PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MXWO.L vs. MXWS.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MXWO.LMXWS.L
YTD Return10.00%10.16%
1Y Return24.55%21.57%
3Y Return (Ann)7.41%11.46%
5Y Return (Ann)12.65%13.59%
Sharpe Ratio2.312.29
Daily Std Dev11.68%10.17%
Max Drawdown-33.89%-24.29%
Current Drawdown-0.34%-0.61%

Correlation

-0.50.00.51.00.7

The correlation between MXWO.L and MXWS.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.

Performance

MXWO.L vs. MXWS.L - Performance Comparison

The year-to-date returns for both investments are quite close, with MXWO.L having a 10.00% return and MXWS.L slightly higher at 10.16%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


110.00%120.00%130.00%140.00%150.00%December2024FebruaryMarchAprilMay
145.49%
144.96%
MXWO.L
MXWS.L

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Invesco MSCI World UCITS ETF

Invesco MSCI World UCITS ETF

MXWO.L vs. MXWS.L - Expense Ratio Comparison

Both MXWO.L and MXWS.L have an expense ratio of 0.19%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


MXWO.L
Invesco MSCI World UCITS ETF
Expense ratio chart for MXWO.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for MXWS.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

MXWO.L vs. MXWS.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI World UCITS ETF (MXWO.L) and Invesco MSCI World UCITS ETF (MXWS.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.


MXWO.L
Sharpe ratio
The chart of Sharpe ratio for MXWO.L, currently valued at 2.31, compared to the broader market0.002.004.006.002.31
Sortino ratio
The chart of Sortino ratio for MXWO.L, currently valued at 3.38, compared to the broader market0.005.0010.003.38
Omega ratio
The chart of Omega ratio for MXWO.L, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for MXWO.L, currently valued at 2.11, compared to the broader market0.005.0010.0015.002.11
Martin ratio
The chart of Martin ratio for MXWO.L, currently valued at 8.27, compared to the broader market0.0020.0040.0060.0080.00100.008.27
MXWS.L
Sharpe ratio
The chart of Sharpe ratio for MXWS.L, currently valued at 2.29, compared to the broader market0.002.004.006.002.29
Sortino ratio
The chart of Sortino ratio for MXWS.L, currently valued at 3.40, compared to the broader market0.005.0010.003.40
Omega ratio
The chart of Omega ratio for MXWS.L, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.42
Calmar ratio
The chart of Calmar ratio for MXWS.L, currently valued at 2.08, compared to the broader market0.005.0010.0015.002.08
Martin ratio
The chart of Martin ratio for MXWS.L, currently valued at 8.08, compared to the broader market0.0020.0040.0060.0080.00100.008.08

MXWO.L vs. MXWS.L - Sharpe Ratio Comparison

The current MXWO.L Sharpe Ratio is 2.31, which roughly equals the MXWS.L Sharpe Ratio of 2.29. The chart below compares the 12-month rolling Sharpe Ratio of MXWO.L and MXWS.L.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
2.31
2.29
MXWO.L
MXWS.L

Dividends

MXWO.L vs. MXWS.L - Dividend Comparison

Neither MXWO.L nor MXWS.L has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

MXWO.L vs. MXWS.L - Drawdown Comparison

The maximum MXWO.L drawdown since its inception was -33.89%, which is greater than MXWS.L's maximum drawdown of -24.29%. Use the drawdown chart below to compare losses from any high point for MXWO.L and MXWS.L. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay
-0.34%
-0.46%
MXWO.L
MXWS.L

Volatility

MXWO.L vs. MXWS.L - Volatility Comparison

The current volatility for Invesco MSCI World UCITS ETF (MXWO.L) is 3.67%, while Invesco MSCI World UCITS ETF (MXWS.L) has a volatility of 4.10%. This indicates that MXWO.L experiences smaller price fluctuations and is considered to be less risky than MXWS.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%December2024FebruaryMarchAprilMay
3.67%
4.10%
MXWO.L
MXWS.L