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

IMEU.L vs. SX5S.L

Last updated Jun 5, 2026

IMEU.L (iShares MSCI Europe UCITS Dist) and SX5S.L (Invesco EURO STOXX 50 UCITS ETF) are both Europe Equities funds - IMEU.L tracks the MSCI Europe NR EUR while SX5S.L tracks the MSCI EMU NR EUR. Both are passively managed. Over the past 10 years, IMEU.L returned 10.70%/yr vs 11.41%/yr for SX5S.L. A 0.79 correlation means they provide meaningful diversification when combined. IMEU.L charges 1.00%/yr vs 0.05%/yr for SX5S.L.

Performance

IMEU.L vs. SX5S.L - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in iShares MSCI Europe UCITS Dist (IMEU.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, IMEU.L achieves a 6.98% return, which is significantly higher than SX5S.L's 6.46% return. Over the past 10 years, IMEU.L has underperformed SX5S.L with an annualized return of 10.70%, while SX5S.L has yielded a comparatively higher 11.41% annualized return.

IMEU.L

1D
0.82%
1M
3.92%
YTD
6.98%
6M
9.21%
1Y
20.02%
3Y*
14.37%
5Y*
10.63%
10Y*
10.70%

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%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)202520242023202220212020201920182017
IMEU.L
iShares MSCI Europe UCITS Dist		6.98%26.50%4.39%13.45%-2.93%17.55%2.64%20.21%-8.95%15.22%
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 IMEU.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

0.90

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

0.90

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

0.80

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

0.79

The correlation between IMEU.L and SX5S.L shifts across timeframes, from 0.79 (all time) to 0.92 (1 year), reflecting how their relationship changes across market environments.

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

Sectors
IMEU.L
SX5S.L

Financial Services

23.1%
25.1%

Industrials

19.3%
22.1%

Healthcare

13.1%
5.4%

Technology

9.5%
16.1%

Consumer Defensive

8.4%
5.5%

Consumer Cyclical

6.4%
9.8%

Basic Materials

5.6%
3.7%

Energy

5.1%
5.2%

Utilities

4.8%
4.8%

Communication Services

3.9%
2.3%

Real Estate

0.8%

-

Financial Services

IMEU.L
23.1%
SX5S.L
25.1%

Industrials

IMEU.L
19.3%
SX5S.L
22.1%

Healthcare

IMEU.L
13.1%
SX5S.L
5.4%

Technology

IMEU.L
9.5%
SX5S.L
16.1%

Consumer Defensive

IMEU.L
8.4%
SX5S.L
5.5%

Consumer Cyclical

IMEU.L
6.4%
SX5S.L
9.8%

Basic Materials

IMEU.L
5.6%
SX5S.L
3.7%

Energy

IMEU.L
5.1%
SX5S.L
5.2%

Utilities

IMEU.L
4.8%
SX5S.L
4.8%

Communication Services

IMEU.L
3.9%
SX5S.L
2.3%

Real Estate

IMEU.L
0.8%
SX5S.L

-

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iShares MSCI Europe UCITS Dist

Invesco EURO STOXX 50 UCITS ETF

Often compared with IMEU.L:
IMEU.L vs. IEURIMEU.L vs. VEUR.ASIMEU.L vs. SWDA.LIMEU.L vs. VGKIMEU.L vs. VEUR.LIMEU.L vs. XDEW.DEIMEU.L vs. EUE.L
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

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

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IMEU.L
IMEU.L Risk / Return Rank: 4646
Overall Rank
IMEU.L Sharpe Ratio Rank: 4949
Sharpe Ratio Rank
IMEU.L Sortino Ratio Rank: 4848
Sortino Ratio Rank
IMEU.L Omega Ratio Rank: 5151
Omega Ratio Rank
IMEU.L Calmar Ratio Rank: 3838
Calmar Ratio Rank
IMEU.L Martin Ratio Rank: 4343
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.

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

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe UCITS Dist (IMEU.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.

IMEU.LSX5S.LDifference
Sharpe ratioReturn per unit of total volatility
1.66
1.23

+0.43

Sortino ratioReturn per unit of downside risk
2.33
1.83

+0.51

Omega ratioGain probability vs. loss probability

1.32

1.23

+0.08

Calmar ratioReturn relative to maximum drawdown

1.88

1.62

+0.26

Martin ratioReturn relative to average drawdown

6.73

5.40

+1.33

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

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

The current IMEU.L Sharpe Ratio is 1.66, which is higher than the SX5S.L Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of IMEU.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

IMEU.LSX5S.LDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.66

1.23

+0.43

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.77

0.69

+0.08

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.72

0.73

-0.01

Sharpe Ratio (All Time)

Calculated using the full available price history

0.41

0.59

-0.18

Drawdowns

IMEU.L vs. SX5S.L - Drawdown Comparison

The maximum IMEU.L drawdown since its inception was -43.51%, 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 IMEU.L and SX5S.L.

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Drawdown Indicators

IMEU.LSX5S.LDifference

Max Drawdown

Largest peak-to-trough decline

-43.51%

-32.54%

-10.97%

Max Drawdown (1Y)

Largest decline over 1 year

-10.59%

-11.43%

+0.84%

Max Drawdown (3Y)

Largest decline over 3 years

-12.55%

-13.85%

+1.30%

Max Drawdown (5Y)

Largest decline over 5 years

-15.81%

-21.71%

+5.90%

Max Drawdown (10Y)

Largest decline over 10 years

-28.68%

-32.54%

+3.86%

Current Drawdown

Current decline from peak

-1.11%

-0.57%

-0.54%

Average Drawdown

Average peak-to-trough decline

-6.17%

-5.44%

-0.73%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.97%

3.44%

-0.47%

Volatility

IMEU.L vs. SX5S.L - Volatility Comparison

The current volatility for iShares MSCI Europe UCITS Dist (IMEU.L) is 3.92%, while Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a volatility of 4.90%. This indicates that IMEU.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

IMEU.LSX5S.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.92%

4.90%

-0.98%

Volatility (6M)

Calculated over the trailing 6-month period

10.09%

12.23%

-2.14%

Volatility (1Y)

Calculated over the trailing 1-year period

12.05%

15.09%

-3.04%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.74%

17.62%

-3.88%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.85%

19.88%

-5.03%

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

IMEU.L has a 1.00% expense ratio, which is higher than SX5S.L's 0.05% expense ratio.

Dividends

IMEU.L vs. SX5S.L - Dividend Comparison

IMEU.L's dividend yield for the trailing twelve months is around 2.93%, while SX5S.L has not paid dividends to shareholders.

PositionTTM20252024202320222021202020192018201720162015
IMEU.L
iShares MSCI Europe UCITS Dist		2.93%2.92%3.46%3.31%3.29%2.68%2.30%3.59%3.61%2.97%3.34%3.62%
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, IMEU.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 1.00% for IMEU.L.

IMEU.L tracks MSCI Europe NR EUR, while SX5S.L tracks MSCI EMU NR EUR. They also come from different issuers: iShares and Invesco. Their fees differ too: 1.00% for IMEU.L and 0.05% for SX5S.L.

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