FREM.L vs. SPXS.L

Last updated Jul 16, 2026

FREM.L (Franklin EM Multi-Factor Equity UCITS ETF) and SPXS.L (Invesco S&P 500 UCITS ETF) are both Global Equities funds - FREM.L tracks the Franklin EM Multi-Factor Equity UCITS ETF while SPXS.L tracks the Invesco S&P 500 UCITS ETF. Both are passively managed. Over the past 5 years, FREM.L returned 7.07%/yr vs -54.94%/yr for SPXS.L. A 0.62 correlation means they provide meaningful diversification when combined. FREM.L charges 0.45%/yr vs 0.05%/yr for SPXS.L.

Performance

FREM.L vs. SPXS.L - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin EM Multi-Factor Equity UCITS ETF (FREM.L) and Invesco S&P 500 UCITS ETF (SPXS.L). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FREM.L achieves a 13.22% return, which is significantly higher than SPXS.L's 10.20% return.

FREM.L

• 1D: 0.66%
• 1M: -3.28%
• 6M: 9.24%
• YTD: 13.22%
• 1Y: 23.10%
• 3Y*: 16.92%
• 5Y*: 7.07%
• 10Y*: —

SPXS.L

• 1D: -0.12%
• 1M: -0.05%
• 6M: 9.96%
• YTD: 10.20%
• 1Y: -98.78%
• 3Y*: -74.11%
• 5Y*: -54.94%
• 10Y*: -27.39%

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

FREM.L vs. SPXS.L - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FREM.L Franklin EM Multi-Factor Equity UCITS ETF	13.22%	27.77%	6.27%	12.53%	-19.30%	7.08%	1.89%	11.43%	-11.32%	3.35%
SPXS.L Invesco S&P 500 UCITS ETF	10.20%	-98.82%	25.56%	27.00%	-18.53%	29.64%	17.89%	30.86%	-5.19%	5.85%

Correlation

The correlation between FREM.L and SPXS.L is 0.61, 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	0.61
Correlation (3Y) Calculated over the trailing 3-year period	0.55
Correlation (5Y) Calculated over the trailing 5-year period	0.57
Correlation (All Time) Calculated using the full available price history since Oct 17, 2017	0.62

The correlation between FREM.L and SPXS.L has been stable across timeframes, ranging from 0.55 to 0.62 - a consistent structural relationship.

Return for Risk

FREM.L vs. SPXS.L — Risk / Return Rank

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

FREM.L

FREM.L Risk / Return Rank: 51
FREM.L Sharpe Ratio Rank: 52
FREM.L Sortino Ratio Rank: 50
FREM.L Omega Ratio Rank: 51
FREM.L Calmar Ratio Rank: 52
FREM.L Martin Ratio Rank: 50

SPXS.L

SPXS.L Risk / Return Rank: 2
SPXS.L Sharpe Ratio Rank: 2
SPXS.L Sortino Ratio Rank: 4
SPXS.L Omega Ratio Rank: 0
SPXS.L Calmar Ratio Rank: 0
SPXS.L Martin Ratio Rank: 3

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.

FREM.L vs. SPXS.L - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin EM Multi-Factor Equity UCITS ETF (FREM.L) and Invesco S&P 500 UCITS ETF (SPXS.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.

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.

	FREM.L	SPXS.L	Difference
Sharpe ratio: Return per unit of total volatility	1.46	-0.99	+2.45
Sortino ratio: Return per unit of downside risk	2.06	-0.78	+2.83
Omega ratio: Gain probability vs. loss probability	1.26	0.52	+0.74
Calmar ratio: Return relative to maximum drawdown	2.15	-1.00	+3.15
Martin ratio: Return relative to average drawdown	6.68	-1.23	+7.91

FREM.L vs. SPXS.L - Sharpe Ratio Comparison

The current FREM.L Sharpe Ratio is 1.46, which is higher than the SPXS.L Sharpe Ratio of -0.99. The chart below compares the historical Sharpe Ratios of FREM.L and SPXS.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.

Drawdowns

FREM.L vs. SPXS.L - Drawdown Comparison

The maximum FREM.L drawdown since its inception was -39.05%, smaller than the maximum SPXS.L drawdown of -99.07%. Use the drawdown chart below to compare losses from any high point for FREM.L and SPXS.L.

Drawdown Indicators

	FREM.L	SPXS.L	Difference
Max Drawdown Largest peak-to-trough decline	-39.05%	-99.07%	+60.02%
Max Drawdown (1Y) Largest decline over 1 year	-10.52%	-99.07%	+88.55%
Max Drawdown (3Y) Largest decline over 3 years	-12.98%	-99.07%	+86.09%
Max Drawdown (5Y) Largest decline over 5 years	-29.99%	-99.07%	+69.08%
Max Drawdown (10Y) Largest decline over 10 years	—	-99.07%	—
Current Drawdown Current decline from peak	-3.94%	-98.90%	+94.96%
Average Drawdown Average peak-to-trough decline	-10.95%	-7.67%	-3.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.40%	80.57%	-77.17%

Volatility

FREM.L vs. SPXS.L - Volatility Comparison

Franklin EM Multi-Factor Equity UCITS ETF (FREM.L) has a higher volatility of 4.42% compared to Invesco S&P 500 UCITS ETF (SPXS.L) at 2.73%. This indicates that FREM.L's price experiences larger fluctuations and is considered to be riskier than SPXS.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FREM.L	SPXS.L	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.42%	2.73%	+1.69%
Volatility (6M) Calculated over the trailing 6-month period	13.68%	9.24%	+4.44%
Volatility (1Y) Calculated over the trailing 1-year period	15.54%	99.43%	-83.89%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.34%	47.13%	-31.79%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.94%	35.27%	-18.33%

FREM.L vs. SPXS.L - Expense Ratio Comparison

FREM.L has a 0.45% expense ratio, which is higher than SPXS.L's 0.05% expense ratio.

Dividends

FREM.L vs. SPXS.L - Dividend Comparison

Neither FREM.L nor SPXS.L has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both FREM.L and SPXS.L in my portfolio?

FREM.L and SPXS.L have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, FREM.L or SPXS.L?

On fees, SPXS.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, FREM.L or SPXS.L?

SPXS.L is cheaper with a 0.05% expense ratio, compared with 0.45% for FREM.L.

What is the main difference between FREM.L and SPXS.L?

FREM.L tracks Franklin EM Multi-Factor Equity UCITS ETF, while SPXS.L tracks Invesco S&P 500 UCITS ETF. They also come from different issuers: Franklin and Invesco. Their fees differ too: 0.45% for FREM.L and 0.05% for SPXS.L.