PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
JRZD.L vs. SX5S.L
Performance
Return for Risk
Drawdowns
Volatility
Dividends

JRZD.L vs. SX5S.L

Last updated Jul 16, 2026
Documentation

JRZD.L (JPM Eurozone Research Enhanced Index Equity Active UCITS ETF - EUR (dis)) and SX5S.L (Invesco EURO STOXX 50 UCITS ETF) are both Europe Equities funds. JRZD.L is actively managed, while SX5S.L is passively managed. Over the past 3 years, JRZD.L returned 15.94%/yr vs 15.59%/yr for SX5S.L. With a 0.97 correlation, they move nearly in lockstep.

Performance

JRZD.L vs. SX5S.L - Performance Comparison

The chart below illustrates the hypothetical performance of a €10,000 investment in JPM Eurozone Research Enhanced Index Equity Active UCITS ETF - EUR (dis) (JRZD.L) and Invesco EURO STOXX 50 UCITS ETF (SX5S.L). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Different Trading Currencies

JRZD.L is traded in EUR, while SX5S.L is traded in GBp. To make them comparable, the SX5S.L values have been converted to EUR using the latest available exchange rates.

Returns By Period

In the year-to-date period, JRZD.L achieves a 12.09% return, which is significantly higher than SX5S.L's 10.76% return.

JRZD.L

1D
-0.33%
1M
0.09%
6M
8.35%
YTD
12.09%
1Y
22.35%
3Y*
15.94%
5Y*
—
10Y*
—

SX5S.L

1D
-0.27%
1M
0.67%
6M
6.37%
YTD
10.76%
1Y
20.00%
3Y*
15.59%
5Y*
12.34%
10Y*
10.85%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)2025202420232022
JRZD.L
JPM Eurozone Research Enhanced Index Equity Active UCITS ETF - EUR (dis)		12.09%23.20%8.54%20.11%0.90%
SX5S.L
Invesco EURO STOXX 50 UCITS ETF		10.76%21.02%11.26%22.45%3.35%

Correlation

The correlation between JRZD.L and SX5S.L is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.96

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

0.97

Correlation (All Time)
Calculated using the full available price history since May 4, 2022

0.97

The correlation between JRZD.L and SX5S.L has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

JPM Eurozone Research Enhanced Index Equity Active UCITS ETF - EUR (dis)

Invesco EURO STOXX 50 UCITS ETF

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

Return for Risk

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

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
JRZD.L
JRZD.L Risk / Return Rank: 5858
Overall Rank
JRZD.L Sharpe Ratio Rank: 5757
Sharpe Ratio Rank
JRZD.L Sortino Ratio Rank: 5959
Sortino Ratio Rank
JRZD.L Omega Ratio Rank: 5858
Omega Ratio Rank
JRZD.L Calmar Ratio Rank: 5555
Calmar Ratio Rank
JRZD.L Martin Ratio Rank: 5959
Martin Ratio Rank
SX5S.L
SX5S.L Risk / Return Rank: 3737
Overall Rank
SX5S.L Sharpe Ratio Rank: 3737
Sharpe Ratio Rank
SX5S.L Sortino Ratio Rank: 3838
Sortino Ratio Rank
SX5S.L Omega Ratio Rank: 3737
Omega Ratio Rank
SX5S.L Calmar Ratio Rank: 3535
Calmar Ratio Rank
SX5S.L Martin Ratio Rank: 3939
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.

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

This table presents a comparison of risk-adjusted performance metrics for JPM Eurozone Research Enhanced Index Equity Active UCITS ETF - EUR (dis) (JRZD.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.

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.

JRZD.LSX5S.LDifference
Sharpe ratioReturn per unit of total volatility
1.57
1.28

+0.29

Sortino ratioReturn per unit of downside risk
2.28
1.91

+0.37

Omega ratioGain probability vs. loss probability

1.29

1.24

+0.05

Calmar ratioReturn relative to maximum drawdown

2.25

1.84

+0.41

Martin ratioReturn relative to average drawdown

8.24

6.32

+1.92

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

The current JRZD.L Sharpe Ratio is 1.57, which is comparable to the SX5S.L Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of JRZD.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.

Loading charts...

Drawdowns

JRZD.L vs. SX5S.L - Drawdown Comparison

The maximum JRZD.L drawdown since its inception was -14.99%, smaller than the maximum SX5S.L drawdown of -38.87%. Use the drawdown chart below to compare losses from any high point for JRZD.L and SX5S.L.

Loading charts...

Drawdown Indicators

JRZD.LSX5S.LDifference

Max Drawdown

Largest peak-to-trough decline

-14.99%

-38.87%

+23.88%

Max Drawdown (1Y)

Largest decline over 1 year

-10.30%

-10.84%

+0.54%

Max Drawdown (3Y)

Largest decline over 3 years

-14.78%

-16.02%

+1.24%

Max Drawdown (5Y)

Largest decline over 5 years

—

-23.42%

—

Max Drawdown (10Y)

Largest decline over 10 years

—

-38.87%

—

Current Drawdown

Current decline from peak

-2.49%

-2.19%

-0.30%

Average Drawdown

Average peak-to-trough decline

-2.85%

-6.61%

+3.76%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.81%

3.16%

-0.35%

Volatility

JRZD.L vs. SX5S.L - Volatility Comparison

JPM Eurozone Research Enhanced Index Equity Active UCITS ETF - EUR (dis) (JRZD.L) and Invesco EURO STOXX 50 UCITS ETF (SX5S.L) have volatilities of 4.24% and 4.26%, 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.

Loading charts...

Volatility by Period

JRZD.LSX5S.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.24%

4.26%

-0.02%

Volatility (6M)

Calculated over the trailing 6-month period

12.36%

12.80%

-0.44%

Volatility (1Y)

Calculated over the trailing 1-year period

14.80%

15.58%

-0.78%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.53%

17.39%

-1.86%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.53%

18.05%

-2.52%

Dividends

JRZD.L vs. SX5S.L - Dividend Comparison

JRZD.L's dividend yield for the trailing twelve months is around 2.30%, while SX5S.L has not paid dividends to shareholders.

PositionTTM2025202420232022
JRZD.L
JPM Eurozone Research Enhanced Index Equity Active UCITS ETF - EUR (dis)		2.30%2.59%2.73%3.21%1.76%
SX5S.L
Invesco EURO STOXX 50 UCITS ETF		0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

With a correlation of 0.96, JRZD.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.

They also come from different issuers: ETF Issuer and Invesco.

Portfolio Optimizer

Find the right allocation for JRZD.L and SX5S.L

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer