ISEU.L vs. ^GSPC
Compare and contrast key facts about iShares MSCI Europe UCITS Dist (ISEU.L) and S&P 500 (^GSPC).
ISEU.L is a passively managed fund by iShares that tracks the performance of the MSCI Europe NR EUR. It was launched on Jul 6, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ISEU.L or ^GSPC.
Key characteristics
| ISEU.L | ^GSPC | |
|---|---|---|
| YTD Return | 2.90% | 25.45% |
| 1Y Return | 14.32% | 35.64% |
| 3Y Return (Ann) | 1.78% | 8.55% |
| 5Y Return (Ann) | 6.37% | 14.13% |
| Sharpe Ratio | 0.87 | 2.90 |
| Sortino Ratio | 1.30 | 3.87 |
| Omega Ratio | 1.15 | 1.54 |
| Calmar Ratio | 1.15 | 4.19 |
| Martin Ratio | 4.30 | 18.72 |
| Ulcer Index | 2.62% | 1.90% |
| Daily Std Dev | 13.16% | 12.27% |
| Max Drawdown | -36.02% | -56.78% |
| Current Drawdown | -9.78% | -0.29% |
Correlation
The correlation between ISEU.L and ^GSPC is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
ISEU.L vs. ^GSPC - Performance Comparison
In the year-to-date period, ISEU.L achieves a 2.90% return, which is significantly lower than ^GSPC's 25.45% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ISEU.L vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe UCITS Dist (ISEU.L) and S&P 500 (^GSPC). 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.
Drawdowns
ISEU.L vs. ^GSPC - Drawdown Comparison
The maximum ISEU.L drawdown since its inception was -36.02%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ISEU.L and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ISEU.L vs. ^GSPC - Volatility Comparison
iShares MSCI Europe UCITS Dist (ISEU.L) has a higher volatility of 4.47% compared to S&P 500 (^GSPC) at 3.86%. This indicates that ISEU.L's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.