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CUS1.L vs. R2SC.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CUS1.L and R2SC.L is 0.98, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

CUS1.L vs. R2SC.L - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Small Cap ESG Enhanced UCITS ETF (Acc) (CUS1.L) and SPDR Russell 2000 US Small Cap UCITS ETF (R2SC.L). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
126.93%
109.52%
CUS1.L
R2SC.L

Key characteristics

Sharpe Ratio

CUS1.L:

0.67

R2SC.L:

0.59

Sortino Ratio

CUS1.L:

1.12

R2SC.L:

1.02

Omega Ratio

CUS1.L:

1.13

R2SC.L:

1.12

Calmar Ratio

CUS1.L:

1.37

R2SC.L:

0.76

Martin Ratio

CUS1.L:

2.84

R2SC.L:

2.66

Ulcer Index

CUS1.L:

4.01%

R2SC.L:

4.28%

Daily Std Dev

CUS1.L:

16.95%

R2SC.L:

19.35%

Max Drawdown

CUS1.L:

-35.26%

R2SC.L:

-35.03%

Current Drawdown

CUS1.L:

-7.98%

R2SC.L:

-8.94%

Returns By Period

The year-to-date returns for both investments are quite close, with CUS1.L having a 11.39% return and R2SC.L slightly higher at 11.40%. Over the past 10 years, CUS1.L has outperformed R2SC.L with an annualized return of 10.73%, while R2SC.L has yielded a comparatively lower 9.75% annualized return.


CUS1.L

YTD

11.39%

1M

-6.15%

6M

10.94%

1Y

11.51%

5Y*

9.29%

10Y*

10.73%

R2SC.L

YTD

11.40%

1M

-6.89%

6M

10.65%

1Y

11.38%

5Y*

7.90%

10Y*

9.75%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


CUS1.L vs. R2SC.L - Expense Ratio Comparison

CUS1.L has a 0.43% expense ratio, which is higher than R2SC.L's 0.30% expense ratio.


CUS1.L
iShares MSCI USA Small Cap ESG Enhanced UCITS ETF (Acc)
Expense ratio chart for CUS1.L: current value at 0.43% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.43%
Expense ratio chart for R2SC.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

CUS1.L vs. R2SC.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Small Cap ESG Enhanced UCITS ETF (Acc) (CUS1.L) and SPDR Russell 2000 US Small Cap UCITS ETF (R2SC.L). 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 CUS1.L, currently valued at 0.57, compared to the broader market0.002.004.000.570.50
The chart of Sortino ratio for CUS1.L, currently valued at 0.93, compared to the broader market-2.000.002.004.006.008.0010.000.930.86
The chart of Omega ratio for CUS1.L, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.10
The chart of Calmar ratio for CUS1.L, currently valued at 0.73, compared to the broader market0.005.0010.0015.000.730.49
The chart of Martin ratio for CUS1.L, currently valued at 2.72, compared to the broader market0.0020.0040.0060.0080.00100.002.722.57
CUS1.L
R2SC.L

The current CUS1.L Sharpe Ratio is 0.67, which is comparable to the R2SC.L Sharpe Ratio of 0.59. The chart below compares the historical Sharpe Ratios of CUS1.L and R2SC.L, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.57
0.50
CUS1.L
R2SC.L

Dividends

CUS1.L vs. R2SC.L - Dividend Comparison

Neither CUS1.L nor R2SC.L has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

CUS1.L vs. R2SC.L - Drawdown Comparison

The maximum CUS1.L drawdown since its inception was -35.26%, roughly equal to the maximum R2SC.L drawdown of -35.03%. Use the drawdown chart below to compare losses from any high point for CUS1.L and R2SC.L. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.91%
-8.88%
CUS1.L
R2SC.L

Volatility

CUS1.L vs. R2SC.L - Volatility Comparison

The current volatility for iShares MSCI USA Small Cap ESG Enhanced UCITS ETF (Acc) (CUS1.L) is 4.22%, while SPDR Russell 2000 US Small Cap UCITS ETF (R2SC.L) has a volatility of 4.95%. This indicates that CUS1.L experiences smaller price fluctuations and is considered to be less risky than R2SC.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.22%
4.95%
CUS1.L
R2SC.L
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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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