QWLD vs. VWICX
Compare and contrast key facts about SPDR MSCI World StrategicFactors ETF (QWLD) and Vanguard International Core Stock Fund Investor Shares (VWICX).
QWLD is a passively managed fund by State Street that tracks the performance of the MSCI World Factor Mix A-Series (USD). It was launched on Jun 4, 2014. VWICX is managed by Vanguard. It was launched on Oct 16, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QWLD or VWICX.
Key characteristics
| QWLD | VWICX | |
|---|---|---|
| YTD Return | 18.43% | 13.11% |
| 1Y Return | 28.63% | 24.22% |
| 3Y Return (Ann) | 7.55% | 4.53% |
| 5Y Return (Ann) | 11.27% | 7.97% |
| Sharpe Ratio | 2.92 | 1.86 |
| Sortino Ratio | 4.12 | 2.60 |
| Omega Ratio | 1.53 | 1.32 |
| Calmar Ratio | 5.07 | 2.37 |
| Martin Ratio | 19.49 | 10.76 |
| Ulcer Index | 1.44% | 2.21% |
| Daily Std Dev | 9.58% | 12.80% |
| Max Drawdown | -31.89% | -34.37% |
| Current Drawdown | -0.50% | -3.74% |
Correlation
The correlation between QWLD and VWICX is 0.85, 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. VWICX - Performance Comparison
In the year-to-date period, QWLD achieves a 18.43% return, which is significantly higher than VWICX's 13.11% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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QWLD vs. VWICX - Expense Ratio Comparison
QWLD has a 0.30% expense ratio, which is lower than VWICX's 0.45% expense ratio.
Risk-Adjusted Performance
QWLD vs. VWICX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World StrategicFactors ETF (QWLD) and Vanguard International Core Stock Fund Investor Shares (VWICX). 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.
Dividends
QWLD vs. VWICX - Dividend Comparison
QWLD's dividend yield for the trailing twelve months is around 1.47%, less than VWICX's 1.86% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VWICX Vanguard International Core Stock Fund Investor Shares | 1.86% | 2.11% | 2.00% | 2.73% | 1.80% | 0.10% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
QWLD vs. VWICX - Drawdown Comparison
The maximum QWLD drawdown since its inception was -31.89%, smaller than the maximum VWICX drawdown of -34.37%. Use the drawdown chart below to compare losses from any high point for QWLD and VWICX. For additional features, visit the drawdowns tool.
Volatility
QWLD vs. VWICX - Volatility Comparison
The current volatility for SPDR MSCI World StrategicFactors ETF (QWLD) is 2.72%, while Vanguard International Core Stock Fund Investor Shares (VWICX) has a volatility of 3.89%. This indicates that QWLD experiences smaller price fluctuations and is considered to be less risky than VWICX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.