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SPDR MSCI USA Value Weighted UCITS ETF (UVAL.L) Sharpe Ratio: 1.67

UVAL.L's Sharpe Ratio of 1.67 indicates that for each unit of volatility, it generates 1.67 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 2, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

UVAL.L Sharpe Ratio Rank

UVAL.L Sharpe Ratio Rank: 81.582
Exceptional

UVAL.L ranks above 81.5% of all investments in our database based on Sharpe Ratio over the past 12 months, demonstrating exceptional risk-adjusted returns. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Suitable as a core holding given strong risk-adjusted returns
  • Monitor rank changes to detect deteriorating return-to-volatility profile
  • Exceptional Sharpe ratio supports larger position sizes
  • Compare with category peers to assess whether strength is investment-specific or category-wide

UVAL.L Sharpe Ratio Market Positioning

The chart shows UVAL.L's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.49 or lower
  • Yellow zone (middle 50%): 0.49 to 1.44
  • Green zone (top 25%): 1.44 or higher
  • Top 1%: 5.96+
  • Median: 0.98 — half of all investments score higher

How it compares to other similar ETFs

The table compares SPDR MSCI USA Value Weighted UCITS ETF's Sharpe Ratio with other ETFs in the Large Cap Value Equities category across multiple time periods, showing how UVAL.L's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Apr 2, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
IUVD.LiShares Edge MSCI USA Value Factor UCITS ETF USD (Dist)2.18
IUVL.LiShares Edge MSCI USA Value Factor UCITS ETF USD (Acc)2.13
IUVF.LiShares Edge MSCI USA Value Factor UCITS2.02
UVAL.LSPDR MSCI USA Value Weighted UCITS ETF1.67
PQVM.LInvesco S&P 500 QVM UCITS ETF1.12
PSRF.LInvesco FTSE RAFI US 1000 UCITS ETF1.07
PQVG.LInvesco S&P 500 QVM UCITS ETF0.95
UC07.LUBS ETF (IE) MSCI USA Value UCITS ETF (USD) A-dis0.65
UC96.LUBS ETF (IE) Factor MSCI USA Prime Value UCITS ETF (USD) A-dis0.57
SPMD.LiShares Edge S&P 500 Minimum Volatility UCITS ETF USD (Dist)0.40

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows UVAL.L's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when UVAL.L consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Explore UVAL.L risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

UVAL.L Sortino Ratio