IUMF.L vs. XDEM.L
Compare and contrast key facts about IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) and Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L).
IUMF.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. IUMF.L is a passively managed fund by iShares that tracks the performance of the Russell 1000 Growth TR USD. It was launched on Oct 13, 2016. 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 IUMF.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: IUMF.L or XDEM.L.
Performance
IUMF.L vs. XDEM.L - Performance Comparison
Returns By Period
In the year-to-date period, IUMF.L achieves a 33.51% return, which is significantly higher than XDEM.L's 30.75% return.
IUMF.L
33.51%
2.67%
10.43%
37.99%
12.73%
N/A
XDEM.L
30.75%
1.70%
7.99%
34.97%
13.06%
14.04%
Key characteristics
| IUMF.L | XDEM.L | |
|---|---|---|
| Sharpe Ratio | 2.09 | 2.10 |
| Sortino Ratio | 2.80 | 2.76 |
| Omega Ratio | 1.38 | 1.40 |
| Calmar Ratio | 2.50 | 2.63 |
| Martin Ratio | 10.24 | 9.87 |
| Ulcer Index | 3.64% | 3.43% |
| Daily Std Dev | 17.79% | 16.11% |
| Max Drawdown | -25.23% | -22.42% |
| Current Drawdown | -1.43% | -1.10% |
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IUMF.L vs. XDEM.L - Expense Ratio Comparison
IUMF.L has a 0.20% expense ratio, which is lower than XDEM.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%.
Correlation
The correlation between IUMF.L and XDEM.L is 0.96, 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.
Risk-Adjusted Performance
IUMF.L vs. XDEM.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for IShares Edge MSCI USA Momentum Factor ETF (IUMF.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
IUMF.L vs. XDEM.L - Dividend Comparison
Neither IUMF.L nor XDEM.L has paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
IUMF.L IShares Edge MSCI USA Momentum Factor 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
IUMF.L vs. XDEM.L - Drawdown Comparison
The maximum IUMF.L drawdown since its inception was -25.23%, 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 IUMF.L and XDEM.L. For additional features, visit the drawdowns tool.
Volatility
IUMF.L vs. XDEM.L - Volatility Comparison
IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) has a higher volatility of 3.46% compared to Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L) at 2.89%. This indicates that IUMF.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.