FTFX.L vs. SPXS.L
FTFX.L (First Trust FactorFX UCITS ETF Class A USD) and SPXS.L (Invesco S&P 500 UCITS ETF) are both Global Equities funds - FTFX.L tracks the First Trust FactorFX UCITS ETF Class A USD while SPXS.L tracks the Invesco S&P 500 UCITS ETF. Both are passively managed. Over the past 5 years, FTFX.L returned 5.92%/yr vs -54.94%/yr for SPXS.L. At a 0.21 correlation, their price movements are largely independent.
Performance
FTFX.L vs. SPXS.L - Performance Comparison
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Returns By Period
In the year-to-date period, FTFX.L achieves a 6.72% return, which is significantly lower than SPXS.L's 10.20% return.
FTFX.L
- 1D
- 0.81%
- 1M
- 2.12%
- 6M
- 6.59%
- YTD
- 6.72%
- 1Y
- 10.31%
- 3Y*
- 6.78%
- 5Y*
- 5.92%
- 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%
FTFX.L vs. SPXS.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FTFX.L First Trust FactorFX UCITS ETF Class A USD | 6.72% | 8.14% | 7.93% | 9.97% | -1.13% | -3.43% | 0.33% | 4.18% | 0.10% | 0.45% |
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% | 9.61% |
Correlation
The correlation between FTFX.L and SPXS.L is -0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Jul 27, 2017 | 0.21 |
The correlation between FTFX.L and SPXS.L shifts across timeframes, from -0.01 (1 year) to 0.21 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FTFX.L vs. SPXS.L — Risk / Return Rank
FTFX.L
SPXS.L
FTFX.L vs. SPXS.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust FactorFX UCITS ETF Class A USD (FTFX.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.
| FTFX.L | SPXS.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.54 | ||
| Sortino ratioReturn per unit of downside risk | +3.01 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 0.52 | +0.79 |
| Calmar ratioReturn relative to maximum drawdown | 3.30 | -1.00 | +4.30 |
| Martin ratioReturn relative to average drawdown | 10.01 | -1.23 | +11.24 |
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Drawdowns
FTFX.L vs. SPXS.L - Drawdown Comparison
The maximum FTFX.L drawdown since its inception was -8.13%, smaller than the maximum SPXS.L drawdown of -99.07%. Use the drawdown chart below to compare losses from any high point for FTFX.L and SPXS.L.
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Drawdown Indicators
| FTFX.L | SPXS.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -8.13% | -99.07% | +90.94% |
Max Drawdown (1Y)Largest decline over 1 year | -2.97% | -99.07% | +96.10% |
Max Drawdown (3Y)Largest decline over 3 years | -6.92% | -99.07% | +92.15% |
Max Drawdown (5Y)Largest decline over 5 years | -6.92% | -99.07% | +92.15% |
Max Drawdown (10Y)Largest decline over 10 years | — | -99.07% | — |
Current DrawdownCurrent decline from peak | 0.00% | -98.90% | +98.90% |
Average DrawdownAverage peak-to-trough decline | -2.08% | -7.67% | +5.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.98% | 80.57% | -79.59% |
Volatility
FTFX.L vs. SPXS.L - Volatility Comparison
The current volatility for First Trust FactorFX UCITS ETF Class A USD (FTFX.L) is 1.26%, while Invesco S&P 500 UCITS ETF (SPXS.L) has a volatility of 2.73%. This indicates that FTFX.L experiences smaller price fluctuations and is considered to be less risky than SPXS.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FTFX.L | SPXS.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.26% | 2.73% | -1.47% |
Volatility (6M)Calculated over the trailing 6-month period | 4.37% | 9.24% | -4.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.34% | 99.43% | -93.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.33% | 47.13% | -39.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.18% | 35.27% | -29.09% |
Dividends
FTFX.L vs. SPXS.L - Dividend Comparison
Neither FTFX.L nor SPXS.L has paid dividends to shareholders.
Frequently Asked Questions
FTFX.L and SPXS.L have a correlation of -0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FTFX.L tracks First Trust FactorFX UCITS ETF Class A USD, while SPXS.L tracks Invesco S&P 500 UCITS ETF. They also come from different issuers: First Trust and Invesco.
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