FXGB.L vs. G500.L
FXGB.L (First Trust FactorFX UCITS ETF Class B GBP) and G500.L (Invesco S&P 500 UCITS ETF (GBP Hdg)) are both Global Equities funds - FXGB.L tracks the First Trust FactorFX UCITS ETF Class B GBP while G500.L tracks the Invesco S&P 500 UCITS ETF (GBP Hdg). Both are passively managed. Over the past 5 years, FXGB.L returned 5.06%/yr vs 12.15%/yr for G500.L. At a 0.20 correlation, their price movements are largely independent.
Performance
FXGB.L vs. G500.L - Performance Comparison
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Returns By Period
In the year-to-date period, FXGB.L achieves a 6.36% return, which is significantly lower than G500.L's 9.90% return.
FXGB.L
- 1D
- 1.17%
- 1M
- 1.83%
- 6M
- 6.32%
- YTD
- 6.36%
- 1Y
- 11.05%
- 3Y*
- 6.35%
- 5Y*
- 5.06%
- 10Y*
- —
G500.L
- 1D
- -0.05%
- 1M
- -0.03%
- 6M
- 9.49%
- YTD
- 9.90%
- 1Y
- 21.08%
- 3Y*
- 19.63%
- 5Y*
- 12.15%
- 10Y*
- —
FXGB.L vs. G500.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
FXGB.L First Trust FactorFX UCITS ETF Class B GBP | 6.36% | 7.73% | 5.81% | 10.67% | -1.83% | -2.87% | 5.87% |
G500.L Invesco S&P 500 UCITS ETF (GBP Hdg) | 9.90% | 17.45% | 24.98% | 24.88% | -19.98% | 28.95% | 20.65% |
Correlation
The correlation between FXGB.L and G500.L is -0.20, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Jun 30, 2020 | 0.20 |
The correlation between FXGB.L and G500.L shifts across timeframes, from -0.20 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FXGB.L vs. G500.L — Risk / Return Rank
FXGB.L
G500.L
FXGB.L vs. G500.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust FactorFX UCITS ETF Class B GBP (FXGB.L) and Invesco S&P 500 UCITS ETF (GBP Hdg) (G500.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.
| FXGB.L | G500.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.82 | ||
| Sortino ratioReturn per unit of downside risk | -1.25 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.33 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.54 | 2.65 | -0.11 |
| Martin ratioReturn relative to average drawdown | 7.10 | 10.68 | -3.58 |
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Drawdowns
FXGB.L vs. G500.L - Drawdown Comparison
The maximum FXGB.L drawdown since its inception was -9.43%, smaller than the maximum G500.L drawdown of -25.20%. Use the drawdown chart below to compare losses from any high point for FXGB.L and G500.L.
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Drawdown Indicators
| FXGB.L | G500.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -9.43% | -25.20% | +15.77% |
Max Drawdown (1Y)Largest decline over 1 year | -4.33% | -8.21% | +3.88% |
Max Drawdown (3Y)Largest decline over 3 years | -6.86% | -18.22% | +11.36% |
Max Drawdown (5Y)Largest decline over 5 years | -7.83% | -25.20% | +17.37% |
Current DrawdownCurrent decline from peak | -0.01% | -0.66% | +0.65% |
Average DrawdownAverage peak-to-trough decline | -2.72% | -5.31% | +2.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.55% | 2.04% | -0.49% |
Volatility
FXGB.L vs. G500.L - Volatility Comparison
First Trust FactorFX UCITS ETF Class B GBP (FXGB.L) and Invesco S&P 500 UCITS ETF (GBP Hdg) (G500.L) have volatilities of 2.78% and 2.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXGB.L | G500.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.78% | 2.79% | -0.01% |
Volatility (6M)Calculated over the trailing 6-month period | 8.42% | 9.28% | -0.86% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.11% | 12.06% | -0.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.87% | 15.99% | -8.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.76% | 15.87% | -9.11% |
Dividends
FXGB.L vs. G500.L - Dividend Comparison
Neither FXGB.L nor G500.L has paid dividends to shareholders.
Frequently Asked Questions
FXGB.L and G500.L have a correlation of -0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXGB.L tracks First Trust FactorFX UCITS ETF Class B GBP, while G500.L tracks Invesco S&P 500 UCITS ETF (GBP Hdg). They also come from different issuers: First Trust and Invesco.
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