ESGJ.L vs. N4US.L
ESGJ.L (Invesco MSCI Japan Universal Screened UCITS ETF USD (Acc)) and N4US.L (Invesco JPX-Nikkei 400 UCITS ETF USD Hedged (Acc)) are both Japan Equities funds from Invesco - ESGJ.L tracks the MSCI Japan Universal Select Business Screens Index while N4US.L tracks the JPX-Nikkei 400 USD Hedged Index. Both are passively managed. Over the past 5 years, ESGJ.L returned 9.49%/yr vs 21.88%/yr for N4US.L. A 0.80 correlation means they provide meaningful diversification when combined. ESGJ.L charges 0.15%/yr vs 0.19%/yr for N4US.L.
Performance
ESGJ.L vs. N4US.L - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, ESGJ.L achieves a 17.08% return, which is significantly lower than N4US.L's 18.80% return.
ESGJ.L
- 1D
- 1.13%
- 1M
- -0.89%
- 6M
- 10.84%
- YTD
- 17.08%
- 1Y
- 36.09%
- 3Y*
- 19.65%
- 5Y*
- 9.49%
- 10Y*
- —
N4US.L
- 1D
- -2.01%
- 1M
- -2.75%
- 6M
- 11.38%
- YTD
- 18.80%
- 1Y
- 45.47%
- 3Y*
- 27.49%
- 5Y*
- 21.88%
- 10Y*
- 16.34%
ESGJ.L vs. N4US.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
ESGJ.L Invesco MSCI Japan Universal Screened UCITS ETF USD (Acc) | 17.08% | 27.11% | 8.02% | 19.45% | -17.71% | -1.77% |
N4US.L Invesco JPX-Nikkei 400 UCITS ETF USD Hedged (Acc) | 18.80% | 30.25% | 23.77% | 35.97% | -1.05% | 9.66% |
Correlation
The correlation between ESGJ.L and N4US.L is 0.88, 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 | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.81 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.79 |
Correlation (All Time) Calculated using the full available price history since Jan 8, 2021 | 0.80 |
The correlation between ESGJ.L and N4US.L has been stable across timeframes, ranging from 0.79 to 0.88 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
ESGJ.L vs. N4US.L — Risk / Return Rank
ESGJ.L
N4US.L
ESGJ.L vs. N4US.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI Japan Universal Screened UCITS ETF USD (Acc) (ESGJ.L) and Invesco JPX-Nikkei 400 UCITS ETF USD Hedged (Acc) (N4US.L). 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.
| ESGJ.L | N4US.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.62 | ||
| Sortino ratioReturn per unit of downside risk | -0.74 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.42 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 2.84 | 4.84 | -2.00 |
| Martin ratioReturn relative to average drawdown | 9.02 | 16.48 | -7.46 |
Loading charts...
Drawdowns
ESGJ.L vs. N4US.L - Drawdown Comparison
The maximum ESGJ.L drawdown since its inception was -33.20%, which is greater than N4US.L's maximum drawdown of -30.94%. Use the drawdown chart below to compare losses from any high point for ESGJ.L and N4US.L.
Loading charts...
Drawdown Indicators
| ESGJ.L | N4US.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.20% | -30.94% | -2.26% |
Max Drawdown (1Y)Largest decline over 1 year | -12.73% | -9.35% | -3.38% |
Max Drawdown (3Y)Largest decline over 3 years | -14.67% | -21.38% | +6.71% |
Max Drawdown (5Y)Largest decline over 5 years | -33.20% | -21.38% | -11.82% |
Max Drawdown (10Y)Largest decline over 10 years | — | -30.94% | — |
Current DrawdownCurrent decline from peak | -2.30% | -4.48% | +2.18% |
Average DrawdownAverage peak-to-trough decline | -9.47% | -6.78% | -2.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.02% | 2.75% | +1.27% |
Volatility
ESGJ.L vs. N4US.L - Volatility Comparison
Invesco MSCI Japan Universal Screened UCITS ETF USD (Acc) (ESGJ.L) has a higher volatility of 6.67% compared to Invesco JPX-Nikkei 400 UCITS ETF USD Hedged (Acc) (N4US.L) at 6.15%. This indicates that ESGJ.L's price experiences larger fluctuations and is considered to be riskier than N4US.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| ESGJ.L | N4US.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.67% | 6.15% | +0.52% |
Volatility (6M)Calculated over the trailing 6-month period | 17.62% | 15.63% | +1.99% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.34% | 19.57% | +1.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.75% | 18.50% | +0.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.43% | 18.38% | +0.05% |
ESGJ.L vs. N4US.L - Expense Ratio Comparison
ESGJ.L has a 0.15% expense ratio, which is lower than N4US.L'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
ESGJ.L vs. N4US.L - Dividend Comparison
Neither ESGJ.L nor N4US.L has paid dividends to shareholders.
Frequently Asked Questions
ESGJ.L and N4US.L have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, ESGJ.L is cheaper at 0.15% per year. The better choice depends on whether you care most about return, fees, risk, or income.
ESGJ.L is cheaper with a 0.15% expense ratio, compared with 0.19% for N4US.L.
ESGJ.L tracks MSCI Japan Universal Select Business Screens Index, while N4US.L tracks JPX-Nikkei 400 USD Hedged Index. Their fees differ too: 0.15% for ESGJ.L and 0.19% for N4US.L.
Find the right allocation for ESGJ.L and N4US.L
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer