XDEM.L vs. MVOL.L
Compare and contrast key facts about Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L) and iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L).
XDEM.L and MVOL.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XDEM.L is a passively managed fund by DWS Investment S.A. (ETF) that tracks the performance of the MSCI ACWI Growth NR USD. It was launched on Sep 5, 2014. MVOL.L is a passively managed fund by iShares that tracks the performance of the MSCI ACWI NR USD. It was launched on Nov 30, 2012. Both XDEM.L and MVOL.L are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XDEM.L or MVOL.L.
Performance
XDEM.L vs. MVOL.L - Performance Comparison
Returns By Period
In the year-to-date period, XDEM.L achieves a 30.97% return, which is significantly higher than MVOL.L's 13.48% return. Over the past 10 years, XDEM.L has outperformed MVOL.L with an annualized return of 14.02%, while MVOL.L has yielded a comparatively lower 7.44% annualized return.
XDEM.L
30.97%
1.61%
7.43%
34.07%
12.99%
14.02%
MVOL.L
13.48%
-2.41%
7.29%
18.40%
5.56%
7.44%
Key characteristics
| XDEM.L | MVOL.L | |
|---|---|---|
| Sharpe Ratio | 2.09 | 2.47 |
| Sortino Ratio | 2.76 | 3.49 |
| Omega Ratio | 1.40 | 1.43 |
| Calmar Ratio | 2.63 | 2.70 |
| Martin Ratio | 9.86 | 13.68 |
| Ulcer Index | 3.43% | 1.32% |
| Daily Std Dev | 16.12% | 7.32% |
| Max Drawdown | -22.42% | -28.82% |
| Current Drawdown | -0.94% | -2.41% |
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XDEM.L vs. MVOL.L - Expense Ratio Comparison
XDEM.L has a 0.25% expense ratio, which is lower than MVOL.L's 0.35% expense ratio.
Correlation
The correlation between XDEM.L and MVOL.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.
Risk-Adjusted Performance
XDEM.L vs. MVOL.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L) and iShares Edge MSCI World Minimum Volatility UCITS (MVOL.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.
Dividends
XDEM.L vs. MVOL.L - Dividend Comparison
Neither XDEM.L nor MVOL.L has paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
XDEM.L Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.63% |
MVOL.L iShares Edge MSCI World Minimum Volatility UCITS | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
XDEM.L vs. MVOL.L - Drawdown Comparison
The maximum XDEM.L drawdown since its inception was -22.42%, smaller than the maximum MVOL.L drawdown of -28.82%. Use the drawdown chart below to compare losses from any high point for XDEM.L and MVOL.L. For additional features, visit the drawdowns tool.
Volatility
XDEM.L vs. MVOL.L - Volatility Comparison
Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.L) has a higher volatility of 2.98% compared to iShares Edge MSCI World Minimum Volatility UCITS (MVOL.L) at 2.33%. This indicates that XDEM.L's price experiences larger fluctuations and is considered to be riskier than MVOL.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.