ITOCY vs. XDEM.DE
Compare and contrast key facts about Itochu Corp ADR (ITOCY) and Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.DE).
XDEM.DE 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ITOCY or XDEM.DE.
Key characteristics
| ITOCY | XDEM.DE | |
|---|---|---|
| YTD Return | 26.98% | 38.24% |
| 1Y Return | 33.02% | 44.79% |
| 3Y Return (Ann) | 20.42% | 8.62% |
| 5Y Return (Ann) | 19.26% | 13.91% |
| 10Y Return (Ann) | 19.18% | 16.71% |
| Sharpe Ratio | 1.24 | 2.57 |
| Sortino Ratio | 1.85 | 3.24 |
| Omega Ratio | 1.23 | 1.50 |
| Calmar Ratio | 2.12 | 2.98 |
| Martin Ratio | 6.80 | 12.13 |
| Ulcer Index | 5.07% | 3.54% |
| Daily Std Dev | 27.75% | 16.65% |
| Max Drawdown | -68.20% | -30.93% |
| Current Drawdown | -7.09% | 0.00% |
Correlation
The correlation between ITOCY and XDEM.DE is 0.29, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
ITOCY vs. XDEM.DE - Performance Comparison
In the year-to-date period, ITOCY achieves a 26.98% return, which is significantly lower than XDEM.DE's 38.24% return. Over the past 10 years, ITOCY has outperformed XDEM.DE with an annualized return of 19.18%, while XDEM.DE has yielded a comparatively lower 16.71% annualized 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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Risk-Adjusted Performance
ITOCY vs. XDEM.DE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Itochu Corp ADR (ITOCY) and Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.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.
Dividends
ITOCY vs. XDEM.DE - Dividend Comparison
Neither ITOCY nor XDEM.DE has paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ITOCY Itochu Corp ADR | 0.00% | 0.00% | 0.00% | 2.65% | 2.83% | 3.53% | 3.93% | 2.83% | 3.68% | 3.30% | 4.09% | 3.26% |
XDEM.DE 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% | 0.00% |
Drawdowns
ITOCY vs. XDEM.DE - Drawdown Comparison
The maximum ITOCY drawdown since its inception was -68.20%, which is greater than XDEM.DE's maximum drawdown of -30.93%. Use the drawdown chart below to compare losses from any high point for ITOCY and XDEM.DE. For additional features, visit the drawdowns tool.
Volatility
ITOCY vs. XDEM.DE - Volatility Comparison
Itochu Corp ADR (ITOCY) has a higher volatility of 6.99% compared to Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.DE) at 2.77%. This indicates that ITOCY's price experiences larger fluctuations and is considered to be riskier than XDEM.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.