MVOL.L vs. USMV
Compare and contrast key facts about iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L) and iShares Edge MSCI Min Vol USA ETF (USMV).
MVOL.L and USMV 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. USMV is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Oct 18, 2011. Both MVOL.L and USMV 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 USMV.
Performance
MVOL.L vs. USMV - Performance Comparison
Returns By Period
In the year-to-date period, MVOL.L achieves a 13.48% return, which is significantly lower than USMV's 18.72% return. Over the past 10 years, MVOL.L has underperformed USMV with an annualized return of 7.44%, while USMV has yielded a comparatively higher 10.68% annualized return.
MVOL.L
13.48%
-2.41%
7.29%
18.40%
5.56%
7.44%
USMV
18.72%
-1.49%
9.88%
24.61%
9.21%
10.68%
Key characteristics
| MVOL.L | USMV | |
|---|---|---|
| Sharpe Ratio | 2.47 | 2.91 |
| Sortino Ratio | 3.49 | 4.08 |
| Omega Ratio | 1.43 | 1.54 |
| Calmar Ratio | 2.70 | 4.97 |
| Martin Ratio | 13.68 | 18.91 |
| Ulcer Index | 1.32% | 1.30% |
| Daily Std Dev | 7.32% | 8.49% |
| Max Drawdown | -28.82% | -33.10% |
| Current Drawdown | -2.41% | -2.12% |
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MVOL.L vs. USMV - Expense Ratio Comparison
MVOL.L has a 0.35% expense ratio, which is higher than USMV's 0.15% expense ratio.
Correlation
The correlation between MVOL.L and USMV is 0.54, 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. USMV - 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 iShares Edge MSCI Min Vol USA ETF (USMV). 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. USMV - Dividend Comparison
MVOL.L has not paid dividends to shareholders, while USMV's dividend yield for the trailing twelve months is around 1.64%.
| 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% |
USMV iShares Edge MSCI Min Vol USA ETF | 1.64% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% | 1.88% | 2.18% |
Drawdowns
MVOL.L vs. USMV - Drawdown Comparison
The maximum MVOL.L drawdown since its inception was -28.82%, smaller than the maximum USMV drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for MVOL.L and USMV. For additional features, visit the drawdowns tool.
Volatility
MVOL.L vs. USMV - Volatility Comparison
The current volatility for iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L) is 2.33%, while iShares Edge MSCI Min Vol USA ETF (USMV) has a volatility of 3.12%. This indicates that MVOL.L experiences smaller price fluctuations and is considered to be less risky than USMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.