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WDMF.AX vs. VGS.AX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

WDMF.AX vs. VGS.AX

Last updated Jul 16, 2026
Documentation

WDMF.AX (iShares World Equity Factor ETF) and VGS.AX (Vanguard MSCI Index International Shares ETF) are both Global Equities funds - WDMF.AX tracks the iShares World Equity Factor Index while VGS.AX tracks the Vanguard MSCI Index International Shares Index. Both are passively managed. Over the past 5 years, WDMF.AX returned 12.38%/yr vs 12.49%/yr for VGS.AX. Their correlation of 0.83 suggests significant overlap in exposure.

Performance

WDMF.AX vs. VGS.AX - Performance Comparison

The chart below illustrates the hypothetical performance of a A$10,000 investment in iShares World Equity Factor ETF (WDMF.AX) and Vanguard MSCI Index International Shares ETF (VGS.AX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, WDMF.AX achieves a 5.97% return, which is significantly higher than VGS.AX's 5.31% return.

WDMF.AX

1D
0.13%
1M
1.90%
6M
5.26%
YTD
5.97%
1Y
15.21%
3Y*
18.79%
5Y*
12.38%
10Y*
—

VGS.AX

1D
-0.01%
1M
1.72%
6M
4.14%
YTD
5.31%
1Y
13.66%
3Y*
17.60%
5Y*
12.49%
10Y*
13.63%
*Multi-year figures are annualized to reflect compound growth (CAGR)

WDMF.AX vs. VGS.AX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
WDMF.AX
iShares World Equity Factor ETF		5.97%15.40%30.82%14.10%-8.56%26.94%0.86%23.27%-3.75%18.89%
VGS.AX
Vanguard MSCI Index International Shares ETF		5.31%12.89%29.23%22.54%-12.72%29.67%5.76%29.16%-0.01%12.95%

Correlation

The correlation between WDMF.AX and VGS.AX is 0.84, 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

0.84

Correlation (3Y)
Calculated over the trailing 3-year period

0.87

Correlation (5Y)
Calculated over the trailing 5-year period

0.85

Correlation (All Time)
Calculated using the full available price history since Oct 11, 2016

0.83

The correlation between WDMF.AX and VGS.AX has been stable across timeframes, ranging from 0.83 to 0.87 - a consistent structural relationship.

Compare stocks, funds, or ETFs

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iShares World Equity Factor ETF

Vanguard MSCI Index International Shares ETF

Return for Risk

WDMF.AX vs. VGS.AX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
WDMF.AX
WDMF.AX Risk / Return Rank: 5050
Overall Rank
WDMF.AX Sharpe Ratio Rank: 5858
Sharpe Ratio Rank
WDMF.AX Sortino Ratio Rank: 5858
Sortino Ratio Rank
WDMF.AX Omega Ratio Rank: 6262
Omega Ratio Rank
WDMF.AX Calmar Ratio Rank: 3838
Calmar Ratio Rank
WDMF.AX Martin Ratio Rank: 3838
Martin Ratio Rank
VGS.AX
VGS.AX Risk / Return Rank: 4242
Overall Rank
VGS.AX Sharpe Ratio Rank: 4949
Sharpe Ratio Rank
VGS.AX Sortino Ratio Rank: 4747
Sortino Ratio Rank
VGS.AX Omega Ratio Rank: 5252
Omega Ratio Rank
VGS.AX Calmar Ratio Rank: 3030
Calmar Ratio Rank
VGS.AX Martin Ratio Rank: 3232
Martin Ratio Rank
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.

WDMF.AX vs. VGS.AX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares World Equity Factor ETF (WDMF.AX) and Vanguard MSCI Index International Shares ETF (VGS.AX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

WDMF.AXVGS.AXDifference
Sharpe ratioReturn per unit of total volatility
1.58
1.41

+0.17

Sortino ratioReturn per unit of downside risk
2.24
1.98

+0.26

Omega ratioGain probability vs. loss probability

1.30

1.27

+0.03

Calmar ratioReturn relative to maximum drawdown

1.59

1.28

+0.31

Martin ratioReturn relative to average drawdown

4.83

3.83

+1.00

WDMF.AX vs. VGS.AX - Sharpe Ratio Comparison

The current WDMF.AX Sharpe Ratio is 1.58, which is comparable to the VGS.AX Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of WDMF.AX and VGS.AX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

WDMF.AX vs. VGS.AX - Drawdown Comparison

The maximum WDMF.AX drawdown since its inception was -25.36%, which is greater than VGS.AX's maximum drawdown of -23.39%. Use the drawdown chart below to compare losses from any high point for WDMF.AX and VGS.AX.

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Drawdown Indicators

WDMF.AXVGS.AXDifference

Max Drawdown

Largest peak-to-trough decline

-25.36%

-23.39%

-1.97%

Max Drawdown (1Y)

Largest decline over 1 year

-9.72%

-10.72%

+1.00%

Max Drawdown (3Y)

Largest decline over 3 years

-13.37%

-13.82%

+0.45%

Max Drawdown (5Y)

Largest decline over 5 years

-17.44%

-20.53%

+3.09%

Max Drawdown (10Y)

Largest decline over 10 years

—

-23.39%

—

Current Drawdown

Current decline from peak

-0.04%

-0.36%

+0.32%

Average Drawdown

Average peak-to-trough decline

-3.96%

-4.18%

+0.22%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.24%

3.65%

-0.41%

Volatility

WDMF.AX vs. VGS.AX - Volatility Comparison

iShares World Equity Factor ETF (WDMF.AX) and Vanguard MSCI Index International Shares ETF (VGS.AX) have volatilities of 2.24% and 2.21%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

WDMF.AXVGS.AXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.24%

2.21%

+0.03%

Volatility (6M)

Calculated over the trailing 6-month period

7.76%

7.83%

-0.07%

Volatility (1Y)

Calculated over the trailing 1-year period

9.82%

9.77%

+0.05%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.36%

12.41%

-0.05%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

13.12%

12.92%

+0.20%

Dividends

WDMF.AX vs. VGS.AX - Dividend Comparison

WDMF.AX's dividend yield for the trailing twelve months is around 3.02%, more than VGS.AX's 0.97% yield.

PositionTTM20252024202320222021202020192018201720162015
VGS.AX
Vanguard MSCI Index International Shares ETF		0.97%2.49%1.76%1.82%1.42%1.75%2.24%2.42%2.19%2.25%3.29%2.35%
WDMF.AX
iShares World Equity Factor ETF		3.02%3.16%5.04%2.73%8.42%5.27%1.58%1.56%3.60%3.66%0.00%0.00%

Frequently Asked Questions

WDMF.AX and VGS.AX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

WDMF.AX tracks iShares World Equity Factor Index, while VGS.AX tracks Vanguard MSCI Index International Shares Index. They also come from different issuers: iShares and Vanguard.

Portfolio Optimizer

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