RTYS.L vs. ^GSPC
RTYS.L (Invesco Russell 2000 UCITS ETF) is Small Cap Blend Equities fund tracking the Russell 2000 TR USD, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, RTYS.L returned 10.52%/yr vs 13.36%/yr for ^GSPC. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
RTYS.L vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, RTYS.L achieves a 19.90% return, which is significantly higher than ^GSPC's 10.62% return. Over the past 10 years, RTYS.L has underperformed ^GSPC with an annualized return of 10.52%, while ^GSPC has yielded a comparatively higher 13.36% annualized return.
RTYS.L
- 1D
- 0.39%
- 1M
- 0.18%
- 6M
- 13.34%
- YTD
- 19.90%
- 1Y
- 34.90%
- 3Y*
- 16.84%
- 5Y*
- 7.42%
- 10Y*
- 10.52%
^GSPC
- 1D
- 0.38%
- 1M
- 0.24%
- 6M
- 9.32%
- YTD
- 10.62%
- 1Y
- 21.28%
- 3Y*
- 18.90%
- 5Y*
- 11.84%
- 10Y*
- 13.36%
RTYS.L vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
RTYS.L Invesco Russell 2000 UCITS ETF | 19.90% | 12.51% | 10.09% | 18.90% | -21.01% | 13.97% | 19.89% | 24.60% | -12.53% | 14.83% |
^GSPC S&P 500 Index | 10.62% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between RTYS.L and ^GSPC is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.57 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.49 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.48 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 2009 | 0.56 |
The correlation between RTYS.L and ^GSPC has been stable across timeframes, ranging from 0.47 to 0.57 - a consistent structural relationship.
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Return for Risk
RTYS.L vs. ^GSPC — Risk / Return Rank
RTYS.L
^GSPC
RTYS.L vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 UCITS ETF (RTYS.L) and S&P 500 Index (^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.
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.
| RTYS.L | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.14 | ||
| Sortino ratioReturn per unit of downside risk | +0.35 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.31 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 3.29 | 2.35 | +0.94 |
| Martin ratioReturn relative to average drawdown | 10.70 | 10.19 | +0.51 |
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Drawdowns
RTYS.L vs. ^GSPC - Drawdown Comparison
The maximum RTYS.L drawdown since its inception was -42.15%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for RTYS.L and ^GSPC.
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Drawdown Indicators
| RTYS.L | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -42.15% | -56.78% | +14.63% |
Max Drawdown (1Y)Largest decline over 1 year | -10.57% | -9.10% | -1.47% |
Max Drawdown (3Y)Largest decline over 3 years | -28.71% | -18.90% | -9.81% |
Max Drawdown (5Y)Largest decline over 5 years | -31.97% | -25.43% | -6.54% |
Max Drawdown (10Y)Largest decline over 10 years | -42.15% | -33.92% | -8.23% |
Current DrawdownCurrent decline from peak | -2.19% | -0.49% | -1.70% |
Average DrawdownAverage peak-to-trough decline | -8.43% | -10.70% | +2.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.25% | 2.09% | +1.16% |
Volatility
RTYS.L vs. ^GSPC - Volatility Comparison
Invesco Russell 2000 UCITS ETF (RTYS.L) has a higher volatility of 4.28% compared to S&P 500 Index (^GSPC) at 3.60%. This indicates that RTYS.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.
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Volatility by Period
| RTYS.L | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.28% | 3.60% | +0.68% |
Volatility (6M)Calculated over the trailing 6-month period | 14.10% | 9.99% | +4.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.86% | 12.55% | +6.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.27% | 17.01% | +5.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.05% | 18.05% | +4.00% |
Frequently Asked Questions
RTYS.L and ^GSPC have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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