EVAL.L vs. SX5S.L

Last updated Jun 5, 2026

EVAL.L (SPDR MSCI Europe Value UCITS ETF) and SX5S.L (Invesco EURO STOXX 50 UCITS ETF) are both Europe Equities funds - EVAL.L tracks the MSCI Europe Value NR EUR while SX5S.L tracks the MSCI EMU NR EUR. Both are passively managed. Over the past 10 years, EVAL.L returned 11.80%/yr vs 11.41%/yr for SX5S.L. A 0.73 correlation means they provide meaningful diversification when combined. EVAL.L charges 0.20%/yr vs 0.05%/yr for SX5S.L.

Performance

EVAL.L vs. SX5S.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 Invesco EURO STOXX 50 UCITS ETF (SX5S.L). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

EVAL.L is traded in GBP, while SX5S.L is traded in GBp. To make them comparable, the SX5S.L values have been converted to GBP using the latest available exchange rates.

Returns By Period

In the year-to-date period, EVAL.L achieves a 11.21% return, which is significantly higher than SX5S.L's 6.46% return. Both investments have delivered pretty close results over the past 10 years, with EVAL.L having a 11.80% annualized return and SX5S.L not far behind at 11.41%.

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%

SX5S.L

• 1D: 0.35%
• 1M: 4.85%
• YTD: 6.46%
• 6M: 7.51%
• 1Y: 18.61%
• 3Y*: 15.51%
• 5Y*: 11.51%
• 10Y*: 11.41%

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

EVAL.L vs. SX5S.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%
SX5S.L Invesco EURO STOXX 50 UCITS ETF	6.46%	27.68%	6.13%	19.91%	-3.67%	14.48%	2.12%	23.51%	-10.62%	14.35%

Correlation

The correlation between EVAL.L and SX5S.L is 0.84, 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	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.81
Correlation (10Y) Calculated over the trailing 10-year period	0.73
Correlation (All Time) Calculated using the full available price history since Feb 19, 2015	0.73

The correlation between EVAL.L and SX5S.L shifts across timeframes, from 0.73 (all time) to 0.84 (1 year), reflecting how their relationship changes across market environments.

EVAL.L vs. SX5S.L - Sectors Allocation Comparison

Sectors	EVAL.L	SX5S.L
Financial Services	21.5%	25.1%
Industrials	18.0%	22.1%
Healthcare	13.2%	5.4%
Technology	10.6%	16.1%
Consumer Defensive	8.6%	5.5%
Consumer Cyclical	6.6%	9.8%
Basic Materials	6.2%	3.7%
Energy	5.5%	5.2%
Utilities	5.3%	4.8%
Communication Services	4.0%	2.3%
Real Estate	0.7%	-

Return for Risk

EVAL.L vs. SX5S.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

SX5S.L

SX5S.L Risk / Return Rank: 35
SX5S.L Sharpe Ratio Rank: 35
SX5S.L Sortino Ratio Rank: 35
SX5S.L Omega Ratio Rank: 35
SX5S.L Calmar Ratio Rank: 34
SX5S.L Martin Ratio Rank: 36

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. SX5S.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 Invesco EURO STOXX 50 UCITS ETF (SX5S.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	SX5S.L	Difference
Sharpe ratio: Return per unit of total volatility	2.63	1.23	+1.40
Sortino ratio: Return per unit of downside risk	3.52	1.83	+1.69
Omega ratio: Gain probability vs. loss probability	1.47	1.23	+0.24
Calmar ratio: Return relative to maximum drawdown	3.39	1.62	+1.77
Martin ratio: Return relative to average drawdown	12.59	5.40	+7.19
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. SX5S.L - Sharpe Ratio Comparison

The current EVAL.L Sharpe Ratio is 2.63, which is higher than the SX5S.L Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of EVAL.L and SX5S.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	SX5S.L	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.63	1.23	+1.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.98	0.69	+0.29
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.69	0.73	-0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	0.59	-0.22

Drawdowns

EVAL.L vs. SX5S.L - Drawdown Comparison

The maximum EVAL.L drawdown since its inception was -40.72%, which is greater than SX5S.L's maximum drawdown of -32.54%. Use the drawdown chart below to compare losses from any high point for EVAL.L and SX5S.L.

Drawdown Indicators

	EVAL.L	SX5S.L	Difference
Max Drawdown Largest peak-to-trough decline	-40.72%	-32.54%	-8.18%
Max Drawdown (1Y) Largest decline over 1 year	-10.10%	-11.43%	+1.33%
Max Drawdown (3Y) Largest decline over 3 years	-14.35%	-13.85%	-0.50%
Max Drawdown (5Y) Largest decline over 5 years	-14.61%	-21.71%	+7.10%
Max Drawdown (10Y) Largest decline over 10 years	-37.77%	-32.54%	-5.23%
Current Drawdown Current decline from peak	-1.61%	-0.57%	-1.04%
Average Drawdown Average peak-to-trough decline	-11.10%	-5.44%	-5.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.73%	3.44%	-0.71%

Volatility

EVAL.L vs. SX5S.L - Volatility Comparison

The current volatility for SPDR MSCI Europe Value UCITS ETF (EVAL.L) is 4.12%, while Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a volatility of 4.90%. This indicates that EVAL.L experiences smaller price fluctuations and is considered to be less risky than SX5S.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EVAL.L	SX5S.L	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.12%	4.90%	-0.78%
Volatility (6M) Calculated over the trailing 6-month period	10.49%	12.23%	-1.74%
Volatility (1Y) Calculated over the trailing 1-year period	13.05%	15.09%	-2.04%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.45%	17.62%	-3.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.97%	19.88%	-2.91%

EVAL.L vs. SX5S.L - Expense Ratio Comparison

EVAL.L has a 0.20% expense ratio, which is higher than SX5S.L's 0.05% 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. SX5S.L - Dividend Comparison

Neither EVAL.L nor SX5S.L has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both EVAL.L and SX5S.L in my portfolio?

EVAL.L and SX5S.L have a correlation of 0.84, 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 SX5S.L?

On fees, SX5S.L is cheaper at 0.05% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, EVAL.L or SX5S.L?

SX5S.L is cheaper with a 0.05% expense ratio, compared with 0.20% for EVAL.L.

What is the main difference between EVAL.L and SX5S.L?

EVAL.L tracks MSCI Europe Value NR EUR, while SX5S.L tracks MSCI EMU NR EUR. They also come from different issuers: State Street and Invesco. Their fees differ too: 0.20% for EVAL.L and 0.05% for SX5S.L.