ESMAX vs. SASMX

Last updated Jun 23, 2026

ESMAX (Invesco EQV European Small Company Fund) and SASMX (ClearBridge Small Cap Growth Fund) are both mutual funds - ESMAX is a Europe Equities fund managed by Invesco, while SASMX is a Small Cap Growth Equities fund managed by Franklin Templeton. Over the past 10 years, ESMAX returned 9.87%/yr vs 12.35%/yr for SASMX. At a 0.49 correlation, their price movements are largely independent. ESMAX charges 1.48%/yr vs 1.16%/yr for SASMX.

Performance

ESMAX vs. SASMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco EQV European Small Company Fund (ESMAX) and ClearBridge Small Cap Growth Fund (SASMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESMAX achieves a 19.22% return, which is significantly higher than SASMX's 16.23% return. Over the past 10 years, ESMAX has underperformed SASMX with an annualized return of 9.87%, while SASMX has yielded a comparatively higher 12.35% annualized return.

ESMAX

• 1D: 1.70%
• 1M: 3.17%
• YTD: 19.22%
• 6M: 18.18%
• 1Y: 18.06%
• 3Y*: 15.90%
• 5Y*: 8.83%
• 10Y*: 9.87%

SASMX

• 1D: 2.57%
• 1M: 5.19%
• YTD: 16.23%
• 6M: 12.66%
• 1Y: 26.81%
• 3Y*: 14.41%
• 5Y*: 2.60%
• 10Y*: 12.35%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESMAX vs. SASMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESMAX Invesco EQV European Small Company Fund	19.22%	22.15%	2.60%	14.26%	-16.30%	24.30%	9.63%	15.37%	-15.29%	28.30%
SASMX ClearBridge Small Cap Growth Fund	16.23%	9.52%	12.95%	8.64%	-28.82%	12.11%	43.54%	25.31%	3.77%	24.98%

Correlation

The correlation between ESMAX and SASMX is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.61
Correlation (10Y) Calculated over the trailing 10-year period	0.52
Correlation (All Time) Calculated using the full available price history since Aug 31, 2000	0.49

Over the past year, ESMAX and SASMX have become more correlated (0.81) than their long-term average of 0.49, meaning their price movements have been converging.

Return for Risk

ESMAX vs. SASMX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESMAX

ESMAX Risk / Return Rank: 15
ESMAX Sharpe Ratio Rank: 14
ESMAX Sortino Ratio Rank: 14
ESMAX Omega Ratio Rank: 14
ESMAX Calmar Ratio Rank: 18
ESMAX Martin Ratio Rank: 17

SASMX

SASMX Risk / Return Rank: 26
SASMX Sharpe Ratio Rank: 23
SASMX Sortino Ratio Rank: 22
SASMX Omega Ratio Rank: 22
SASMX Calmar Ratio Rank: 30
SASMX Martin Ratio Rank: 33

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ESMAX vs. SASMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco EQV European Small Company Fund (ESMAX) and ClearBridge Small Cap Growth Fund (SASMX). 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.

	ESMAX	SASMX	Difference
Sharpe ratio: Return per unit of total volatility	0.97	1.28	-0.31
Sortino ratio: Return per unit of downside risk	1.47	1.83	-0.36
Omega ratio: Gain probability vs. loss probability	1.19	1.22	-0.04
Calmar ratio: Return relative to maximum drawdown	1.42	1.95	-0.53
Martin ratio: Return relative to average drawdown	4.19	7.00	-2.82

ESMAX vs. SASMX - Sharpe Ratio Comparison

The current ESMAX Sharpe Ratio is 0.97, which is comparable to the SASMX Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of ESMAX and SASMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ESMAX vs. SASMX - Drawdown Comparison

The maximum ESMAX drawdown since its inception was -65.90%, which is greater than SASMX's maximum drawdown of -54.81%. Use the drawdown chart below to compare losses from any high point for ESMAX and SASMX.

Drawdown Indicators

	ESMAX	SASMX	Difference
Max Drawdown Largest peak-to-trough decline	-65.90%	-54.81%	-11.09%
Max Drawdown (1Y) Largest decline over 1 year	-12.45%	-13.85%	+1.40%
Max Drawdown (3Y) Largest decline over 3 years	-15.80%	-26.25%	+10.45%
Max Drawdown (5Y) Largest decline over 5 years	-32.92%	-42.19%	+9.27%
Max Drawdown (10Y) Largest decline over 10 years	-39.83%	-42.19%	+2.36%
Current Drawdown Current decline from peak	-0.07%	0.00%	-0.07%
Average Drawdown Average peak-to-trough decline	-13.91%	-14.06%	+0.15%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.20%	3.85%	+0.35%

Volatility

ESMAX vs. SASMX - Volatility Comparison

Invesco EQV European Small Company Fund (ESMAX) and ClearBridge Small Cap Growth Fund (SASMX) have volatilities of 7.44% and 7.12%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESMAX	SASMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.44%	7.12%	+0.32%
Volatility (6M) Calculated over the trailing 6-month period	15.14%	16.56%	-1.42%
Volatility (1Y) Calculated over the trailing 1-year period	18.18%	21.09%	-2.91%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.36%	24.73%	-9.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.79%	23.90%	-9.11%

ESMAX vs. SASMX - Expense Ratio Comparison

ESMAX has a 1.48% expense ratio, which is higher than SASMX's 1.16% expense ratio.

Dividends

ESMAX vs. SASMX - Dividend Comparison

ESMAX's dividend yield for the trailing twelve months is around 29.41%, more than SASMX's 17.47% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESMAX Invesco EQV European Small Company Fund	29.41%	35.06%	9.96%	4.94%	11.28%	3.24%	2.75%	7.01%	6.27%	3.21%	2.07%	5.41%
SASMX ClearBridge Small Cap Growth Fund	17.47%	20.31%	17.01%	0.43%	0.00%	11.84%	7.04%	7.62%	15.70%	3.55%	3.01%	1.26%

Frequently Asked Questions

Can I hold both ESMAX and SASMX in my portfolio?

ESMAX and SASMX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESMAX or SASMX?

ESMAX has higher volatility (7.44%) compared to SASMX (7.12%). In terms of maximum drawdown, ESMAX dropped -65.90% vs SASMX's -54.81%.

Which has better risk-adjusted returns?

SASMX currently has the higher Sharpe Ratio (1.28 vs 0.97), 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.