PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
36B5.DE vs. VUSA.AS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


36B5.DEVUSA.AS
YTD Return13.43%23.17%
1Y Return14.15%30.67%
3Y Return (Ann)-1.86%10.05%
5Y Return (Ann)2.75%14.83%
Sharpe Ratio1.012.68
Sortino Ratio1.483.49
Omega Ratio1.181.53
Calmar Ratio0.583.62
Martin Ratio5.1716.22
Ulcer Index2.74%1.85%
Daily Std Dev14.04%11.19%
Max Drawdown-36.40%-33.64%
Current Drawdown-8.70%-2.81%

Correlation

-0.50.00.51.00.6

The correlation between 36B5.DE and VUSA.AS is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

36B5.DE vs. VUSA.AS - Performance Comparison

In the year-to-date period, 36B5.DE achieves a 13.43% return, which is significantly lower than VUSA.AS's 23.17% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.51%
10.90%
36B5.DE
VUSA.AS

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


36B5.DE vs. VUSA.AS - Expense Ratio Comparison

36B5.DE has a 0.25% expense ratio, which is higher than VUSA.AS's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


36B5.DE
iShares MSCI EM SRI UCITS ETF USD Dist
Expense ratio chart for 36B5.DE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VUSA.AS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

36B5.DE vs. VUSA.AS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EM SRI UCITS ETF USD Dist (36B5.DE) and Vanguard S&P 500 UCITS ETF (VUSA.AS). 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.


36B5.DE
Sharpe ratio
The chart of Sharpe ratio for 36B5.DE, currently valued at 1.04, compared to the broader market0.002.004.001.04
Sortino ratio
The chart of Sortino ratio for 36B5.DE, currently valued at 1.60, compared to the broader market0.005.0010.001.60
Omega ratio
The chart of Omega ratio for 36B5.DE, currently valued at 1.19, compared to the broader market1.001.502.002.503.001.19
Calmar ratio
The chart of Calmar ratio for 36B5.DE, currently valued at 0.51, compared to the broader market0.005.0010.0015.0020.000.51
Martin ratio
The chart of Martin ratio for 36B5.DE, currently valued at 5.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.29
VUSA.AS
Sharpe ratio
The chart of Sharpe ratio for VUSA.AS, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for VUSA.AS, currently valued at 4.00, compared to the broader market0.005.0010.004.00
Omega ratio
The chart of Omega ratio for VUSA.AS, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for VUSA.AS, currently valued at 4.09, compared to the broader market0.005.0010.0015.0020.004.09
Martin ratio
The chart of Martin ratio for VUSA.AS, currently valued at 18.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.18

36B5.DE vs. VUSA.AS - Sharpe Ratio Comparison

The current 36B5.DE Sharpe Ratio is 1.01, which is lower than the VUSA.AS Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of 36B5.DE and VUSA.AS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.04
2.90
36B5.DE
VUSA.AS

Dividends

36B5.DE vs. VUSA.AS - Dividend Comparison

36B5.DE's dividend yield for the trailing twelve months is around 2.10%, more than VUSA.AS's 1.03% yield.


TTM20232022202120202019201820172016201520142013
36B5.DE
iShares MSCI EM SRI UCITS ETF USD Dist
2.10%2.32%2.31%1.84%1.57%2.31%0.00%0.00%0.00%0.00%0.00%0.00%
VUSA.AS
Vanguard S&P 500 UCITS ETF
1.03%1.26%1.45%1.02%1.43%1.46%1.74%1.64%1.66%1.76%1.45%1.19%

Drawdowns

36B5.DE vs. VUSA.AS - Drawdown Comparison

The maximum 36B5.DE drawdown since its inception was -36.40%, which is greater than VUSA.AS's maximum drawdown of -33.64%. Use the drawdown chart below to compare losses from any high point for 36B5.DE and VUSA.AS. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-17.46%
-2.48%
36B5.DE
VUSA.AS

Volatility

36B5.DE vs. VUSA.AS - Volatility Comparison

iShares MSCI EM SRI UCITS ETF USD Dist (36B5.DE) has a higher volatility of 3.75% compared to Vanguard S&P 500 UCITS ETF (VUSA.AS) at 2.46%. This indicates that 36B5.DE's price experiences larger fluctuations and is considered to be riskier than VUSA.AS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.75%
2.46%
36B5.DE
VUSA.AS