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

PSRE.L vs. SX5S.L

Last updated Jun 5, 2026

PSRE.L (Invesco FTSE RAFI Europe UCITS ETF) and SX5S.L (Invesco EURO STOXX 50 UCITS ETF) are both Europe Equities funds from Invesco - PSRE.L tracks the MSCI Europe Value NR EUR while SX5S.L tracks the MSCI EMU NR EUR. Both are passively managed. Over the past 10 years, PSRE.L returned 11.27%/yr vs 11.41%/yr for SX5S.L. A 0.75 correlation means they provide meaningful diversification when combined. PSRE.L charges 0.39%/yr vs 0.05%/yr for SX5S.L.

Performance

PSRE.L vs. SX5S.L - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in Invesco FTSE RAFI Europe UCITS ETF (PSRE.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, PSRE.L achieves a 8.21% return, which is significantly higher than SX5S.L's 6.46% return. Both investments have delivered pretty close results over the past 10 years, with PSRE.L having a 11.27% annualized return and SX5S.L not far ahead at 11.41%.

PSRE.L

1D
0.44%
1M
1.30%
YTD
8.21%
6M
10.94%
1Y
25.30%
3Y*
18.44%
5Y*
12.83%
10Y*
11.27%

SX5S.L

1D
0.35%
1M
1.56%
YTD
6.46%
6M
7.42%
1Y
18.48%
3Y*
15.51%
5Y*
11.51%
10Y*
11.41%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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

2026 (YTD)202520242023202220212020201920182017
PSRE.L
Invesco FTSE RAFI Europe UCITS ETF		8.21%33.93%6.05%13.49%1.85%17.97%-3.60%14.49%-10.13%14.76%
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 PSRE.L and SX5S.L is 0.83, 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

0.83

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

0.83

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 Sep 8, 2014

0.75

The correlation between PSRE.L and SX5S.L has been stable across timeframes, ranging from 0.75 to 0.84 - a consistent structural relationship.

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

Sectors
PSRE.L
SX5S.L

Financial Services

21.5%
25.1%

Energy

13.2%
5.2%

Industrials

12.0%
22.1%

Healthcare

10.6%
5.4%

Basic Materials

9.9%
3.7%

Consumer Defensive

9.3%
5.5%

Consumer Cyclical

9.2%
9.8%

Communication Services

5.0%
2.3%

Technology

4.7%
16.1%

Utilities

4.3%
4.8%

Real Estate

0.3%

-

Financial Services

PSRE.L
21.5%
SX5S.L
25.1%

Energy

PSRE.L
13.2%
SX5S.L
5.2%

Industrials

PSRE.L
12.0%
SX5S.L
22.1%

Healthcare

PSRE.L
10.6%
SX5S.L
5.4%

Basic Materials

PSRE.L
9.9%
SX5S.L
3.7%

Consumer Defensive

PSRE.L
9.3%
SX5S.L
5.5%

Consumer Cyclical

PSRE.L
9.2%
SX5S.L
9.8%

Communication Services

PSRE.L
5.0%
SX5S.L
2.3%

Technology

PSRE.L
4.7%
SX5S.L
16.1%

Utilities

PSRE.L
4.3%
SX5S.L
4.8%

Real Estate

PSRE.L
0.3%
SX5S.L

-

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Invesco FTSE RAFI Europe UCITS ETF

Invesco EURO STOXX 50 UCITS ETF

Often compared with PSRE.L:
PSRE.L vs. PSRF.LPSRE.L vs. PSRM.LPSRE.L vs. WQDS.LPSRE.L vs. UB01.LPSRE.L vs. VEUR.LPSRE.L vs. IMIB.LPSRE.L vs. VWRA.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

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

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
PSRE.L
PSRE.L Risk / Return Rank: 6262
Overall Rank
PSRE.L Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
PSRE.L Sortino Ratio Rank: 6464
Sortino Ratio Rank
PSRE.L Omega Ratio Rank: 6969
Omega Ratio Rank
PSRE.L Calmar Ratio Rank: 5353
Calmar Ratio Rank
PSRE.L Martin Ratio Rank: 5656
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.

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

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI Europe UCITS ETF (PSRE.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.

PSRE.LSX5S.LDifference
Sharpe ratioReturn per unit of total volatility
2.23
1.23

+1.00

Sortino ratioReturn per unit of downside risk
2.95
1.83

+1.12

Omega ratioGain probability vs. loss probability

1.41

1.23

+0.18

Calmar ratioReturn relative to maximum drawdown

2.59

1.62

+0.97

Martin ratioReturn relative to average drawdown

9.56

5.40

+4.16

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

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

The current PSRE.L Sharpe Ratio is 2.23, which is higher than the SX5S.L Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of PSRE.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

PSRE.LSX5S.LDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.23

1.23

+1.00

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.91

0.69

+0.22

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.70

0.73

-0.03

Sharpe Ratio (All Time)

Calculated using the full available price history

0.39

0.59

-0.20

Drawdowns

PSRE.L vs. SX5S.L - Drawdown Comparison

The maximum PSRE.L drawdown since its inception was -44.68%, 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 PSRE.L and SX5S.L.

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Drawdown Indicators

PSRE.LSX5S.LDifference

Max Drawdown

Largest peak-to-trough decline

-44.68%

-32.54%

-12.14%

Max Drawdown (1Y)

Largest decline over 1 year

-9.69%

-11.43%

+1.74%

Max Drawdown (3Y)

Largest decline over 3 years

-12.80%

-13.85%

+1.05%

Max Drawdown (5Y)

Largest decline over 5 years

-15.92%

-21.71%

+5.79%

Max Drawdown (10Y)

Largest decline over 10 years

-33.25%

-32.54%

-0.71%

Current Drawdown

Current decline from peak

-1.24%

-0.57%

-0.67%

Average Drawdown

Average peak-to-trough decline

-5.66%

-5.44%

-0.22%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.63%

3.44%

-0.81%

Volatility

PSRE.L vs. SX5S.L - Volatility Comparison

The current volatility for Invesco FTSE RAFI Europe UCITS ETF (PSRE.L) is 2.95%, while Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a volatility of 4.90%. This indicates that PSRE.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

PSRE.LSX5S.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.95%

4.90%

-1.95%

Volatility (6M)

Calculated over the trailing 6-month period

9.04%

12.23%

-3.19%

Volatility (1Y)

Calculated over the trailing 1-year period

11.29%

15.09%

-3.80%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.06%

17.62%

-3.56%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.09%

19.88%

-3.79%

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

PSRE.L has a 0.39% expense ratio, which is higher than SX5S.L's 0.05% expense ratio.

Dividends

PSRE.L vs. SX5S.L - Dividend Comparison

PSRE.L's dividend yield for the trailing twelve months is around 2.74%, while SX5S.L has not paid dividends to shareholders.

PositionTTM20252024202320222021202020192018201720162015
PSRE.L
Invesco FTSE RAFI Europe UCITS ETF		2.74%3.00%3.61%3.55%3.29%2.81%2.09%3.69%3.60%2.77%2.77%2.68%
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

PSRE.L and SX5S.L have a correlation of 0.83, 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 0.39% for PSRE.L.

PSRE.L tracks MSCI Europe Value NR EUR, while SX5S.L tracks MSCI EMU NR EUR. Their fees differ too: 0.39% for PSRE.L and 0.05% for SX5S.L.

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