MVOL.L vs. SPY
Compare and contrast key facts about iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L) and SPDR S&P 500 ETF (SPY).
MVOL.L and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MVOL.L is a passively managed fund by iShares that tracks the performance of the MSCI ACWI NR USD. It was launched on Nov 30, 2012. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both MVOL.L and SPY 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: MVOL.L or SPY.
Performance
MVOL.L vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, MVOL.L achieves a 13.48% return, which is significantly lower than SPY's 24.91% return. Over the past 10 years, MVOL.L has underperformed SPY with an annualized return of 7.44%, while SPY has yielded a comparatively higher 13.04% annualized return.
MVOL.L
13.48%
-2.41%
7.29%
18.40%
5.56%
7.44%
SPY
24.91%
0.61%
11.66%
32.24%
15.43%
13.04%
Key characteristics
| MVOL.L | SPY | |
|---|---|---|
| Sharpe Ratio | 2.47 | 2.67 |
| Sortino Ratio | 3.49 | 3.56 |
| Omega Ratio | 1.43 | 1.50 |
| Calmar Ratio | 2.70 | 3.85 |
| Martin Ratio | 13.68 | 17.38 |
| Ulcer Index | 1.32% | 1.86% |
| Daily Std Dev | 7.32% | 12.17% |
| Max Drawdown | -28.82% | -55.19% |
| Current Drawdown | -2.41% | -1.77% |
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MVOL.L vs. SPY - Expense Ratio Comparison
MVOL.L has a 0.35% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between MVOL.L and SPY is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
MVOL.L vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L) and SPDR S&P 500 ETF (SPY). 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
MVOL.L vs. SPY - Dividend Comparison
MVOL.L has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.19%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MVOL.L iShares Edge MSCI World Minimum Volatility UCITS | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.19% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
MVOL.L vs. SPY - Drawdown Comparison
The maximum MVOL.L drawdown since its inception was -28.82%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MVOL.L and SPY. For additional features, visit the drawdowns tool.
Volatility
MVOL.L vs. SPY - Volatility Comparison
The current volatility for iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L) is 2.33%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.08%. This indicates that MVOL.L experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.