Xtrackers MSCI World Momentum UCITS ETF

10-Year Study

XDEM.LSE · · GB · ETF

Executive Summary: Xtrackers MSCI World Momentum UCITS ETF has compounded at 15.6% annually over the last 10 years, with a maximum drawdown of 15.0% and an annualized volatility of 22.5%.

1Y CAGR
+21.6%
3Y CAGR
+22.5%
5Y CAGR
+12.3%
10Y CAGR
+15.6%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
15.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.88
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.38
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +32.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -8.1%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
90%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.42.4-7.812.0————————7.2%
20256.0-3.1-8.10.06.72.03.6-0.95.02.6-1.20.212.5%
20245.69.24.9-2.62.36.1-3.7-0.50.43.45.3-0.732.9%
2023-1.4-0.9-1.61.3-3.74.01.20.3-0.2-1.74.54.35.9%
2022-8.3-0.87.9-6.6-2.4-4.34.02.7-2.55.50.4-2.5-8.1%
20210.7-2.61.16.9-3.83.61.24.3-1.04.80.5-0.715.6%
20203.1-5.5-5.67.66.64.61.15.21.2-3.86.02.424.1%
20193.42.84.23.20.25.06.2-0.9-1.4-3.93.0-0.123.4%
20182.22.3-6.24.65.90.72.15.40.8-8.00.6-6.92.3%
20170.64.01.3-1.54.4-0.41.73.4-1.45.80.01.020.4%
2016———-1.11.57.45.31.11.54.8-1.53.023.9%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 22.5%. The dominant macroeconomic risk driver is VTI.US, accounting for 100.2% of variance. Idiosyncratic stock-specific factors contribute 6.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019893.582715253144
2016-05-0110040.309577555627
2016-06-0110785.230570783617
2016-07-0111357.626572073525
2016-08-0111481.780070944857
2016-09-0111655.917445985167
2016-10-0112210.577233150598
2016-11-0112021.928410190261
2016-12-0112387.939374395355
2017-01-0112463.721380199935
2017-02-0112965.17252499194
2017-03-0113139.309900032247
2017-04-0112940.98677845856
2017-05-0113511.770396646243
2017-06-0113461.786520477266
2017-07-0113697.194453402128
2017-08-0114159.94840374073
2017-09-0113955.175749758142
2017-10-0114769.429216381814
2017-11-0114771.041599484039
2017-12-0114914.54369558207
2018-01-0115241.857465333764
2018-02-0115593.356981618834
2018-03-0114633.989035794906
2018-04-0115309.577555627216
2018-05-0116214.124475975492
2018-06-0116320.541760722346
2018-07-0116668.816510802968
2018-08-0117565.301515640116
2018-09-0117713.640761044826
2018-10-0116288.294098677847
2018-11-0116385.037084811353
2018-12-0115254.756530151562
2019-01-0115769.106739761368
2019-02-0116217.349242179942
2019-03-0116894.55014511448
2019-04-0117429.86133505321
2019-05-0117462.10899709771
2019-06-0118329.57110609481
2019-07-0119461.46404385682
2019-08-0119290.551435020963
2019-09-0119022.8958400516
2019-10-0118284.424379232507
2019-11-0118829.409867784587
2019-12-0118819.735569171233
2020-01-0119409.86778458562
2020-02-0118348.91970332151
2020-03-0117323.444050306352
2020-04-0118645.598194130926
2020-05-0119880.68365043534
2020-06-0120790.067720090294
2020-07-0121015.801354401807
2020-08-0122102.547565301513
2020-09-0122376.652692679778
2020-10-0121525.31441470493
2020-11-0122815.220896485003
2020-12-0123363.431151241537
2021-01-0123537.56852628184
2021-02-0122934.537246049662
2021-03-0123186.069009996776
2021-04-0124785.553047404064
2021-05-0123843.921315704614
2021-06-0124708.158658497257
2021-07-0124995.162850693323
2021-08-0126075.459529184136
2021-09-0125820.702999032572
2021-10-0127065.462753950338
2021-11-0127210.577233150594
2021-12-0127010.641728474686
2022-01-0124756.530151564013
2022-02-0124553.369880683647
2022-03-0126497.903901967107
2022-04-0124740.406320541762
2022-05-0124153.498871331827
2022-06-0123124.79845211222
2022-07-0124047.081586584973
2022-08-0124688.81006127056
2022-09-0124063.205417607227
2022-10-0125385.359561431796
2022-11-0125475.6530151564
2022-12-0124833.924540470816
2023-01-0124482.425024185748
2023-02-0124259.916156078685
2023-03-0123872.94421154466
2023-04-0124185.74653337633
2023-05-0123282.81199613028
2023-06-0124217.994195420833
2023-07-0124517.8974524347
2023-08-0124595.291841341503
2023-09-0124534.02128345695
2023-10-0124124.475975491776
2023-11-0125217.671718800386
2023-12-0126294.74363108675
2024-01-0127758.787487907128
2024-02-0130306.352789422766
2024-03-0131783.295711060946
2024-04-0130951.3060303128
2024-05-0131667.204127700745
2024-06-0133608.51338277975
2024-07-0132357.30409545308
2024-08-0132189.61625282167
2024-09-0132308.93260238633
2024-10-0133408.57787810384
2024-11-0135188.648822960335
2024-12-0134937.117059013224
2025-01-0137049.33892292809
2025-02-0135910.99645275718
2025-03-0133002.257336343115
2025-04-0133011.93163495646
2025-05-0135214.446952595936
2025-06-0135917.44598516608
2025-07-0137197.6781683328
2025-08-0136846.178652047725
2025-09-0138677.84585617543
2025-10-0139690.42244437279
2025-11-0139226.05611093196
2025-12-0139309.900032247664
2026-01-0139871.009351821995
2026-02-0140812.64108352144
2026-03-0137613.67300870687
2026-04-0142131.570461141564
Annual Return Matrix
YearAnnual Return
20170.20395678771313297
20180.02281081081081071
20190.23369622661452283
20200.24143248800548323
20210.15610766045548652
2022-0.08058739255014324
20230.05882352941176472
20240.328673043904832
20250.12516152852132167
20260.07178014766201812
Total Factor Risk
0.22543534849385422
VTI.US Exposure
1.0023693179531326
VEA.US Exposure
0.11489327255238496
VWO.US Exposure
-0.019759471628325313
QQQ.US Exposure
-0.19852901855773777
VTV.US Exposure
-0.07694467692328419
IJR.US Exposure
-0.05813512001821176
QUAL.US Exposure
0.0374779707204437
SHV.US Exposure
0.03286055542835775
TLT.US Exposure
0.016916698707642817
LQD.US Exposure
-0.004498537495991631
HYG.US Exposure
0.0016228058647304575
GLD.US Exposure
-0.00006775456493476488
USO.US Exposure
0.007453628421983018
VNQ.US Exposure
-0.01661125211065963
BTC-USD.CC Exposure
0.012263775612520709
CPER.US Exposure
-0.0049847629971044175
VIX.INDX Exposure
0.018191489254102352
UUP.US Exposure
0.07216708814958894
TIP.US Exposure
-0.00016033939886106948
Idiosyncratic Exposure
0.06347433103022315
Value Score
41.6
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
40.7
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
22.5%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →20.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.39%
Market Cap$182.8B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.5%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+9.4%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Xtrackers MSCI World Momentum UCITS ETF a high-risk investment?

Xtrackers MSCI World Momentum UCITS ETF (XDEM.LSE) has an annualized volatility of 22.5% and experienced a maximum drawdown of 15.0% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of XDEM.LSE?

Over the past 10 years, XDEM.LSE has generated a Compound Annual Growth Rate (CAGR) of 15.6%. It has had a positive return in 90% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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