MVOL.L vs. XDEM.L
Compare and contrast key facts about iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L) and Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L).
MVOL.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. 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. 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 MVOL.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: MVOL.L or XDEM.L.
Performance
MVOL.L vs. XDEM.L - Performance Comparison
Returns By Period
In the year-to-date period, MVOL.L achieves a 13.48% return, which is significantly lower than XDEM.L's 30.97% return. Over the past 10 years, MVOL.L has underperformed XDEM.L with an annualized return of 7.44%, while XDEM.L has yielded a comparatively higher 14.02% annualized return.
MVOL.L
13.48%
-2.41%
7.29%
18.40%
5.56%
7.44%
XDEM.L
30.97%
1.61%
7.43%
34.07%
12.99%
14.02%
Key characteristics
| MVOL.L | XDEM.L | |
|---|---|---|
| Sharpe Ratio | 2.47 | 2.09 |
| Sortino Ratio | 3.49 | 2.76 |
| Omega Ratio | 1.43 | 1.40 |
| Calmar Ratio | 2.70 | 2.63 |
| Martin Ratio | 13.68 | 9.86 |
| Ulcer Index | 1.32% | 3.43% |
| Daily Std Dev | 7.32% | 16.12% |
| Max Drawdown | -28.82% | -22.42% |
| Current Drawdown | -2.41% | -0.94% |
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MVOL.L vs. XDEM.L - Expense Ratio Comparison
MVOL.L has a 0.35% expense ratio, which is higher than XDEM.L's 0.25% expense ratio.
Correlation
The correlation between MVOL.L and XDEM.L is 0.71, 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
MVOL.L vs. XDEM.L - 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 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
MVOL.L vs. XDEM.L - Dividend Comparison
Neither MVOL.L nor XDEM.L has paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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
MVOL.L vs. XDEM.L - Drawdown Comparison
The maximum MVOL.L drawdown since its inception was -28.82%, 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 MVOL.L and XDEM.L. For additional features, visit the drawdowns tool.
Volatility
MVOL.L vs. XDEM.L - Volatility Comparison
The current volatility for iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L) is 2.33%, while Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L) has a volatility of 2.98%. This indicates that MVOL.L experiences smaller price fluctuations and is considered to be less risky than XDEM.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.