DBEU vs. ^GSPC
Compare and contrast key facts about Xtrackers MSCI Europe Hedged Equity Fund (DBEU) and S&P 500 (^GSPC).
DBEU is a passively managed fund by DWS that tracks the performance of the MSCI Europe US Dollar Hedged Index. It was launched on Oct 1, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DBEU or ^GSPC.
Key characteristics
| DBEU | ^GSPC | |
|---|---|---|
| YTD Return | 9.46% | 25.70% |
| 1Y Return | 17.23% | 37.91% |
| 3Y Return (Ann) | 6.71% | 8.59% |
| 5Y Return (Ann) | 8.50% | 14.18% |
| 10Y Return (Ann) | 8.35% | 11.41% |
| Sharpe Ratio | 1.71 | 2.97 |
| Sortino Ratio | 2.38 | 3.97 |
| Omega Ratio | 1.30 | 1.56 |
| Calmar Ratio | 2.39 | 3.93 |
| Martin Ratio | 9.95 | 19.39 |
| Ulcer Index | 1.78% | 1.90% |
| Daily Std Dev | 10.31% | 12.38% |
| Max Drawdown | -34.50% | -56.78% |
| Current Drawdown | -3.21% | 0.00% |
Correlation
The correlation between DBEU and ^GSPC is 0.77, 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.
Performance
DBEU vs. ^GSPC - Performance Comparison
In the year-to-date period, DBEU achieves a 9.46% return, which is significantly lower than ^GSPC's 25.70% return. Over the past 10 years, DBEU has underperformed ^GSPC with an annualized return of 8.35%, while ^GSPC has yielded a comparatively higher 11.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
DBEU vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI Europe Hedged Equity Fund (DBEU) 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
DBEU vs. ^GSPC - Drawdown Comparison
The maximum DBEU drawdown since its inception was -34.50%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DBEU and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
DBEU vs. ^GSPC - Volatility Comparison
The current volatility for Xtrackers MSCI Europe Hedged Equity Fund (DBEU) is 3.43%, while S&P 500 (^GSPC) has a volatility of 3.92%. This indicates that DBEU experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.