DBEZ vs. ^GSPC
DBEZ (Xtrackers MSCI Eurozone Hedged Equity ETF) is Europe Equities fund tracking the MSCI EMU IMI 100% Hedged to USD Net Variant, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, DBEZ returned 12.37%/yr vs 13.26%/yr for ^GSPC. Their 0.75 correlation means they have sometimes moved together and sometimes differently.
Performance
DBEZ vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, DBEZ achieves a 13.66% return, which is significantly higher than ^GSPC's 9.41% return. Over the past 10 years, DBEZ has underperformed ^GSPC with an annualized return of 12.37%, while ^GSPC has yielded a comparatively higher 13.26% annualized return.
DBEZ
- 1D
- 0.01%
- 1M
- 0.02%
- 6M
- 10.08%
- YTD
- 13.66%
- 1Y
- 26.45%
- 3Y*
- 17.45%
- 5Y*
- 12.38%
- 10Y*
- 12.37%
- ALL TIME*
- 11.33%
^GSPC
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $37.98T | $37.61T | $41.48T |
| $401.75K | $249.36K | $196.33K |
DBEZ vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DBEZ Xtrackers MSCI Eurozone Hedged Equity ETF | 13.66% | 26.14% | 9.51% | 21.78% | -10.13% | 23.52% | 0.36% | 29.94% | -10.81% | 15.62% |
^GSPC S&P 500 Index | 9.41% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between DBEZ and ^GSPC is 0.76, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.76 |
Correlation (3Y) Balances recent behavior with more history. | 0.70 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.75 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.75 |
Correlation (All Time) Calculated using the full available price history since Dec 15, 2014 | 0.75 |
The correlation between DBEZ and ^GSPC has been stable across timeframes, ranging from 0.70 to 0.76 - a consistent structural relationship.
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Return for Risk
DBEZ vs. ^GSPC — Risk / Return Rank
DBEZ
^GSPC
DBEZ vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI Eurozone Hedged Equity ETF (DBEZ) 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.
| DBEZ | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.26 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.25 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.16 | 2.00 | +0.16 |
| Martin ratioReturn relative to average drawdown | 8.52 | 8.49 | +0.02 |
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Drawdowns
DBEZ vs. ^GSPC - Drawdown Comparison
The maximum DBEZ drawdown since its inception was -38.76%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DBEZ and ^GSPC.
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Drawdown Indicators
| DBEZ | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.76% | -56.78% | +18.02% |
Max Drawdown (1Y)Largest decline over 1 year | -11.03% | -9.10% | -1.93% |
Max Drawdown (3Y)Largest decline over 3 years | -15.59% | -18.90% | +3.31% |
Max Drawdown (5Y)Largest decline over 5 years | -23.38% | -25.43% | +2.05% |
Max Drawdown (10Y)Largest decline over 10 years | -38.76% | -33.92% | -4.84% |
Current DrawdownCurrent decline from peak | -0.79% | -1.58% | +0.79% |
Average DrawdownAverage peak-to-trough decline | -5.75% | -10.70% | +4.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.80% | 2.14% | +0.66% |
Volatility
DBEZ vs. ^GSPC - Volatility Comparison
Xtrackers MSCI Eurozone Hedged Equity ETF (DBEZ) has a higher volatility of 4.27% compared to S&P 500 Index (^GSPC) at 3.51%. This indicates that DBEZ'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
| DBEZ | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.27% | 3.51% | +0.76% |
Volatility (6M)Calculated over the trailing 6-month period | 13.03% | 10.11% | +2.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.24% | 12.87% | +2.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.53% | 17.01% | -0.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 18.07% | +0.02% |
Frequently Asked Questions
DBEZ and ^GSPC have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBEZ has higher volatility (4.27%) compared to ^GSPC (3.51%). In terms of maximum drawdown, DBEZ dropped -38.76% vs ^GSPC's -56.78%.
DBEZ currently has the higher Sharpe Ratio (1.57 vs 1.42), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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