5ESG.DE vs. DEAM.DE
5ESG.DE (Invesco S&P 500 Scored & Screened ETF Acc) and DEAM.DE (Invesco MDAX UCITS ETF A) are both exchange-traded funds - 5ESG.DE is a S&P 500 fund tracking the S&P 500 ESG Index, while DEAM.DE is a Europe Equities fund tracking the MDAX®. Both are passively managed. Over the past 5 years, 5ESG.DE returned 15.67%/yr vs -0.95%/yr for DEAM.DE. A 0.60 correlation means they provide meaningful diversification when combined. 5ESG.DE charges 0.17%/yr vs 0.19%/yr for DEAM.DE.
Performance
5ESG.DE vs. DEAM.DE - Performance Comparison
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Returns By Period
In the year-to-date period, 5ESG.DE achieves a 11.18% return, which is significantly higher than DEAM.DE's 6.73% return.
5ESG.DE
- 1D
- 0.62%
- 1M
- 4.19%
- YTD
- 11.18%
- 6M
- 11.17%
- 1Y
- 28.56%
- 3Y*
- 18.63%
- 5Y*
- 15.67%
- 10Y*
- —
DEAM.DE
- 1D
- 0.22%
- 1M
- 5.09%
- YTD
- 6.73%
- 6M
- 10.46%
- 1Y
- 5.21%
- 3Y*
- 6.11%
- 5Y*
- -0.95%
- 10Y*
- —
5ESG.DE vs. DEAM.DE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
5ESG.DE Invesco S&P 500 Scored & Screened ETF Acc | 11.18% | 5.31% | 31.42% | 24.24% | -13.76% | 43.86% | 35.05% |
DEAM.DE Invesco MDAX UCITS ETF A | 6.73% | 19.33% | -6.03% | 7.33% | -28.80% | 13.67% | 51.93% |
Correlation
The correlation between 5ESG.DE and DEAM.DE is 0.53, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.53 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.56 |
Correlation (All Time) Calculated using the full available price history since Mar 16, 2020 | 0.60 |
The correlation between 5ESG.DE and DEAM.DE shifts across timeframes, from 0.47 (3 years) to 0.60 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
5ESG.DE vs. DEAM.DE — Risk / Return Rank
5ESG.DE
DEAM.DE
5ESG.DE vs. DEAM.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Scored & Screened ETF Acc (5ESG.DE) and Invesco MDAX UCITS ETF A (DEAM.DE). 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.
| 5ESG.DE | DEAM.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.19 | ||
| Sortino ratioReturn per unit of downside risk | +2.82 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 1.06 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 4.12 | 0.36 | +3.76 |
| Martin ratioReturn relative to average drawdown | 15.77 | 0.98 | +14.79 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| 5ESG.DE | DEAM.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.47 | 0.28 | +2.19 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.02 | -0.05 | +1.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.21 | 0.18 | +1.03 |
Drawdowns
5ESG.DE vs. DEAM.DE - Drawdown Comparison
The maximum 5ESG.DE drawdown since its inception was -23.40%, smaller than the maximum DEAM.DE drawdown of -40.04%. Use the drawdown chart below to compare losses from any high point for 5ESG.DE and DEAM.DE.
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Drawdown Indicators
| 5ESG.DE | DEAM.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.40% | -40.04% | +16.64% |
Max Drawdown (1Y)Largest decline over 1 year | -6.93% | -14.47% | +7.54% |
Max Drawdown (3Y)Largest decline over 3 years | -23.40% | -18.48% | -4.92% |
Max Drawdown (5Y)Largest decline over 5 years | -23.40% | -40.04% | +16.64% |
Current DrawdownCurrent decline from peak | 0.00% | -11.42% | +11.42% |
Average DrawdownAverage peak-to-trough decline | -3.89% | -16.30% | +12.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.81% | 5.26% | -3.45% |
Volatility
5ESG.DE vs. DEAM.DE - Volatility Comparison
The current volatility for Invesco S&P 500 Scored & Screened ETF Acc (5ESG.DE) is 2.77%, while Invesco MDAX UCITS ETF A (DEAM.DE) has a volatility of 5.08%. This indicates that 5ESG.DE experiences smaller price fluctuations and is considered to be less risky than DEAM.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| 5ESG.DE | DEAM.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.77% | 5.08% | -2.31% |
Volatility (6M)Calculated over the trailing 6-month period | 7.54% | 15.33% | -7.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.53% | 18.59% | -7.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.20% | 19.26% | -4.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.81% | 19.61% | -2.80% |
5ESG.DE vs. DEAM.DE - Expense Ratio Comparison
5ESG.DE has a 0.17% expense ratio, which is lower than DEAM.DE's 0.19% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
5ESG.DE vs. DEAM.DE - Dividend Comparison
Neither 5ESG.DE nor DEAM.DE has paid dividends to shareholders.
Frequently Asked Questions
5ESG.DE and DEAM.DE have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, 5ESG.DE is cheaper at 0.17% per year. The better choice depends on whether you care most about return, fees, risk, or income.
5ESG.DE is cheaper with a 0.17% expense ratio, compared with 0.19% for DEAM.DE.
5ESG.DE is categorized as S&P 500, while DEAM.DE is Europe Equities. 5ESG.DE tracks S&P 500 ESG Index, while DEAM.DE tracks MDAX®. Their fees differ too: 0.17% for 5ESG.DE and 0.19% for DEAM.DE.
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