R2SC.L vs. ^GSPC
Compare and contrast key facts about SPDR Russell 2000 US Small Cap UCITS ETF (R2SC.L) and S&P 500 (^GSPC).
R2SC.L is a passively managed fund by State Street Global Advisors Ltd that tracks the performance of the Russell 2000 TR USD. It was launched on Jun 30, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: R2SC.L or ^GSPC.
Key characteristics
| R2SC.L | ^GSPC | |
|---|---|---|
| YTD Return | 17.78% | 25.45% |
| 1Y Return | 37.04% | 35.64% |
| 3Y Return (Ann) | 2.67% | 8.55% |
| 5Y Return (Ann) | 9.83% | 14.13% |
| 10Y Return (Ann) | 10.78% | 11.39% |
| Sharpe Ratio | 0.96 | 2.90 |
| Sortino Ratio | 1.56 | 3.87 |
| Omega Ratio | 1.30 | 1.54 |
| Calmar Ratio | 1.63 | 4.19 |
| Martin Ratio | 3.52 | 18.72 |
| Ulcer Index | 9.29% | 1.90% |
| Daily Std Dev | 34.06% | 12.27% |
| Max Drawdown | -35.03% | -56.78% |
| Current Drawdown | -0.16% | -0.29% |
Correlation
The correlation between R2SC.L and ^GSPC is 0.51, 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
R2SC.L vs. ^GSPC - Performance Comparison
In the year-to-date period, R2SC.L achieves a 17.78% return, which is significantly lower than ^GSPC's 25.45% return. Over the past 10 years, R2SC.L has underperformed ^GSPC with an annualized return of 10.78%, while ^GSPC has yielded a comparatively higher 11.39% annualized 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
R2SC.L vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 2000 US Small Cap UCITS ETF (R2SC.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
R2SC.L vs. ^GSPC - Drawdown Comparison
The maximum R2SC.L drawdown since its inception was -35.03%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for R2SC.L and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
R2SC.L vs. ^GSPC - Volatility Comparison
SPDR Russell 2000 US Small Cap UCITS ETF (R2SC.L) has a higher volatility of 6.60% compared to S&P 500 (^GSPC) at 3.86%. This indicates that R2SC.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.