ESGS.L vs. XDEV.L
ESGS.L (Invesco MSCI USA Universal Screened UCITS ETF) and XDEV.L (Xtrackers MSCI World Value Factor UCITS ETF 1C) are both Global Equities funds - ESGS.L tracks the Invesco MSCI USA Universal Screened UCITS ETF while XDEV.L tracks the MSCI ACWI Value NR USD. Both are passively managed. Over the past 5 years, ESGS.L returned 12.45%/yr vs 17.13%/yr for XDEV.L. A 0.73 correlation means they provide meaningful diversification when combined. ESGS.L charges 0.09%/yr vs 0.25%/yr for XDEV.L.
Performance
ESGS.L vs. XDEV.L - Performance Comparison
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Returns By Period
In the year-to-date period, ESGS.L achieves a 10.62% return, which is significantly lower than XDEV.L's 29.58% return.
ESGS.L
- 1D
- -0.42%
- 1M
- -1.16%
- 6M
- 9.99%
- YTD
- 10.62%
- 1Y
- 20.69%
- 3Y*
- 18.46%
- 5Y*
- 12.45%
- 10Y*
- —
XDEV.L
- 1D
- -2.22%
- 1M
- -4.46%
- 6M
- 25.56%
- YTD
- 29.58%
- 1Y
- 56.03%
- 3Y*
- 25.49%
- 5Y*
- 17.13%
- 10Y*
- 11.93%
ESGS.L vs. XDEV.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
ESGS.L Invesco MSCI USA Universal Screened UCITS ETF | 10.62% | 7.44% | 26.67% | 21.17% | -12.52% | 30.30% | 19.47% | -14.12% |
XDEV.L Xtrackers MSCI World Value Factor UCITS ETF 1C | 29.58% | 30.51% | 6.79% | 13.25% | 1.01% | 21.67% | -6.88% | 7.75% |
Correlation
The correlation between ESGS.L and XDEV.L is 0.69, 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 | 0.69 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.71 |
Correlation (All Time) Calculated using the full available price history since Jun 13, 2019 | 0.73 |
The correlation between ESGS.L and XDEV.L has been stable across timeframes, ranging from 0.65 to 0.73 - a consistent structural relationship.
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Return for Risk
ESGS.L vs. XDEV.L — Risk / Return Rank
ESGS.L
XDEV.L
ESGS.L vs. XDEV.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 Xtrackers MSCI World Value Factor UCITS ETF 1C (XDEV.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 | XDEV.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.80 | ||
| Sortino ratioReturn per unit of downside risk | -2.31 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.68 | -0.33 |
| Calmar ratioReturn relative to maximum drawdown | 2.71 | 8.06 | -5.35 |
| Martin ratioReturn relative to average drawdown | 9.33 | 26.50 | -17.18 |
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Drawdowns
ESGS.L vs. XDEV.L - Drawdown Comparison
The maximum ESGS.L drawdown since its inception was -29.04%, smaller than the maximum XDEV.L drawdown of -45.89%. Use the drawdown chart below to compare losses from any high point for ESGS.L and XDEV.L.
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Drawdown Indicators
| ESGS.L | XDEV.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.04% | -45.89% | +16.85% |
Max Drawdown (1Y)Largest decline over 1 year | -8.16% | -6.92% | -1.24% |
Max Drawdown (3Y)Largest decline over 3 years | -21.65% | -19.90% | -1.75% |
Max Drawdown (5Y)Largest decline over 5 years | -21.65% | -19.90% | -1.75% |
Max Drawdown (10Y)Largest decline over 10 years | — | -35.20% | — |
Current DrawdownCurrent decline from peak | -2.34% | -5.91% | +3.57% |
Average DrawdownAverage peak-to-trough decline | -6.91% | -15.27% | +8.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.38% | 2.11% | +0.27% |
Volatility
ESGS.L vs. XDEV.L - Volatility Comparison
The current volatility for Invesco MSCI USA Universal Screened UCITS ETF (ESGS.L) is 3.72%, while Xtrackers MSCI World Value Factor UCITS ETF 1C (XDEV.L) has a volatility of 6.07%. This indicates that ESGS.L experiences smaller price fluctuations and is considered to be less risky than XDEV.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 | XDEV.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.72% | 6.07% | -2.35% |
Volatility (6M)Calculated over the trailing 6-month period | 8.56% | 13.08% | -4.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.63% | 15.01% | -3.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.36% | 19.12% | +1.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.42% | 21.02% | +0.40% |
ESGS.L vs. XDEV.L - Expense Ratio Comparison
ESGS.L has a 0.09% expense ratio, which is lower than XDEV.L's 0.25% 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. XDEV.L - Dividend Comparison
Neither ESGS.L nor XDEV.L has paid dividends to shareholders.
Frequently Asked Questions
ESGS.L and XDEV.L have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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 0.25% for XDEV.L.
ESGS.L tracks Invesco MSCI USA Universal Screened UCITS ETF, while XDEV.L tracks MSCI ACWI Value NR USD. They also come from different issuers: Invesco and DWS. Their fees differ too: 0.09% for ESGS.L and 0.25% for XDEV.L.
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