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EVAL.L vs. SPX5.L
Performance
Return for Risk
Drawdowns
Volatility
Dividends

EVAL.L vs. SPX5.L

Last updated Jun 5, 2026

EVAL.L (SPDR MSCI Europe Value UCITS ETF) and SPX5.L (SPDR S&P 500 UCITS ETF) are both exchange-traded funds - EVAL.L is a Europe Equities fund tracking the MSCI Europe Value NR EUR, while SPX5.L is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, EVAL.L returned 11.80%/yr vs 16.17%/yr for SPX5.L. A 0.59 correlation means they provide meaningful diversification when combined. EVAL.L charges 0.20%/yr vs 0.09%/yr for SPX5.L.

Performance

EVAL.L vs. SPX5.L - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in SPDR MSCI Europe Value UCITS ETF (EVAL.L) and SPDR S&P 500 UCITS ETF (SPX5.L). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, EVAL.L achieves a 11.21% return, which is significantly higher than SPX5.L's 10.53% return. Over the past 10 years, EVAL.L has underperformed SPX5.L with an annualized return of 11.80%, while SPX5.L has yielded a comparatively higher 16.17% annualized return.

EVAL.L

1D
0.67%
1M
4.21%
YTD
11.21%
6M
14.15%
1Y
34.42%
3Y*
20.71%
5Y*
14.15%
10Y*
11.80%

SPX5.L

1D
0.05%
1M
5.53%
YTD
10.53%
6M
10.48%
1Y
29.15%
3Y*
19.03%
5Y*
14.92%
10Y*
16.17%
*Multi-year figures are annualized to reflect compound growth (CAGR)

EVAL.L vs. SPX5.L - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
EVAL.L
SPDR MSCI Europe Value UCITS ETF		11.21%41.81%4.36%11.02%1.33%19.13%-2.54%16.22%-13.77%15.54%
SPX5.L
SPDR S&P 500 UCITS ETF		10.53%9.34%27.47%19.75%-9.01%30.96%13.52%26.74%-0.04%11.63%

Correlation

The correlation between EVAL.L and SPX5.L is 0.52, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.52

Correlation (3Y)
Calculated over the trailing 3-year period

0.39

Correlation (5Y)
Calculated over the trailing 5-year period

0.49

Correlation (10Y)
Calculated over the trailing 10-year period

0.57

Correlation (All Time)
Calculated using the full available price history since Feb 19, 2015

0.59

The correlation between EVAL.L and SPX5.L shifts across timeframes, from 0.39 (3 years) to 0.59 (all time), reflecting how their relationship changes across market environments.

EVAL.L vs. SPX5.L - Sectors Allocation Comparison

Sectors
EVAL.L
SPX5.L

Financial Services

21.5%
11.8%

Industrials

18.0%
8.3%

Healthcare

13.2%
8.5%

Technology

10.6%
35.6%

Consumer Defensive

8.6%
4.9%

Consumer Cyclical

6.6%
10.1%

Basic Materials

6.2%
1.8%

Energy

5.5%
3.5%

Utilities

5.3%
2.3%

Communication Services

4.0%
11.2%

Real Estate

0.7%
1.9%

Financial Services

EVAL.L
21.5%
SPX5.L
11.8%

Industrials

EVAL.L
18.0%
SPX5.L
8.3%

Healthcare

EVAL.L
13.2%
SPX5.L
8.5%

Technology

EVAL.L
10.6%
SPX5.L
35.6%

Consumer Defensive

EVAL.L
8.6%
SPX5.L
4.9%

Consumer Cyclical

EVAL.L
6.6%
SPX5.L
10.1%

Basic Materials

EVAL.L
6.2%
SPX5.L
1.8%

Energy

EVAL.L
5.5%
SPX5.L
3.5%

Utilities

EVAL.L
5.3%
SPX5.L
2.3%

Communication Services

EVAL.L
4.0%
SPX5.L
11.2%

Real Estate

EVAL.L
0.7%
SPX5.L
1.9%

Compare stocks, funds, or ETFs

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SPDR MSCI Europe Value UCITS ETF

SPDR S&P 500 UCITS ETF

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Often compared with SPX5.L:
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Return for Risk

EVAL.L vs. SPX5.L — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EVAL.L
EVAL.L Risk / Return Rank: 7676
Overall Rank
EVAL.L Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
EVAL.L Sortino Ratio Rank: 8080
Sortino Ratio Rank
EVAL.L Omega Ratio Rank: 8181
Omega Ratio Rank
EVAL.L Calmar Ratio Rank: 6969
Calmar Ratio Rank
EVAL.L Martin Ratio Rank: 6969
Martin Ratio Rank
SPX5.L
SPX5.L Risk / Return Rank: 8383
Overall Rank
SPX5.L Sharpe Ratio Rank: 8585
Sharpe Ratio Rank
SPX5.L Sortino Ratio Rank: 8484
Sortino Ratio Rank
SPX5.L Omega Ratio Rank: 8686
Omega Ratio Rank
SPX5.L Calmar Ratio Rank: 8181
Calmar Ratio Rank
SPX5.L Martin Ratio Rank: 7979
Martin Ratio Rank
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.

EVAL.L vs. SPX5.L - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI Europe Value UCITS ETF (EVAL.L) and SPDR S&P 500 UCITS ETF (SPX5.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.

EVAL.LSPX5.LDifference
Sharpe ratioReturn per unit of total volatility
2.63
2.76

-0.14

Sortino ratioReturn per unit of downside risk
3.52
3.71

-0.19

Omega ratioGain probability vs. loss probability

1.47

1.52

-0.04

Calmar ratioReturn relative to maximum drawdown

3.39

4.10

-0.71

Martin ratioReturn relative to average drawdown

12.59

15.08

-2.48

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EVAL.L vs. SPX5.L - Sharpe Ratio Comparison

The current EVAL.L Sharpe Ratio is 2.63, which is comparable to the SPX5.L Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of EVAL.L and SPX5.L, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

EVAL.LSPX5.LDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.63

2.76

-0.14

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.98

1.05

-0.07

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.69

1.04

-0.35

Sharpe Ratio (All Time)

Calculated using the full available price history

0.37

1.04

-0.67

Drawdowns

EVAL.L vs. SPX5.L - Drawdown Comparison

The maximum EVAL.L drawdown since its inception was -40.72%, which is greater than SPX5.L's maximum drawdown of -25.45%. Use the drawdown chart below to compare losses from any high point for EVAL.L and SPX5.L.

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Drawdown Indicators

EVAL.LSPX5.LDifference

Max Drawdown

Largest peak-to-trough decline

-40.72%

-25.45%

-15.27%

Max Drawdown (1Y)

Largest decline over 1 year

-10.10%

-7.07%

-3.03%

Max Drawdown (3Y)

Largest decline over 3 years

-14.35%

-20.90%

+6.55%

Max Drawdown (5Y)

Largest decline over 5 years

-14.61%

-20.90%

+6.29%

Max Drawdown (10Y)

Largest decline over 10 years

-37.77%

-25.45%

-12.32%

Current Drawdown

Current decline from peak

-1.61%

-0.22%

-1.39%

Average Drawdown

Average peak-to-trough decline

-11.10%

-3.18%

-7.92%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.73%

1.93%

+0.80%

Volatility

EVAL.L vs. SPX5.L - Volatility Comparison

SPDR MSCI Europe Value UCITS ETF (EVAL.L) has a higher volatility of 4.12% compared to SPDR S&P 500 UCITS ETF (SPX5.L) at 2.67%. This indicates that EVAL.L's price experiences larger fluctuations and is considered to be riskier than SPX5.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

EVAL.LSPX5.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.12%

2.67%

+1.45%

Volatility (6M)

Calculated over the trailing 6-month period

10.49%

7.16%

+3.33%

Volatility (1Y)

Calculated over the trailing 1-year period

13.05%

10.50%

+2.55%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.45%

14.22%

+0.23%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.97%

15.52%

+1.45%

EVAL.L vs. SPX5.L - Expense Ratio Comparison

EVAL.L has a 0.20% expense ratio, which is higher than SPX5.L's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

EVAL.L vs. SPX5.L - Dividend Comparison

EVAL.L has not paid dividends to shareholders, while SPX5.L's dividend yield for the trailing twelve months is around 0.89%.

PositionTTM20252024202320222021202020192018201720162015
EVAL.L
SPDR MSCI Europe Value UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPX5.L
SPDR S&P 500 UCITS ETF		0.89%0.98%1.04%1.21%1.39%0.98%1.40%1.76%1.71%2.36%1.49%1.68%

Frequently Asked Questions

EVAL.L and SPX5.L have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, SPX5.L is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.

SPX5.L is cheaper with a 0.09% expense ratio, compared with 0.20% for EVAL.L.

EVAL.L is categorized as Europe Equities, while SPX5.L is S&P 500. EVAL.L tracks MSCI Europe Value NR EUR, while SPX5.L tracks S&P 500 Index. Their fees differ too: 0.20% for EVAL.L and 0.09% for SPX5.L.

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