrategicFactors ETF
1.49%1.78%2.02%1.77%1.77%2.13%2.33%2.73%2.22%3.42%1.02%0.00%
VT
Vanguard Total World Stock ETF
1.85%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%

Drawdowns

QWLD vs. VT - Drawdown Comparison

The maximum QWLD drawdown since its inception was -31.89%, smaller than the maximum VT drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for QWLD and VT. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.58%
-1.38%
QWLD
VT

Volatility

QWLD vs. VT - Volatility Comparison

The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.57%, while Vanguard Total World Stock ETF (VT) has a volatility of 3.18%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than VT 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
2.57%
3.18%
QWLD
VT