ESGS.L vs. FTWG.L
ESGS.L (Invesco MSCI USA Universal Screened UCITS ETF) and FTWG.L (Invesco FTSE All-World UCITS ETF USD Dist) are both Global Equities funds from Invesco - ESGS.L tracks the Invesco MSCI USA Universal Screened UCITS ETF while FTWG.L tracks the FTSE All-World Index. Both are passively managed. Over the past 3 years, ESGS.L returned 18.46%/yr vs 17.94%/yr for FTWG.L. Their correlation of 0.90 suggests significant overlap in exposure. ESGS.L charges 0.09%/yr vs 0.15%/yr for FTWG.L.
Performance
ESGS.L vs. FTWG.L - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with ESGS.L having a 10.62% return and FTWG.L slightly higher at 10.82%.
ESGS.L
- 1D
- -0.42%
- 1M
- -1.16%
- 6M
- 9.99%
- YTD
- 10.62%
- 1Y
- 20.69%
- 3Y*
- 18.46%
- 5Y*
- 12.45%
- 10Y*
- —
FTWG.L
- 1D
- -0.68%
- 1M
- -1.15%
- 6M
- 9.12%
- YTD
- 10.82%
- 1Y
- 22.80%
- 3Y*
- 17.94%
- 5Y*
- —
- 10Y*
- —
ESGS.L vs. FTWG.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
ESGS.L Invesco MSCI USA Universal Screened UCITS ETF | 10.62% | 7.44% | 26.67% | 11.81% |
FTWG.L Invesco FTSE All-World UCITS ETF USD Dist | 10.82% | 14.12% | 19.92% | -13.67% |
Correlation
The correlation between ESGS.L and FTWG.L is 0.92, 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 | 0.92 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.91 |
Correlation (All Time) Calculated using the full available price history since Jun 26, 2023 | 0.90 |
The correlation between ESGS.L and FTWG.L has been stable across timeframes, ranging from 0.90 to 0.92 - a consistent structural relationship.
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Return for Risk
ESGS.L vs. FTWG.L — Risk / Return Rank
ESGS.L
FTWG.L
ESGS.L vs. FTWG.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI USA Universal Screened UCITS ETF (ESGS.L) and Invesco FTSE All-World UCITS ETF USD Dist (FTWG.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.
| ESGS.L | FTWG.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.17 | ||
| Sortino ratioReturn per unit of downside risk | -0.28 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.39 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.71 | 3.19 | -0.48 |
| Martin ratioReturn relative to average drawdown | 9.33 | 12.44 | -3.12 |
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Drawdowns
ESGS.L vs. FTWG.L - Drawdown Comparison
The maximum ESGS.L drawdown since its inception was -29.04%, which is greater than FTWG.L's maximum drawdown of -22.14%. Use the drawdown chart below to compare losses from any high point for ESGS.L and FTWG.L.
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Drawdown Indicators
| ESGS.L | FTWG.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.04% | -22.14% | -6.90% |
Max Drawdown (1Y)Largest decline over 1 year | -8.16% | -7.11% | -1.05% |
Max Drawdown (3Y)Largest decline over 3 years | -21.65% | -17.78% | -3.87% |
Max Drawdown (5Y)Largest decline over 5 years | -21.65% | — | — |
Current DrawdownCurrent decline from peak | -2.34% | -1.99% | -0.35% |
Average DrawdownAverage peak-to-trough decline | -6.91% | -6.53% | -0.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.38% | 1.83% | +0.55% |
Volatility
ESGS.L vs. FTWG.L - Volatility Comparison
Invesco MSCI USA Universal Screened UCITS ETF (ESGS.L) has a higher volatility of 3.72% compared to Invesco FTSE All-World UCITS ETF USD Dist (FTWG.L) at 3.21%. This indicates that ESGS.L's price experiences larger fluctuations and is considered to be riskier than FTWG.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGS.L | FTWG.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.72% | 3.21% | +0.51% |
Volatility (6M)Calculated over the trailing 6-month period | 8.56% | 8.46% | +0.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.63% | 10.88% | +0.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.36% | 16.63% | +3.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.42% | 16.63% | +4.79% |
ESGS.L vs. FTWG.L - Expense Ratio Comparison
ESGS.L has a 0.09% expense ratio, which is lower than FTWG.L's 0.15% 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
ESGS.L vs. FTWG.L - Dividend Comparison
ESGS.L has not paid dividends to shareholders, while FTWG.L's dividend yield for the trailing twelve months is around 1.26%.
| Position | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
ESGS.L Invesco MSCI USA Universal Screened UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% |
FTWG.L Invesco FTSE All-World UCITS ETF USD Dist | 1.26% | 1.34% | 1.50% | 0.70% |
Frequently Asked Questions
With a correlation of 0.92, ESGS.L and FTWG.L 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, ESGS.L is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.
ESGS.L is cheaper with a 0.09% expense ratio, compared with 0.15% for FTWG.L.
ESGS.L tracks Invesco MSCI USA Universal Screened UCITS ETF, while FTWG.L tracks FTSE All-World Index. Their fees differ too: 0.09% for ESGS.L and 0.15% for FTWG.L.
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