CEMQ.DE vs. ^GSPC
Compare and contrast key facts about iShares Edge MSCI Europe Quality Factor UCITS ETF (CEMQ.DE) and S&P 500 (^GSPC).
CEMQ.DE is a passively managed fund by iShares that tracks the performance of the MSCI Europe Sector Neutral Quality. It was launched on Jan 16, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CEMQ.DE or ^GSPC.
Key characteristics
| CEMQ.DE | ^GSPC | |
|---|---|---|
| YTD Return | 3.89% | 25.70% |
| 1Y Return | 11.48% | 37.91% |
| 3Y Return (Ann) | 2.23% | 8.59% |
| 5Y Return (Ann) | 6.88% | 14.18% |
| Sharpe Ratio | 1.05 | 2.97 |
| Sortino Ratio | 1.51 | 3.97 |
| Omega Ratio | 1.18 | 1.56 |
| Calmar Ratio | 1.43 | 3.93 |
| Martin Ratio | 4.96 | 19.39 |
| Ulcer Index | 2.15% | 1.90% |
| Daily Std Dev | 10.30% | 12.38% |
| Max Drawdown | -33.74% | -56.78% |
| Current Drawdown | -6.28% | 0.00% |
Correlation
The correlation between CEMQ.DE and ^GSPC is 0.43, 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
CEMQ.DE vs. ^GSPC - Performance Comparison
In the year-to-date period, CEMQ.DE achieves a 3.89% return, which is significantly lower than ^GSPC's 25.70% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Risk-Adjusted Performance
CEMQ.DE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Quality Factor UCITS ETF (CEMQ.DE) and S&P 500 (^GSPC). 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.
Drawdowns
CEMQ.DE vs. ^GSPC - Drawdown Comparison
The maximum CEMQ.DE drawdown since its inception was -33.74%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for CEMQ.DE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
CEMQ.DE vs. ^GSPC - Volatility Comparison
iShares Edge MSCI Europe Quality Factor UCITS ETF (CEMQ.DE) has a higher volatility of 4.33% compared to S&P 500 (^GSPC) at 3.92%. This indicates that CEMQ.DE's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.