CEMR.DE vs. ^GSPC
CEMR.DE (iShares Edge MSCI Europe Momentum Factor UCITS ETF) is Momentum fund tracking the MSCI Europe Momentum Index, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, CEMR.DE returned 11.36%/yr vs 13.40%/yr for ^GSPC. At a 0.45 correlation, their price movements are largely independent.
Performance
CEMR.DE vs. ^GSPC - Performance Comparison
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Different Trading Currencies
CEMR.DE is traded in EUR, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, CEMR.DE achieves a 7.91% return, which is significantly lower than ^GSPC's 12.06% return. Over the past 10 years, CEMR.DE has underperformed ^GSPC with an annualized return of 11.36%, while ^GSPC has yielded a comparatively higher 13.40% annualized return.
CEMR.DE
- 1D
- -0.11%
- 1M
- 2.92%
- YTD
- 7.91%
- 6M
- 11.43%
- 1Y
- 17.51%
- 3Y*
- 20.23%
- 5Y*
- 11.35%
- 10Y*
- 11.36%
^GSPC
- 1D
- 0.27%
- 1M
- 5.17%
- YTD
- 12.06%
- 6M
- 10.90%
- 1Y
- 24.89%
- 3Y*
- 17.85%
- 5Y*
- 13.43%
- 10Y*
- 13.40%
CEMR.DE vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CEMR.DE iShares Edge MSCI Europe Momentum Factor UCITS ETF | 7.91% | 27.17% | 20.01% | 12.79% | -15.33% | 22.25% | 10.74% | 31.66% | -10.73% | 11.48% |
^GSPC S&P 500 Index | 12.06% | 2.58% | 31.45% | 20.51% | -14.45% | 36.38% | 6.68% | 31.79% | -1.84% | 4.74% |
Correlation
The correlation between CEMR.DE and ^GSPC is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.43 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.38 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.43 |
Correlation (All Time) Calculated using the full available price history since Jan 21, 2015 | 0.45 |
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Return for Risk
CEMR.DE vs. ^GSPC — Risk / Return Rank
CEMR.DE
^GSPC
CEMR.DE vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Momentum Factor UCITS ETF (CEMR.DE) and S&P 500 Index (^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.
| CEMR.DE | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.03 | ||
| Sortino ratioReturn per unit of downside risk | -1.06 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.37 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 1.49 | 3.30 | -1.82 |
| Martin ratioReturn relative to average drawdown | 5.53 | 12.34 | -6.81 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CEMR.DE | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.01 | 2.04 | -1.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.69 | 0.80 | -0.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.68 | 0.72 | -0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.61 | 0.51 | +0.10 |
Drawdowns
CEMR.DE vs. ^GSPC - Drawdown Comparison
The maximum CEMR.DE drawdown since its inception was -31.78%, smaller than the maximum ^GSPC drawdown of -51.62%. Use the drawdown chart below to compare losses from any high point for CEMR.DE and ^GSPC.
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Drawdown Indicators
| CEMR.DE | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.78% | -51.62% | +19.84% |
Max Drawdown (1Y)Largest decline over 1 year | -11.73% | -7.57% | -4.16% |
Max Drawdown (3Y)Largest decline over 3 years | -15.75% | -23.99% | +8.24% |
Max Drawdown (5Y)Largest decline over 5 years | -23.73% | -23.99% | +0.26% |
Max Drawdown (10Y)Largest decline over 10 years | -31.78% | -33.42% | +1.64% |
Current DrawdownCurrent decline from peak | -1.48% | -0.20% | -1.28% |
Average DrawdownAverage peak-to-trough decline | -6.03% | -9.08% | +3.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.16% | 2.02% | +1.14% |
Volatility
CEMR.DE vs. ^GSPC - Volatility Comparison
iShares Edge MSCI Europe Momentum Factor UCITS ETF (CEMR.DE) has a higher volatility of 4.42% compared to S&P 500 Index (^GSPC) at 2.24%. This indicates that CEMR.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.
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Volatility by Period
| CEMR.DE | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.42% | 2.24% | +2.18% |
Volatility (6M)Calculated over the trailing 6-month period | 14.63% | 8.62% | +6.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.29% | 12.29% | +5.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.37% | 16.79% | -0.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.48% | 18.59% | -2.11% |
Frequently Asked Questions
CEMR.DE and ^GSPC have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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