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IDJG.L vs. SX5S.L
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IDJG.L vs. SX5S.L

Last updated Jun 5, 2026

IDJG.L (iShares EURO Total Market Growth Large UCITS) and SX5S.L (Invesco EURO STOXX 50 UCITS ETF) are both Europe Equities funds tracking the MSCI EMU NR EUR, from iShares and Invesco respectively. Both are passively managed. Over the past 10 years, IDJG.L returned 11.09%/yr vs 11.41%/yr for SX5S.L. A 0.76 correlation means they provide meaningful diversification when combined. IDJG.L charges 0.40%/yr vs 0.05%/yr for SX5S.L.

Performance

IDJG.L vs. SX5S.L - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in iShares EURO Total Market Growth Large UCITS (IDJG.L) and Invesco EURO STOXX 50 UCITS ETF (SX5S.L). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, IDJG.L achieves a 10.35% 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 IDJG.L having a 11.09% annualized return and SX5S.L not far ahead at 11.41%.

IDJG.L

1D
0.60%
1M
7.80%
YTD
10.35%
6M
10.07%
1Y
17.46%
3Y*
11.45%
5Y*
8.89%
10Y*
11.09%

SX5S.L

1D
0.35%
1M
1.56%
YTD
6.46%
6M
7.42%
1Y
18.48%
3Y*
15.51%
5Y*
11.51%
10Y*
11.41%
*Multi-year figures are annualized to reflect compound growth (CAGR)

IDJG.L vs. SX5S.L - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IDJG.L
iShares EURO Total Market Growth Large UCITS		10.35%16.31%5.06%18.23%-12.30%18.39%12.16%27.93%-10.56%17.01%
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 IDJG.L and SX5S.L is 0.92, 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

0.92

Correlation (3Y)
Calculated over the trailing 3-year period

0.89

Correlation (5Y)
Calculated over the trailing 5-year period

0.88

Correlation (10Y)
Calculated over the trailing 10-year period

0.77

Correlation (All Time)
Calculated using the full available price history since Sep 8, 2014

0.76

The correlation between IDJG.L and SX5S.L shifts across timeframes, from 0.76 (all time) to 0.92 (1 year), reflecting how their relationship changes across market environments.

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

Sectors
IDJG.L
SX5S.L

Industrials

33.5%
22.1%

Technology

32.9%
16.1%

Consumer Cyclical

11.9%
9.8%

Financial Services

4.9%
25.1%

Utilities

4.4%
4.8%

Healthcare

4.4%
5.4%

Basic Materials

4.3%
3.7%

Consumer Defensive

3.1%
5.5%

Communication Services

0.7%
2.3%

Energy

-

5.2%

Real Estate

-

-

Industrials

IDJG.L
33.5%
SX5S.L
22.1%

Technology

IDJG.L
32.9%
SX5S.L
16.1%

Consumer Cyclical

IDJG.L
11.9%
SX5S.L
9.8%

Financial Services

IDJG.L
4.9%
SX5S.L
25.1%

Utilities

IDJG.L
4.4%
SX5S.L
4.8%

Healthcare

IDJG.L
4.4%
SX5S.L
5.4%

Basic Materials

IDJG.L
4.3%
SX5S.L
3.7%

Consumer Defensive

IDJG.L
3.1%
SX5S.L
5.5%

Communication Services

IDJG.L
0.7%
SX5S.L
2.3%

Energy

IDJG.L

-

SX5S.L
5.2%

Real Estate

IDJG.L

-

SX5S.L

-

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iShares EURO Total Market Growth Large UCITS

Invesco EURO STOXX 50 UCITS ETF

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Often compared with SX5S.L:
SX5S.L vs. S600.LSX5S.L vs. VXUSSX5S.L vs. ACWXSX5S.L vs. SPYSX5S.L vs. QQQSX5S.L vs. ^SP500TRSX5S.L vs. CIBR

Return for Risk

IDJG.L vs. SX5S.L — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IDJG.L
IDJG.L Risk / Return Rank: 2929
Overall Rank
IDJG.L Sharpe Ratio Rank: 2828
Sharpe Ratio Rank
IDJG.L Sortino Ratio Rank: 2929
Sortino Ratio Rank
IDJG.L Omega Ratio Rank: 2828
Omega Ratio Rank
IDJG.L Calmar Ratio Rank: 2727
Calmar Ratio Rank
IDJG.L Martin Ratio Rank: 3131
Martin Ratio Rank
SX5S.L
SX5S.L Risk / Return Rank: 3535
Overall Rank
SX5S.L Sharpe Ratio Rank: 3535
Sharpe Ratio Rank
SX5S.L Sortino Ratio Rank: 3535
Sortino Ratio Rank
SX5S.L Omega Ratio Rank: 3535
Omega Ratio Rank
SX5S.L Calmar Ratio Rank: 3434
Calmar Ratio Rank
SX5S.L Martin Ratio Rank: 3636
Martin Ratio Rank
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.

IDJG.L vs. SX5S.L - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares EURO Total Market Growth Large UCITS (IDJG.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.

IDJG.LSX5S.LDifference
Sharpe ratioReturn per unit of total volatility
0.99
1.23

-0.24

Sortino ratioReturn per unit of downside risk
1.56
1.83

-0.27

Omega ratioGain probability vs. loss probability

1.19

1.23

-0.04

Calmar ratioReturn relative to maximum drawdown

1.31

1.62

-0.31

Martin ratioReturn relative to average drawdown

4.45

5.40

-0.95

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

IDJG.L vs. SX5S.L - Sharpe Ratio Comparison

The current IDJG.L Sharpe Ratio is 0.99, which is comparable to the SX5S.L Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of IDJG.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.

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Sharpe Ratios by Period

IDJG.LSX5S.LDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.99

1.23

-0.24

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.47

0.69

-0.22

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.65

0.73

-0.09

Sharpe Ratio (All Time)

Calculated using the full available price history

0.45

0.59

-0.14

Drawdowns

IDJG.L vs. SX5S.L - Drawdown Comparison

The maximum IDJG.L drawdown since its inception was -45.75%, 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 IDJG.L and SX5S.L.

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Drawdown Indicators

IDJG.LSX5S.LDifference

Max Drawdown

Largest peak-to-trough decline

-45.75%

-32.54%

-13.21%

Max Drawdown (1Y)

Largest decline over 1 year

-13.27%

-11.43%

-1.84%

Max Drawdown (3Y)

Largest decline over 3 years

-17.37%

-13.85%

-3.52%

Max Drawdown (5Y)

Largest decline over 5 years

-27.15%

-21.71%

-5.44%

Max Drawdown (10Y)

Largest decline over 10 years

-27.21%

-32.54%

+5.33%

Current Drawdown

Current decline from peak

0.00%

-0.57%

+0.57%

Average Drawdown

Average peak-to-trough decline

-7.90%

-5.44%

-2.46%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.91%

3.44%

+0.47%

Volatility

IDJG.L vs. SX5S.L - Volatility Comparison

iShares EURO Total Market Growth Large UCITS (IDJG.L) has a higher volatility of 6.05% compared to Invesco EURO STOXX 50 UCITS ETF (SX5S.L) at 4.90%. This indicates that IDJG.L's price experiences larger fluctuations and is considered to be riskier than SX5S.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IDJG.LSX5S.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.05%

4.90%

+1.15%

Volatility (6M)

Calculated over the trailing 6-month period

14.77%

12.23%

+2.54%

Volatility (1Y)

Calculated over the trailing 1-year period

17.58%

15.09%

+2.49%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

19.20%

17.62%

+1.58%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.95%

19.88%

-0.93%

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

IDJG.L has a 0.40% expense ratio, which is higher than SX5S.L's 0.05% expense ratio.

Dividends

IDJG.L vs. SX5S.L - Dividend Comparison

IDJG.L's dividend yield for the trailing twelve months is around 1.07%, while SX5S.L has not paid dividends to shareholders.

PositionTTM20252024202320222021202020192018201720162015
IDJG.L
iShares EURO Total Market Growth Large UCITS		1.07%1.02%0.99%0.93%0.97%0.56%1.00%1.45%1.53%1.55%1.68%1.67%
SX5S.L
Invesco EURO STOXX 50 UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

With a correlation of 0.92, IDJG.L and SX5S.L move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

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.

SX5S.L is cheaper with a 0.05% expense ratio, compared with 0.40% for IDJG.L.

Both ETFs track MSCI EMU NR EUR. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.40% for IDJG.L and 0.05% for SX5S.L.

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