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5ESG.L vs. BTC-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between 5ESG.L and BTC-USD is 0.17, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

5ESG.L vs. BTC-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in UBS ETF (IE) S&P 500 ESG UCITS ETF (hedged to GBP) A-dis (5ESG.L) and Bitcoin (BTC-USD). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
7.50%
62.27%
5ESG.L
BTC-USD

Key characteristics

Sharpe Ratio

5ESG.L:

2.06

BTC-USD:

1.74

Sortino Ratio

5ESG.L:

2.83

BTC-USD:

2.47

Omega Ratio

5ESG.L:

1.39

BTC-USD:

1.24

Calmar Ratio

5ESG.L:

2.97

BTC-USD:

1.59

Martin Ratio

5ESG.L:

12.30

BTC-USD:

8.14

Ulcer Index

5ESG.L:

2.00%

BTC-USD:

10.81%

Daily Std Dev

5ESG.L:

11.89%

BTC-USD:

44.45%

Max Drawdown

5ESG.L:

-31.50%

BTC-USD:

-93.07%

Current Drawdown

5ESG.L:

-2.31%

BTC-USD:

-7.03%

Returns By Period

In the year-to-date period, 5ESG.L achieves a 24.52% return, which is significantly lower than BTC-USD's 133.47% return.


5ESG.L

YTD

24.52%

1M

-0.34%

6M

8.14%

1Y

25.47%

5Y*

16.84%

10Y*

N/A

BTC-USD

YTD

133.47%

1M

0.68%

6M

59.66%

1Y

126.25%

5Y*

68.62%

10Y*

77.61%

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Risk-Adjusted Performance

5ESG.L vs. BTC-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for UBS ETF (IE) S&P 500 ESG UCITS ETF (hedged to GBP) A-dis (5ESG.L) and Bitcoin (BTC-USD). 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.


Sharpe ratio
The chart of Sharpe ratio for 5ESG.L, currently valued at 1.89, compared to the broader market0.002.004.001.891.74
The chart of Sortino ratio for 5ESG.L, currently valued at 2.57, compared to the broader market-2.000.002.004.006.008.0010.002.572.47
The chart of Omega ratio for 5ESG.L, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.24
The chart of Calmar ratio for 5ESG.L, currently valued at 0.93, compared to the broader market0.005.0010.0015.000.931.59
The chart of Martin ratio for 5ESG.L, currently valued at 10.83, compared to the broader market0.0020.0040.0060.0080.00100.0010.838.14
5ESG.L
BTC-USD

The current 5ESG.L Sharpe Ratio is 2.06, which is comparable to the BTC-USD Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of 5ESG.L and BTC-USD, 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 Ratio1.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
1.89
1.74
5ESG.L
BTC-USD

Drawdowns

5ESG.L vs. BTC-USD - Drawdown Comparison

The maximum 5ESG.L drawdown since its inception was -31.50%, smaller than the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for 5ESG.L and BTC-USD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.93%
-7.03%
5ESG.L
BTC-USD

Volatility

5ESG.L vs. BTC-USD - Volatility Comparison

The current volatility for UBS ETF (IE) S&P 500 ESG UCITS ETF (hedged to GBP) A-dis (5ESG.L) is 4.33%, while Bitcoin (BTC-USD) has a volatility of 14.16%. This indicates that 5ESG.L experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
4.33%
14.16%
5ESG.L
BTC-USD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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