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^GSPC vs. SDEU.L
Performance
Return for Risk
Drawdowns
Volatility

^GSPC vs. SDEU.L

Last updated Jun 9, 2026

^GSPC (S&P 500 Index) is an index, while SDEU.L (iShares Germany Government Bond UCITS ETF (Dist)) is European Government Bonds fund tracking the Bloomberg Euro Agg Govt TR EUR. Over the past 10 years, ^GSPC returned 13.45%/yr vs -1.13%/yr for SDEU.L. At a 0.09 correlation, their price movements are largely independent.

Performance

^GSPC vs. SDEU.L - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Index (^GSPC) and iShares Germany Government Bond UCITS ETF (Dist) (SDEU.L). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

^GSPC is traded in USD, while SDEU.L is traded in GBP. To make them comparable, the SDEU.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 8.18% return, which is significantly higher than SDEU.L's -2.22% return. Over the past 10 years, ^GSPC has outperformed SDEU.L with an annualized return of 13.45%, while SDEU.L has yielded a comparatively lower -1.13% annualized return.

^GSPC

1D
0.30%
1M
0.09%
YTD
8.18%
6M
8.17%
1Y
23.42%
3Y*
19.88%
5Y*
11.91%
10Y*
13.45%

SDEU.L

1D
0.12%
1M
-2.24%
YTD
-2.22%
6M
-0.83%
1Y
-0.16%
3Y*
3.14%
5Y*
-4.21%
10Y*
-1.13%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^GSPC vs. SDEU.L - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
^GSPC
S&P 500 Index		8.18%16.39%23.31%24.23%-19.44%26.89%16.26%28.88%-6.24%19.42%
SDEU.L
iShares Germany Government Bond UCITS ETF (Dist)		-2.22%11.34%-5.80%8.51%-22.46%-9.88%11.78%1.74%-2.72%11.56%

Correlation

The correlation between ^GSPC and SDEU.L is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.30

Correlation (3Y)
Calculated over the trailing 3-year period

0.24

Correlation (5Y)
Calculated over the trailing 5-year period

0.26

Correlation (10Y)
Calculated over the trailing 10-year period

0.14

Correlation (All Time)
Calculated using the full available price history since May 9, 2012

0.09

Over the past year, ^GSPC and SDEU.L have become more correlated (0.30) than their long-term average of 0.09, meaning their price movements have been converging.

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S&P 500 Index

iShares Germany Government Bond UCITS ETF (Dist)

Often compared with ^GSPC:
^GSPC vs. ^IBEX^GSPC vs. AVGO^GSPC vs. SCHD^GSPC vs. GC=F^GSPC vs. TSMU^GSPC vs. QQQ^GSPC vs. ACWI
Often compared with SDEU.L:
SDEU.L vs. SEGA.LSDEU.L vs. TLTSDEU.L vs. USTY.LSDEU.L vs. VUTY.LSDEU.L vs. UKG5.LSDEU.L vs. GILS.LSDEU.L vs. GLTS.L

Return for Risk

^GSPC vs. SDEU.L — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^GSPC
^GSPC Risk / Return Rank: 6868
Overall Rank
^GSPC Sharpe Ratio Rank: 6363
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 6565
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 7171
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 6565
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 7979
Martin Ratio Rank
SDEU.L
SDEU.L Risk / Return Rank: 1212
Overall Rank
SDEU.L Sharpe Ratio Rank: 1313
Sharpe Ratio Rank
SDEU.L Sortino Ratio Rank: 1212
Sortino Ratio Rank
SDEU.L Omega Ratio Rank: 1212
Omega Ratio Rank
SDEU.L Calmar Ratio Rank: 1313
Calmar Ratio Rank
SDEU.L Martin Ratio Rank: 1212
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^GSPC vs. SDEU.L - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and iShares Germany Government Bond UCITS ETF (Dist) (SDEU.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.

^GSPCSDEU.LDifference
Sharpe ratioReturn per unit of total volatility
1.94
-0.02

+1.96

Sortino ratioReturn per unit of downside risk
2.63
0.03

+2.60

Omega ratioGain probability vs. loss probability

1.35

1.00

+0.35

Calmar ratioReturn relative to maximum drawdown

2.59

-0.03

+2.61

Martin ratioReturn relative to average drawdown

11.84

-0.06

+11.91

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^GSPC vs. SDEU.L - Sharpe Ratio Comparison

The current ^GSPC Sharpe Ratio is 1.94, which is higher than the SDEU.L Sharpe Ratio of -0.02. The chart below compares the historical Sharpe Ratios of ^GSPC and SDEU.L, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

^GSPCSDEU.LDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.94

-0.02

+1.96

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.71

-0.42

+1.12

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.75

-0.12

+0.87

Sharpe Ratio (All Time)

Calculated using the full available price history

0.47

-0.22

+0.69

Drawdowns

^GSPC vs. SDEU.L - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than SDEU.L's maximum drawdown of -41.52%. Use the drawdown chart below to compare losses from any high point for ^GSPC and SDEU.L.

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Drawdown Indicators

^GSPCSDEU.LDifference

Max Drawdown

Largest peak-to-trough decline

-56.78%

-41.52%

-15.26%

Max Drawdown (1Y)

Largest decline over 1 year

-9.10%

-5.67%

-3.43%

Max Drawdown (3Y)

Largest decline over 3 years

-18.90%

-10.32%

-8.58%

Max Drawdown (5Y)

Largest decline over 5 years

-25.43%

-34.26%

+8.83%

Max Drawdown (10Y)

Largest decline over 10 years

-33.92%

-37.02%

+3.10%

Current Drawdown

Current decline from peak

-2.68%

-28.28%

+25.60%

Average Drawdown

Average peak-to-trough decline

-10.72%

-22.07%

+11.35%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.98%

2.49%

-0.51%

Volatility

^GSPC vs. SDEU.L - Volatility Comparison

S&P 500 Index (^GSPC) has a higher volatility of 3.80% compared to iShares Germany Government Bond UCITS ETF (Dist) (SDEU.L) at 2.39%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than SDEU.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

^GSPCSDEU.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.80%

2.39%

+1.41%

Volatility (6M)

Calculated over the trailing 6-month period

9.41%

5.97%

+3.44%

Volatility (1Y)

Calculated over the trailing 1-year period

12.17%

8.05%

+4.12%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.94%

10.12%

+6.82%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.09%

9.32%

+8.77%

Frequently Asked Questions

^GSPC and SDEU.L have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

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