PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
N1ES.DE vs. SXRV.DE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


N1ES.DESXRV.DE
YTD Return29.75%29.09%
1Y Return38.10%37.88%
3Y Return (Ann)13.25%12.15%
Sharpe Ratio2.092.16
Sortino Ratio2.772.88
Omega Ratio1.381.41
Calmar Ratio2.572.66
Martin Ratio8.348.81
Ulcer Index4.32%4.06%
Daily Std Dev17.17%16.43%
Max Drawdown-33.10%-31.39%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.01.0

The correlation between N1ES.DE and SXRV.DE is 0.98, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

N1ES.DE vs. SXRV.DE - Performance Comparison

The year-to-date returns for both stocks are quite close, with N1ES.DE having a 29.75% return and SXRV.DE slightly lower at 29.09%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.87%
16.52%
N1ES.DE
SXRV.DE

Compare stocks, funds, or ETFs

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


N1ES.DE vs. SXRV.DE - Expense Ratio Comparison

N1ES.DE has a 0.25% expense ratio, which is lower than SXRV.DE's 0.36% expense ratio.


SXRV.DE
iShares NASDAQ 100 UCITS ETF USD (Acc)
Expense ratio chart for SXRV.DE: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for N1ES.DE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

N1ES.DE vs. SXRV.DE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Nasdaq-100 ESG UCITS ETF Acc (N1ES.DE) and iShares NASDAQ 100 UCITS ETF USD (Acc) (SXRV.DE). 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.


N1ES.DE
Sharpe ratio
The chart of Sharpe ratio for N1ES.DE, currently valued at 2.02, compared to the broader market-2.000.002.004.006.002.02
Sortino ratio
The chart of Sortino ratio for N1ES.DE, currently valued at 2.73, compared to the broader market0.005.0010.002.73
Omega ratio
The chart of Omega ratio for N1ES.DE, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for N1ES.DE, currently valued at 2.60, compared to the broader market0.005.0010.0015.002.60
Martin ratio
The chart of Martin ratio for N1ES.DE, currently valued at 8.97, compared to the broader market0.0020.0040.0060.0080.00100.008.97
SXRV.DE
Sharpe ratio
The chart of Sharpe ratio for SXRV.DE, currently valued at 2.10, compared to the broader market-2.000.002.004.006.002.10
Sortino ratio
The chart of Sortino ratio for SXRV.DE, currently valued at 2.83, compared to the broader market0.005.0010.002.83
Omega ratio
The chart of Omega ratio for SXRV.DE, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for SXRV.DE, currently valued at 2.71, compared to the broader market0.005.0010.0015.002.71
Martin ratio
The chart of Martin ratio for SXRV.DE, currently valued at 9.61, compared to the broader market0.0020.0040.0060.0080.00100.009.61

N1ES.DE vs. SXRV.DE - Sharpe Ratio Comparison

The current N1ES.DE Sharpe Ratio is 2.09, which is comparable to the SXRV.DE Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of N1ES.DE and SXRV.DE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.02
2.10
N1ES.DE
SXRV.DE

Dividends

N1ES.DE vs. SXRV.DE - Dividend Comparison

Neither N1ES.DE nor SXRV.DE has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

N1ES.DE vs. SXRV.DE - Drawdown Comparison

The maximum N1ES.DE drawdown since its inception was -33.10%, which is greater than SXRV.DE's maximum drawdown of -31.39%. Use the drawdown chart below to compare losses from any high point for N1ES.DE and SXRV.DE. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
N1ES.DE
SXRV.DE

Volatility

N1ES.DE vs. SXRV.DE - Volatility Comparison

Invesco Nasdaq-100 ESG UCITS ETF Acc (N1ES.DE) and iShares NASDAQ 100 UCITS ETF USD (Acc) (SXRV.DE) have volatilities of 4.78% and 4.60%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.78%
4.60%
N1ES.DE
SXRV.DE