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

Key characteristics


MXWO.LVTI
YTD Return10.00%10.93%
1Y Return24.55%29.34%
3Y Return (Ann)7.41%8.48%
5Y Return (Ann)12.65%14.50%
10Y Return (Ann)9.41%12.27%
Sharpe Ratio2.312.36
Daily Std Dev11.68%11.86%
Max Drawdown-33.89%-55.45%
Current Drawdown-0.34%-0.34%

Correlation

-0.50.00.51.00.5

The correlation between MXWO.L and VTI 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.

Performance

MXWO.L vs. VTI - Performance Comparison

In the year-to-date period, MXWO.L achieves a 10.00% return, which is significantly lower than VTI's 10.93% return. Over the past 10 years, MXWO.L has underperformed VTI with an annualized return of 9.41%, while VTI has yielded a comparatively higher 12.27% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


250.00%300.00%350.00%400.00%450.00%December2024FebruaryMarchAprilMay
282.99%
439.43%
MXWO.L
VTI

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

Vanguard Total Stock Market ETF

MXWO.L vs. VTI - Expense Ratio Comparison

MXWO.L has a 0.19% expense ratio, which is higher than VTI's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually 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 VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI World UCITS ETF (MXWO.L) and Vanguard Total Stock Market ETF (VTI). 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 market0.002.004.002.31
Sortino ratio
The chart of Sortino ratio for MXWO.L, currently valued at 3.40, compared to the broader market0.005.0010.003.40
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 2.09, compared to the broader market0.005.0010.0015.002.09
Martin ratio
The chart of Martin ratio for MXWO.L, currently valued at 8.14, compared to the broader market0.0020.0040.0060.0080.00100.008.14
VTI
Sharpe ratio
The chart of Sharpe ratio for VTI, currently valued at 2.44, compared to the broader market0.002.004.002.44
Sortino ratio
The chart of Sortino ratio for VTI, currently valued at 3.43, compared to the broader market0.005.0010.003.43
Omega ratio
The chart of Omega ratio for VTI, 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 VTI, currently valued at 2.03, compared to the broader market0.005.0010.0015.002.03
Martin ratio
The chart of Martin ratio for VTI, currently valued at 8.94, compared to the broader market0.0020.0040.0060.0080.00100.008.94

MXWO.L vs. VTI - Sharpe Ratio Comparison

The current MXWO.L Sharpe Ratio is 2.31, which roughly equals the VTI Sharpe Ratio of 2.36. The chart below compares the 12-month rolling Sharpe Ratio of MXWO.L and VTI.


Rolling 12-month Sharpe Ratio1.001.502.002.50December2024FebruaryMarchAprilMay
2.31
2.44
MXWO.L
VTI

Dividends

MXWO.L vs. VTI - Dividend Comparison

MXWO.L has not paid dividends to shareholders, while VTI's dividend yield for the trailing twelve months is around 1.35%.


TTM20232022202120202019201820172016201520142013
MXWO.L
Invesco MSCI World UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

MXWO.L vs. VTI - Drawdown Comparison

The maximum MXWO.L drawdown since its inception was -33.89%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for MXWO.L and VTI. For additional features, visit the drawdowns tool.


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

Volatility

MXWO.L vs. VTI - Volatility Comparison

Invesco MSCI World UCITS ETF (MXWO.L) has a higher volatility of 3.38% compared to Vanguard Total Stock Market ETF (VTI) at 3.08%. This indicates that MXWO.L's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%December2024FebruaryMarchAprilMay
3.38%
3.08%
MXWO.L
VTI