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500G.L vs. MSCI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


500G.LMSCI
YTD Return20.58%3.26%
1Y Return33.08%21.52%
3Y Return (Ann)11.72%-3.54%
5Y Return (Ann)15.71%21.01%
Sharpe Ratio2.960.83
Sortino Ratio4.091.27
Omega Ratio1.561.19
Calmar Ratio5.000.71
Martin Ratio20.352.11
Ulcer Index1.58%10.92%
Daily Std Dev10.84%27.65%
Max Drawdown-25.52%-69.06%
Current Drawdown-0.41%-11.70%

Correlation

-0.50.00.51.00.4

The correlation between 500G.L and MSCI is 0.41, 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

500G.L vs. MSCI - Performance Comparison

In the year-to-date period, 500G.L achieves a 20.58% return, which is significantly higher than MSCI's 3.26% 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%10.00%20.00%30.00%MayJuneJulyAugustSeptemberOctober
15.83%
25.05%
500G.L
MSCI

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Risk-Adjusted Performance

500G.L vs. MSCI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amundi S&P 500 UCITS ETF C USD (500G.L) and MSCI Inc. (MSCI). 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.


500G.L
Sharpe ratio
The chart of Sharpe ratio for 500G.L, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for 500G.L, currently valued at 4.49, compared to the broader market0.005.0010.004.49
Omega ratio
The chart of Omega ratio for 500G.L, currently valued at 1.63, compared to the broader market1.001.502.002.503.001.63
Calmar ratio
The chart of Calmar ratio for 500G.L, currently valued at 4.62, compared to the broader market0.005.0010.0015.004.62
Martin ratio
The chart of Martin ratio for 500G.L, currently valued at 20.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.18
MSCI
Sharpe ratio
The chart of Sharpe ratio for MSCI, currently valued at 0.66, compared to the broader market-2.000.002.004.006.000.66
Sortino ratio
The chart of Sortino ratio for MSCI, currently valued at 1.05, compared to the broader market0.005.0010.001.05
Omega ratio
The chart of Omega ratio for MSCI, currently valued at 1.16, compared to the broader market1.001.502.002.503.001.16
Calmar ratio
The chart of Calmar ratio for MSCI, currently valued at 0.55, compared to the broader market0.005.0010.0015.000.55
Martin ratio
The chart of Martin ratio for MSCI, currently valued at 1.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.62

500G.L vs. MSCI - Sharpe Ratio Comparison

The current 500G.L Sharpe Ratio is 2.96, which is higher than the MSCI Sharpe Ratio of 0.83. The chart below compares the historical Sharpe Ratios of 500G.L and MSCI, 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
3.25
0.66
500G.L
MSCI

Dividends

500G.L vs. MSCI - Dividend Comparison

500G.L has not paid dividends to shareholders, while MSCI's dividend yield for the trailing twelve months is around 1.07%.


TTM2023202220212020201920182017201620152014
500G.L
Amundi S&P 500 UCITS ETF C USD
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MSCI
MSCI Inc.
1.07%0.98%0.98%0.59%0.65%0.98%1.30%1.04%1.27%1.11%0.38%

Drawdowns

500G.L vs. MSCI - Drawdown Comparison

The maximum 500G.L drawdown since its inception was -25.52%, smaller than the maximum MSCI drawdown of -69.06%. Use the drawdown chart below to compare losses from any high point for 500G.L and MSCI. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.40%
-11.70%
500G.L
MSCI

Volatility

500G.L vs. MSCI - Volatility Comparison

The current volatility for Amundi S&P 500 UCITS ETF C USD (500G.L) is 1.83%, while MSCI Inc. (MSCI) has a volatility of 5.69%. This indicates that 500G.L experiences smaller price fluctuations and is considered to be less risky than MSCI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
1.83%
5.69%
500G.L
MSCI