ESGM.DE vs. 5MVL.DE
ESGM.DE (Invesco MSCI Emerging Markets ESG Universal Screened UCITS ETF Acc) and 5MVL.DE (iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)) are both Emerging Markets Equities funds - ESGM.DE tracks the MSCI Emerging Markets ESG Universal Select Business Screens while 5MVL.DE tracks the MSCI Emerging Markets Select Value Factor Focus. Both are passively managed. Over the past 3 years, ESGM.DE returned 20.28%/yr vs 33.99%/yr for 5MVL.DE. Their correlation of 0.89 suggests significant overlap in exposure. ESGM.DE charges 0.19%/yr vs 0.40%/yr for 5MVL.DE.
Performance
ESGM.DE vs. 5MVL.DE - Performance Comparison
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Returns By Period
In the year-to-date period, ESGM.DE achieves a 29.14% return, which is significantly lower than 5MVL.DE's 45.83% return.
ESGM.DE
- 1D
- -1.89%
- 1M
- 5.25%
- YTD
- 29.14%
- 6M
- 30.08%
- 1Y
- 49.72%
- 3Y*
- 20.28%
- 5Y*
- —
- 10Y*
- —
5MVL.DE
- 1D
- -2.48%
- 1M
- 9.31%
- YTD
- 45.83%
- 6M
- 46.38%
- 1Y
- 81.35%
- 3Y*
- 33.99%
- 5Y*
- 17.27%
- 10Y*
- —
ESGM.DE vs. 5MVL.DE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
ESGM.DE Invesco MSCI Emerging Markets ESG Universal Screened UCITS ETF Acc | 29.14% | 18.22% | 12.10% | 5.50% | -14.87% | -3.89% |
5MVL.DE iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) | 45.83% | 27.25% | 21.00% | 14.58% | -10.54% | -2.30% |
Correlation
The correlation between ESGM.DE and 5MVL.DE is 0.90, 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 | 0.90 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (All Time) Calculated using the full available price history since Jul 14, 2021 | 0.89 |
The correlation between ESGM.DE and 5MVL.DE has been stable across timeframes, ranging from 0.89 to 0.90 - a consistent structural relationship.
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Return for Risk
ESGM.DE vs. 5MVL.DE — Risk / Return Rank
ESGM.DE
5MVL.DE
ESGM.DE vs. 5MVL.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI Emerging Markets ESG Universal Screened UCITS ETF Acc (ESGM.DE) and iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) (5MVL.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.
| ESGM.DE | 5MVL.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.56 | ||
| Sortino ratioReturn per unit of downside risk | -1.59 | ||
| Omega ratioGain probability vs. loss probability | 1.51 | 1.73 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | 4.69 | 8.86 | -4.18 |
| Martin ratioReturn relative to average drawdown | 17.49 | 28.83 | -11.34 |
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
| ESGM.DE | 5MVL.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.75 | 4.31 | -1.56 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 1.02 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.48 | 0.83 | -0.35 |
Drawdowns
ESGM.DE vs. 5MVL.DE - Drawdown Comparison
The maximum ESGM.DE drawdown since its inception was -23.67%, smaller than the maximum 5MVL.DE drawdown of -32.25%. Use the drawdown chart below to compare losses from any high point for ESGM.DE and 5MVL.DE.
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Drawdown Indicators
| ESGM.DE | 5MVL.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.67% | -32.25% | +8.58% |
Max Drawdown (1Y)Largest decline over 1 year | -10.81% | -9.30% | -1.51% |
Max Drawdown (3Y)Largest decline over 3 years | -19.03% | -19.15% | +0.12% |
Max Drawdown (5Y)Largest decline over 5 years | — | -20.60% | — |
Current DrawdownCurrent decline from peak | -2.36% | -3.88% | +1.52% |
Average DrawdownAverage peak-to-trough decline | -9.34% | -6.27% | -3.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.90% | 2.87% | +0.03% |
Volatility
ESGM.DE vs. 5MVL.DE - Volatility Comparison
The current volatility for Invesco MSCI Emerging Markets ESG Universal Screened UCITS ETF Acc (ESGM.DE) is 7.41%, while iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) (5MVL.DE) has a volatility of 8.71%. This indicates that ESGM.DE experiences smaller price fluctuations and is considered to be less risky than 5MVL.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGM.DE | 5MVL.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.41% | 8.71% | -1.30% |
Volatility (6M)Calculated over the trailing 6-month period | 15.79% | 15.83% | -0.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.41% | 19.13% | -0.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.02% | 16.78% | +0.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.02% | 18.84% | -1.82% |
ESGM.DE vs. 5MVL.DE - Expense Ratio Comparison
ESGM.DE has a 0.19% expense ratio, which is lower than 5MVL.DE's 0.40% expense ratio.
Dividends
ESGM.DE vs. 5MVL.DE - Dividend Comparison
Neither ESGM.DE nor 5MVL.DE has paid dividends to shareholders.
Frequently Asked Questions
With a correlation of 0.90, ESGM.DE and 5MVL.DE move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
On fees, ESGM.DE is cheaper at 0.19% per year. The better choice depends on whether you care most about return, fees, risk, or income.
ESGM.DE is cheaper with a 0.19% expense ratio, compared with 0.40% for 5MVL.DE.
ESGM.DE tracks MSCI Emerging Markets ESG Universal Select Business Screens, while 5MVL.DE tracks MSCI Emerging Markets Select Value Factor Focus. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.19% for ESGM.DE and 0.40% for 5MVL.DE.
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