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 11.95%/yr vs 13.39%/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 8.24% return, which is significantly lower than ^GSPC's 11.08% return. Over the past 10 years, CEMR.DE has underperformed ^GSPC with an annualized return of 11.95%, while ^GSPC has yielded a comparatively higher 13.39% annualized return.
CEMR.DE
- 1D
- -0.94%
- 1M
- 0.32%
- YTD
- 8.24%
- 6M
- 8.76%
- 1Y
- 19.92%
- 3Y*
- 20.60%
- 5Y*
- 11.38%
- 10Y*
- 11.95%
^GSPC
- 1D
- 0.00%
- 1M
- 0.10%
- YTD
- 11.08%
- 6M
- 9.96%
- 1Y
- 23.31%
- 3Y*
- 17.45%
- 5Y*
- 12.53%
- 10Y*
- 13.39%
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 | 8.24% | 27.25% | 20.02% | 12.77% | -15.32% | 22.13% | 10.84% | 31.55% | -10.67% | 11.55% |
^GSPC S&P 500 Index | 10.85% | 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 | 0.42 |
Correlation (All Time) Calculated using the full available price history since Jan 19, 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CEMR.DE | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.72 | ||
| Sortino ratioReturn per unit of downside risk | -0.66 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.34 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.69 | 3.10 | -1.41 |
| Martin ratioReturn relative to average drawdown | 6.40 | 11.44 | -5.05 |
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Drawdowns
CEMR.DE vs. ^GSPC - Drawdown Comparison
The maximum CEMR.DE drawdown since its inception was -31.80%, 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 | -31.80% | -51.62% | +19.82% |
Max Drawdown (1Y)Largest decline over 1 year | -11.75% | -7.57% | -4.18% |
Max Drawdown (3Y)Largest decline over 3 years | -15.72% | -23.99% | +8.27% |
Max Drawdown (5Y)Largest decline over 5 years | -23.77% | -23.99% | +0.22% |
Max Drawdown (10Y)Largest decline over 10 years | -31.80% | -33.42% | +1.62% |
Current DrawdownCurrent decline from peak | -1.56% | -1.08% | -0.48% |
Average DrawdownAverage peak-to-trough decline | -6.00% | -9.08% | +3.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.11% | 2.04% | +1.07% |
Volatility
CEMR.DE vs. ^GSPC - Volatility Comparison
iShares Edge MSCI Europe Momentum Factor UCITS ETF (CEMR.DE) has a higher volatility of 4.24% compared to S&P 500 Index (^GSPC) at 3.97%. 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 | 4.24% | 3.97% | +0.27% |
Volatility (6M)Calculated over the trailing 6-month period | 14.90% | 9.16% | +5.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.47% | 12.59% | +4.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.42% | 16.85% | -0.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.35% | 18.61% | -2.26% |
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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