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MXWO.L vs. ^NDX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


MXWO.L^NDX
YTD Return9.81%10.68%
1Y Return26.51%36.89%
3Y Return (Ann)7.16%10.95%
5Y Return (Ann)12.61%20.63%
10Y Return (Ann)9.39%17.64%
Sharpe Ratio2.272.22
Daily Std Dev11.67%16.32%
Max Drawdown-33.89%-82.90%
Current Drawdown-0.51%-0.48%

Correlation

-0.50.00.51.00.5

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.

Performance

MXWO.L vs. ^NDX - Performance Comparison

In the year-to-date period, MXWO.L achieves a 9.81% return, which is significantly lower than ^NDX's 10.68% return. Over the past 10 years, MXWO.L has underperformed ^NDX with an annualized return of 9.39%, while ^NDX has yielded a comparatively higher 17.64% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%300.00%400.00%500.00%600.00%700.00%December2024FebruaryMarchAprilMay
282.35%
740.28%
MXWO.L
^NDX

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Invesco MSCI World UCITS ETF

NASDAQ 100

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.


MXWO.L
Sharpe ratio
The chart of Sharpe ratio for MXWO.L, currently valued at 2.17, compared to the broader market0.002.004.002.17
Sortino ratio
The chart of Sortino ratio for MXWO.L, currently valued at 3.20, compared to the broader market0.005.0010.003.20
Omega ratio
The chart of Omega ratio for MXWO.L, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for MXWO.L, currently valued at 1.95, compared to the broader market0.005.0010.0015.001.95
Martin ratio
The chart of Martin ratio for MXWO.L, currently valued at 7.60, compared to the broader market0.0020.0040.0060.0080.00100.007.60
^NDX
Sharpe ratio
The chart of Sharpe ratio for ^NDX, currently valued at 1.82, compared to the broader market0.002.004.001.82
Sortino ratio
The chart of Sortino ratio for ^NDX, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for ^NDX, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for ^NDX, currently valued at 1.95, compared to the broader market0.005.0010.0015.001.95
Martin ratio
The chart of Martin ratio for ^NDX, currently valued at 8.56, compared to the broader market0.0020.0040.0060.0080.00100.008.56

MXWO.L vs. ^NDX - Sharpe Ratio Comparison

The current MXWO.L Sharpe Ratio is 2.27, which roughly equals the ^NDX Sharpe Ratio of 2.22. The chart below compares the 12-month rolling Sharpe Ratio of MXWO.L and ^NDX.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
2.17
1.82
MXWO.L
^NDX

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.


-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.51%
-0.48%
MXWO.L
^NDX

Volatility

MXWO.L vs. ^NDX - Volatility Comparison

The current volatility for Invesco MSCI World UCITS ETF (MXWO.L) is 3.39%, while NASDAQ 100 (^NDX) has a volatility of 4.10%. 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.


2.00%3.00%4.00%5.00%6.00%December2024FebruaryMarchAprilMay
3.39%
4.10%
MXWO.L
^NDX