^GSPC vs. IUVF.L
^GSPC (S&P 500 Index) is an index, while IUVF.L (iShares Edge MSCI USA Value Factor UCITS) is Large Cap Value Equities fund tracking the Russell 1000 Value TR USD. Over the past 5 years, ^GSPC returned 11.73%/yr vs 15.04%/yr for IUVF.L. A 0.50 correlation means they provide meaningful diversification when combined.
Performance
^GSPC vs. IUVF.L - Performance Comparison
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Different Trading Currencies
^GSPC is traded in USD, while IUVF.L is traded in GBp. To make them comparable, the IUVF.L values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, ^GSPC achieves a 8.02% return, which is significantly lower than IUVF.L's 40.87% return.
^GSPC
- 1D
- 1.75%
- 1M
- -0.09%
- YTD
- 8.02%
- 6M
- 7.15%
- 1Y
- 22.78%
- 3Y*
- 19.45%
- 5Y*
- 11.73%
- 10Y*
- 13.53%
IUVF.L
- 1D
- 0.54%
- 1M
- 7.62%
- YTD
- 40.87%
- 6M
- 41.96%
- 1Y
- 77.88%
- 3Y*
- 30.51%
- 5Y*
- 15.04%
- 10Y*
- —
^GSPC vs. IUVF.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 8.02% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
IUVF.L iShares Edge MSCI USA Value Factor UCITS | 40.87% | 33.27% | 6.43% | 13.99% | -14.83% | 30.10% | -1.83% | 27.01% | -12.42% | 21.44% |
Correlation
The correlation between ^GSPC and IUVF.L is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.58 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.52 |
Correlation (All Time) Calculated using the full available price history since Oct 17, 2016 | 0.50 |
The correlation between ^GSPC and IUVF.L shifts across timeframes, from 0.47 (3 years) to 0.58 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
^GSPC vs. IUVF.L — Risk / Return Rank
^GSPC
IUVF.L
^GSPC vs. IUVF.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and iShares Edge MSCI USA Value Factor UCITS (IUVF.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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^GSPC | IUVF.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.85 | ||
| Sortino ratioReturn per unit of downside risk | -3.89 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.79 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 10.03 | -7.51 |
| Martin ratioReturn relative to average drawdown | 11.31 | 39.11 | -27.80 |
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Drawdowns
^GSPC vs. IUVF.L - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than IUVF.L's maximum drawdown of -39.29%. Use the drawdown chart below to compare losses from any high point for ^GSPC and IUVF.L.
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Drawdown Indicators
| ^GSPC | IUVF.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -39.29% | -17.49% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -7.73% | -1.37% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -18.56% | -0.34% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -27.00% | +1.57% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | — | — |
Current DrawdownCurrent decline from peak | -2.83% | -4.70% | +1.87% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -7.38% | -3.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 1.98% | +0.04% |
Volatility
^GSPC vs. IUVF.L - Volatility Comparison
The current volatility for S&P 500 Index (^GSPC) is 4.44%, while iShares Edge MSCI USA Value Factor UCITS (IUVF.L) has a volatility of 7.37%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than IUVF.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | IUVF.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.44% | 7.37% | -2.93% |
Volatility (6M)Calculated over the trailing 6-month period | 9.71% | 13.29% | -3.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 16.48% | -4.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 17.52% | -0.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 18.97% | -0.88% |
Frequently Asked Questions
^GSPC and IUVF.L have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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