IEFS.L vs. SX5S.L
IEFS.L (iShares Edge MSCI Europe Size Factor UCITS ETF) and SX5S.L (Invesco EURO STOXX 50 UCITS ETF) are both Europe Equities funds - IEFS.L tracks the MSCI Europe SMID NR EUR while SX5S.L tracks the MSCI EMU NR EUR. Both are passively managed. Over the past 10 years, IEFS.L returned 8.37%/yr vs 11.41%/yr for SX5S.L. A 0.74 correlation means they provide meaningful diversification when combined. IEFS.L charges 0.25%/yr vs 0.05%/yr for SX5S.L.
Performance
IEFS.L vs. SX5S.L - Performance Comparison
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Returns By Period
In the year-to-date period, IEFS.L achieves a 5.78% return, which is significantly lower than SX5S.L's 6.46% return. Over the past 10 years, IEFS.L has underperformed SX5S.L with an annualized return of 8.37%, while SX5S.L has yielded a comparatively higher 11.41% annualized return.
IEFS.L
- 1D
- -0.28%
- 1M
- 1.57%
- YTD
- 5.78%
- 6M
- 8.60%
- 1Y
- 16.22%
- 3Y*
- 12.43%
- 5Y*
- 5.82%
- 10Y*
- 8.37%
SX5S.L
- 1D
- 0.35%
- 1M
- 4.85%
- YTD
- 6.46%
- 6M
- 7.51%
- 1Y
- 18.61%
- 3Y*
- 15.51%
- 5Y*
- 11.51%
- 10Y*
- 11.41%
IEFS.L vs. SX5S.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IEFS.L iShares Edge MSCI Europe Size Factor UCITS ETF | 5.78% | 24.40% | 0.75% | 11.87% | -13.35% | 12.21% | 7.23% | 20.36% | -12.26% | 18.08% |
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 IEFS.L and SX5S.L is 0.81, 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 | 0.81 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.75 |
Correlation (All Time) Calculated using the full available price history since Jan 20, 2015 | 0.74 |
The correlation between IEFS.L and SX5S.L has been stable across timeframes, ranging from 0.74 to 0.84 - a consistent structural relationship.
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Return for Risk
IEFS.L vs. SX5S.L — Risk / Return Rank
IEFS.L
SX5S.L
IEFS.L vs. SX5S.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Size Factor UCITS ETF (IEFS.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.
| IEFS.L | SX5S.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.11 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.23 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 1.63 | 1.62 | +0.01 |
| Martin ratioReturn relative to average drawdown | 5.83 | 5.40 | +0.42 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| IEFS.L | SX5S.L | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.38 | 1.23 | +0.15 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.39 | 0.69 | -0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | 0.73 | -0.19 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.52 | 0.59 | -0.07 |
Drawdowns
IEFS.L vs. SX5S.L - Drawdown Comparison
The maximum IEFS.L drawdown since its inception was -31.02%, roughly equal to the maximum SX5S.L drawdown of -32.54%. Use the drawdown chart below to compare losses from any high point for IEFS.L and SX5S.L.
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Drawdown Indicators
| IEFS.L | SX5S.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.02% | -32.54% | +1.52% |
Max Drawdown (1Y)Largest decline over 1 year | -9.91% | -11.43% | +1.52% |
Max Drawdown (3Y)Largest decline over 3 years | -11.84% | -13.85% | +2.01% |
Max Drawdown (5Y)Largest decline over 5 years | -26.40% | -21.71% | -4.69% |
Max Drawdown (10Y)Largest decline over 10 years | -31.02% | -32.54% | +1.52% |
Current DrawdownCurrent decline from peak | -2.40% | -0.57% | -1.83% |
Average DrawdownAverage peak-to-trough decline | -5.84% | -5.44% | -0.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.78% | 3.44% | -0.66% |
Volatility
IEFS.L vs. SX5S.L - Volatility Comparison
The current volatility for iShares Edge MSCI Europe Size Factor UCITS ETF (IEFS.L) is 3.78%, while Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a volatility of 4.90%. This indicates that IEFS.L experiences smaller price fluctuations and is considered to be less risky 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
| IEFS.L | SX5S.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.78% | 4.90% | -1.12% |
Volatility (6M)Calculated over the trailing 6-month period | 9.75% | 12.23% | -2.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.72% | 15.09% | -3.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.99% | 17.62% | -2.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.59% | 19.88% | -4.29% |
IEFS.L vs. SX5S.L - Expense Ratio Comparison
IEFS.L has a 0.25% expense ratio, which is higher than SX5S.L's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
IEFS.L vs. SX5S.L - Dividend Comparison
Neither IEFS.L nor SX5S.L has paid dividends to shareholders.
Frequently Asked Questions
IEFS.L and SX5S.L have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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 0.25% for IEFS.L.
IEFS.L tracks MSCI Europe SMID NR EUR, while SX5S.L tracks MSCI EMU NR EUR. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.25% for IEFS.L and 0.05% for SX5S.L.
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