MXWO.L vs. ^NDX
Compare and contrast key facts about Invesco MSCI World UCITS ETF (MXWO.L) and NASDAQ 100 (^NDX).
MXWO.L is a passively managed fund by Invesco that tracks the performance of the MSCI ACWI NR USD. It was launched on Apr 2, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MXWO.L or ^NDX.
Performance
MXWO.L vs. ^NDX - Performance Comparison
Returns By Period
In the year-to-date period, MXWO.L achieves a 18.87% return, which is significantly lower than ^NDX's 22.07% return. Over the past 10 years, MXWO.L has underperformed ^NDX with an annualized return of 9.93%, while ^NDX has yielded a comparatively higher 17.11% annualized return.
MXWO.L
18.87%
-0.53%
7.70%
27.09%
12.26%
9.93%
^NDX
22.07%
1.06%
9.99%
29.68%
19.98%
17.11%
Key characteristics
| MXWO.L | ^NDX | |
|---|---|---|
| Sharpe Ratio | 2.34 | 1.69 |
| Sortino Ratio | 3.28 | 2.27 |
| Omega Ratio | 1.43 | 1.30 |
| Calmar Ratio | 3.42 | 2.19 |
| Martin Ratio | 14.88 | 7.89 |
| Ulcer Index | 1.77% | 3.77% |
| Daily Std Dev | 11.23% | 17.66% |
| Max Drawdown | -33.89% | -82.90% |
| Current Drawdown | -1.87% | -2.74% |
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Correlation
The correlation between MXWO.L and ^NDX 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
MXWO.L vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI World UCITS ETF (MXWO.L) and NASDAQ 100 (^NDX). 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.
Drawdowns
MXWO.L vs. ^NDX - Drawdown Comparison
The maximum MXWO.L drawdown since its inception was -33.89%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for MXWO.L and ^NDX. For additional features, visit the drawdowns tool.
Volatility
MXWO.L vs. ^NDX - Volatility Comparison
The current volatility for Invesco MSCI World UCITS ETF (MXWO.L) is 3.41%, while NASDAQ 100 (^NDX) has a volatility of 5.63%. This indicates that MXWO.L experiences smaller price fluctuations and is considered to be less risky than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.