FSUS.L vs. SPGI
Compare and contrast key facts about iShares Edge MSCI USA Multifactor UCITS (FSUS.L) and S&P Global Inc. (SPGI).
FSUS.L is a passively managed fund by iShares that tracks the performance of the Russell 1000 TR USD. It was launched on Sep 4, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FSUS.L or SPGI.
Performance
FSUS.L vs. SPGI - Performance Comparison
Returns By Period
In the year-to-date period, FSUS.L achieves a 23.82% return, which is significantly higher than SPGI's 14.87% return.
FSUS.L
23.82%
3.48%
12.20%
27.33%
11.88%
N/A
SPGI
14.87%
-4.15%
15.36%
24.26%
14.44%
19.75%
Key characteristics
| FSUS.L | SPGI | |
|---|---|---|
| Sharpe Ratio | 2.32 | 1.61 |
| Sortino Ratio | 3.32 | 2.09 |
| Omega Ratio | 1.45 | 1.29 |
| Calmar Ratio | 4.09 | 1.91 |
| Martin Ratio | 15.77 | 5.32 |
| Ulcer Index | 1.73% | 4.80% |
| Daily Std Dev | 11.76% | 15.90% |
| Max Drawdown | -27.61% | -74.68% |
| Current Drawdown | -1.49% | -4.91% |
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Correlation
The correlation between FSUS.L and SPGI is 0.41, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
FSUS.L vs. SPGI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Multifactor UCITS (FSUS.L) and S&P Global Inc. (SPGI). 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.
Dividends
FSUS.L vs. SPGI - Dividend Comparison
FSUS.L has not paid dividends to shareholders, while SPGI's dividend yield for the trailing twelve months is around 0.72%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FSUS.L iShares Edge MSCI USA Multifactor UCITS | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPGI S&P Global Inc. | 0.72% | 0.82% | 0.99% | 0.65% | 0.82% | 0.84% | 1.18% | 0.97% | 1.34% | 1.34% | 1.35% | 1.43% |
Drawdowns
FSUS.L vs. SPGI - Drawdown Comparison
The maximum FSUS.L drawdown since its inception was -27.61%, smaller than the maximum SPGI drawdown of -74.68%. Use the drawdown chart below to compare losses from any high point for FSUS.L and SPGI. For additional features, visit the drawdowns tool.
Volatility
FSUS.L vs. SPGI - Volatility Comparison
The current volatility for iShares Edge MSCI USA Multifactor UCITS (FSUS.L) is 3.67%, while S&P Global Inc. (SPGI) has a volatility of 5.37%. This indicates that FSUS.L experiences smaller price fluctuations and is considered to be less risky than SPGI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.