IEFM.L vs. XDEM.L
Compare and contrast key facts about iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) and Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L).
IEFM.L and XDEM.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IEFM.L is a passively managed fund by iShares that tracks the performance of the MSCI Europe Growth NR EUR. It was launched on Jan 16, 2015. XDEM.L is a passively managed fund by DWS Investment S.A. (ETF) that tracks the performance of the MSCI ACWI Growth NR USD. It was launched on Sep 5, 2014. Both IEFM.L and XDEM.L are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IEFM.L or XDEM.L.
Key characteristics
| IEFM.L | XDEM.L | |
|---|---|---|
| YTD Return | 14.30% | 25.83% |
| 1Y Return | 22.41% | 33.58% |
| 3Y Return (Ann) | 3.71% | 5.81% |
| 5Y Return (Ann) | 9.42% | 12.51% |
| Sharpe Ratio | 0.71 | 2.08 |
| Sortino Ratio | 1.25 | 2.73 |
| Omega Ratio | 1.28 | 1.40 |
| Calmar Ratio | 1.58 | 2.59 |
| Martin Ratio | 2.56 | 9.73 |
| Ulcer Index | 8.71% | 3.42% |
| Daily Std Dev | 31.27% | 15.95% |
| Max Drawdown | -23.88% | -22.42% |
| Current Drawdown | -7.33% | -2.77% |
Correlation
The correlation between IEFM.L and XDEM.L is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
IEFM.L vs. XDEM.L - Performance Comparison
In the year-to-date period, IEFM.L achieves a 14.30% return, which is significantly lower than XDEM.L's 25.83% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IEFM.L vs. XDEM.L - Expense Ratio Comparison
Both IEFM.L and XDEM.L have an expense ratio of 0.25%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
IEFM.L vs. XDEM.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) and Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.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.
Dividends
IEFM.L vs. XDEM.L - Dividend Comparison
Neither IEFM.L nor XDEM.L has paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
IEFM.L iShares Edge MSCI Europe Momentum Factor UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XDEM.L Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.63% |
Drawdowns
IEFM.L vs. XDEM.L - Drawdown Comparison
The maximum IEFM.L drawdown since its inception was -23.88%, which is greater than XDEM.L's maximum drawdown of -22.42%. Use the drawdown chart below to compare losses from any high point for IEFM.L and XDEM.L. For additional features, visit the drawdowns tool.
Volatility
IEFM.L vs. XDEM.L - Volatility Comparison
iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) has a higher volatility of 3.34% compared to Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L) at 2.07%. This indicates that IEFM.L's price experiences larger fluctuations and is considered to be riskier than XDEM.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.