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MXWS.L vs. VT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MXWS.LVT
YTD Return16.42%18.15%
1Y Return22.94%30.24%
3Y Return (Ann)10.14%6.68%
5Y Return (Ann)13.37%12.01%
Sharpe Ratio2.312.49
Sortino Ratio3.163.42
Omega Ratio1.431.45
Calmar Ratio3.862.02
Martin Ratio16.2515.77
Ulcer Index1.46%1.92%
Daily Std Dev10.27%12.13%
Max Drawdown-24.29%-50.27%
Current Drawdown-0.18%-0.54%

Correlation

-0.50.00.51.00.6

The correlation between MXWS.L and VT is 0.56, 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

MXWS.L vs. VT - Performance Comparison

In the year-to-date period, MXWS.L achieves a 16.42% return, which is significantly lower than VT's 18.15% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
14.25%
14.67%
MXWS.L
VT

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MXWS.L vs. VT - Expense Ratio Comparison

MXWS.L has a 0.19% expense ratio, which is higher than VT's 0.07% 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%.


MXWS.L
Invesco MSCI World UCITS ETF
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%
Expense ratio chart for VT: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

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

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


MXWS.L
Sharpe ratio
The chart of Sharpe ratio for MXWS.L, currently valued at 3.15, compared to the broader market0.002.004.006.003.15
Sortino ratio
The chart of Sortino ratio for MXWS.L, currently valued at 4.46, compared to the broader market0.005.0010.004.46
Omega ratio
The chart of Omega ratio for MXWS.L, currently valued at 1.60, compared to the broader market1.001.502.002.503.001.60
Calmar ratio
The chart of Calmar ratio for MXWS.L, currently valued at 2.75, compared to the broader market0.005.0010.0015.002.75
Martin ratio
The chart of Martin ratio for MXWS.L, currently valued at 20.77, compared to the broader market0.0020.0040.0060.0080.00100.0020.77
VT
Sharpe ratio
The chart of Sharpe ratio for VT, currently valued at 2.87, compared to the broader market0.002.004.006.002.87
Sortino ratio
The chart of Sortino ratio for VT, currently valued at 3.93, compared to the broader market0.005.0010.003.93
Omega ratio
The chart of Omega ratio for VT, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for VT, currently valued at 2.29, compared to the broader market0.005.0010.0015.002.29
Martin ratio
The chart of Martin ratio for VT, currently valued at 19.51, compared to the broader market0.0020.0040.0060.0080.00100.0019.51

MXWS.L vs. VT - Sharpe Ratio Comparison

The current MXWS.L Sharpe Ratio is 2.31, which is comparable to the VT Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of MXWS.L and VT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
3.15
2.87
MXWS.L
VT

Dividends

MXWS.L vs. VT - Dividend Comparison

MXWS.L has not paid dividends to shareholders, while VT's dividend yield for the trailing twelve months is around 1.85%.


TTM20232022202120202019201820172016201520142013
MXWS.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%
VT
Vanguard Total World Stock ETF
1.85%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%

Drawdowns

MXWS.L vs. VT - Drawdown Comparison

The maximum MXWS.L drawdown since its inception was -24.29%, smaller than the maximum VT drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for MXWS.L and VT. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.71%
-0.54%
MXWS.L
VT

Volatility

MXWS.L vs. VT - Volatility Comparison

The current volatility for Invesco MSCI World UCITS ETF (MXWS.L) is 2.38%, while Vanguard Total World Stock ETF (VT) has a volatility of 3.15%. This indicates that MXWS.L experiences smaller price fluctuations and is considered to be less risky than VT 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%MayJuneJulyAugustSeptemberOctober
2.38%
3.15%
MXWS.L
VT