EVAL.L vs. SPY5.L

Last updated Jun 5, 2026

EVAL.L (SPDR MSCI Europe Value UCITS ETF) and SPY5.L (State Street 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 SPY5.L is a S&P 500 fund tracking the S&P 500. Both are passively managed. Over the past 10 years, EVAL.L returned 11.80%/yr vs 16.22%/yr for SPY5.L. A 0.57 correlation means they provide meaningful diversification when combined. EVAL.L charges 0.20%/yr vs 0.09%/yr for SPY5.L.

Performance

EVAL.L vs. SPY5.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 State Street SPDR S&P 500 UCITS ETF (SPY5.L). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

EVAL.L is traded in GBP, while SPY5.L is traded in USD. To make them comparable, the SPY5.L values have been converted to GBP using the latest available exchange rates.

Returns By Period

The year-to-date returns for both stocks are quite close, with EVAL.L having a 11.21% return and SPY5.L slightly lower at 10.76%. Over the past 10 years, EVAL.L has underperformed SPY5.L with an annualized return of 11.80%, while SPY5.L has yielded a comparatively higher 16.22% 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%

SPY5.L

• 1D: 0.01%
• 1M: 5.45%
• YTD: 10.76%
• 6M: 10.39%
• 1Y: 29.07%
• 3Y*: 19.09%
• 5Y*: 14.94%
• 10Y*: 16.22%

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

EVAL.L vs. SPY5.L - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
SPY5.L State Street SPDR S&P 500 UCITS ETF	10.76%	9.06%	27.55%	20.31%	-9.02%	30.50%	14.06%	25.87%	0.54%	11.98%

Correlation

The correlation between EVAL.L and SPY5.L is 0.51, 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.40
Correlation (5Y) Calculated over the trailing 5-year period	0.48
Correlation (10Y) Calculated over the trailing 10-year period	0.55
Correlation (All Time) Calculated using the full available price history since Feb 19, 2015	0.57

The correlation between EVAL.L and SPY5.L shifts across timeframes, from 0.40 (3 years) to 0.57 (all time), reflecting how their relationship changes across market environments.

EVAL.L vs. SPY5.L - Sectors Allocation Comparison

Sectors	EVAL.L	SPY5.L
Financial Services	21.5%	11.3%
Industrials	18.0%	7.6%
Healthcare	13.2%	8.4%
Technology	10.6%	38.0%
Consumer Defensive	8.6%	4.7%
Consumer Cyclical	6.6%	9.8%
Basic Materials	6.2%	1.7%
Energy	5.5%	3.4%
Utilities	5.3%	2.6%
Communication Services	4.0%	10.6%
Real Estate	0.7%	1.8%

Return for Risk

EVAL.L vs. SPY5.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: 76
EVAL.L Sharpe Ratio Rank: 82
EVAL.L Sortino Ratio Rank: 80
EVAL.L Omega Ratio Rank: 81
EVAL.L Calmar Ratio Rank: 69
EVAL.L Martin Ratio Rank: 69

SPY5.L

SPY5.L Risk / Return Rank: 75
SPY5.L Sharpe Ratio Rank: 75
SPY5.L Sortino Ratio Rank: 79
SPY5.L Omega Ratio Rank: 75
SPY5.L Calmar Ratio Rank: 69
SPY5.L Martin Ratio Rank: 77

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. SPY5.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 State Street SPDR S&P 500 UCITS ETF (SPY5.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.L	SPY5.L	Difference
Sharpe ratio: Return per unit of total volatility	2.63	2.45	+0.18
Sortino ratio: Return per unit of downside risk	3.52	3.33	+0.19
Omega ratio: Gain probability vs. loss probability	1.47	1.45	+0.02
Calmar ratio: Return relative to maximum drawdown	3.39	4.02	-0.63
Martin ratio: Return relative to average drawdown	12.59	13.69	-1.10
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. SPY5.L - Sharpe Ratio Comparison

The current EVAL.L Sharpe Ratio is 2.63, which is comparable to the SPY5.L Sharpe Ratio of 2.45. The chart below compares the historical Sharpe Ratios of EVAL.L and SPY5.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.

Sharpe Ratios by Period

	EVAL.L	SPY5.L	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.63	2.45	+0.18
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.98	0.97	+0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.69	0.98	-0.29
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	1.01	-0.64

Drawdowns

EVAL.L vs. SPY5.L - Drawdown Comparison

The maximum EVAL.L drawdown since its inception was -40.72%, which is greater than SPY5.L's maximum drawdown of -25.97%. Use the drawdown chart below to compare losses from any high point for EVAL.L and SPY5.L.

Drawdown Indicators

	EVAL.L	SPY5.L	Difference
Max Drawdown Largest peak-to-trough decline	-40.72%	-25.97%	-14.75%
Max Drawdown (1Y) Largest decline over 1 year	-10.10%	-7.19%	-2.91%
Max Drawdown (3Y) Largest decline over 3 years	-14.35%	-21.10%	+6.75%
Max Drawdown (5Y) Largest decline over 5 years	-14.61%	-21.10%	+6.49%
Max Drawdown (10Y) Largest decline over 10 years	-37.77%	-25.97%	-11.80%
Current Drawdown Current decline from peak	-1.61%	-0.19%	-1.42%
Average Drawdown Average peak-to-trough decline	-11.10%	-3.27%	-7.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.73%	2.12%	+0.61%

Volatility

EVAL.L vs. SPY5.L - Volatility Comparison

SPDR MSCI Europe Value UCITS ETF (EVAL.L) has a higher volatility of 4.12% compared to State Street SPDR S&P 500 UCITS ETF (SPY5.L) at 3.42%. This indicates that EVAL.L's price experiences larger fluctuations and is considered to be riskier than SPY5.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EVAL.L	SPY5.L	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.12%	3.42%	+0.70%
Volatility (6M) Calculated over the trailing 6-month period	10.49%	8.52%	+1.97%
Volatility (1Y) Calculated over the trailing 1-year period	13.05%	11.82%	+1.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.45%	15.35%	-0.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.97%	16.47%	+0.50%

EVAL.L vs. SPY5.L - Expense Ratio Comparison

EVAL.L has a 0.20% expense ratio, which is higher than SPY5.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. SPY5.L - Dividend Comparison

EVAL.L has not paid dividends to shareholders, while SPY5.L's dividend yield for the trailing twelve months is around 0.89%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
SPY5.L State Street SPDR S&P 500 UCITS ETF	0.89%	0.97%	1.06%	1.19%	1.40%	0.99%	1.28%	1.71%	2.20%	2.29%	1.64%	1.73%

Frequently Asked Questions

Can I hold both EVAL.L and SPY5.L in my portfolio?

EVAL.L and SPY5.L have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, EVAL.L or SPY5.L?

On fees, SPY5.L is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, EVAL.L or SPY5.L?

SPY5.L is cheaper with a 0.09% expense ratio, compared with 0.20% for EVAL.L.

What is the main difference between EVAL.L and SPY5.L?

EVAL.L is categorized as Europe Equities, while SPY5.L is S&P 500. EVAL.L tracks MSCI Europe Value NR EUR, while SPY5.L tracks S&P 500. Their fees differ too: 0.20% for EVAL.L and 0.09% for SPY5.L.