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S5EE.L vs. ^GSPC
Performance
Return for Risk
Drawdowns
Volatility

Performance

S5EE.L vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in UBS S&P 500 ESG Elite UCITS ETF USD acc (S5EE.L) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

S5EE.L is traded in GBp, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to GBp using the latest available exchange rates.

Returns By Period

In the year-to-date period, S5EE.L achieves a 23.53% return, which is significantly higher than ^GSPC's 9.90% return.


S5EE.L

1D
0.51%
1M
6.18%
YTD
23.53%
6M
24.04%
1Y
44.90%
3Y*
22.81%
5Y*
15.96%
10Y*

^GSPC

1D
0.00%
1M
-0.14%
YTD
9.90%
6M
8.80%
1Y
25.21%
3Y*
17.92%
5Y*
12.60%
10Y*
13.95%
*Multi-year figures are annualized to reflect compound growth (CAGR)

S5EE.L vs. ^GSPC - Yearly Performance Comparison


2026 (YTD)20252024202320222021
S5EE.L
UBS S&P 500 ESG Elite UCITS ETF USD acc
23.53%11.67%20.01%22.12%-9.06%-7.03%
^GSPC
S&P 500 Index
9.72%8.10%25.46%18.02%-9.86%24.20%

Correlation

The correlation between S5EE.L and ^GSPC is 0.60, 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

0.60

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

0.54

Correlation (5Y)
Calculated over the trailing 5-year period

0.53

Correlation (All Time)
Calculated using the full available price history since Feb 18, 2021

0.53

The correlation between S5EE.L and ^GSPC has been stable across timeframes, ranging from 0.53 to 0.60 - a consistent structural relationship.

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Return for Risk

S5EE.L vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

S5EE.L
S5EE.L Risk / Return Rank: 9494
Overall Rank
S5EE.L Sharpe Ratio Rank: 9696
Sharpe Ratio Rank
S5EE.L Sortino Ratio Rank: 9696
Sortino Ratio Rank
S5EE.L Omega Ratio Rank: 9595
Omega Ratio Rank
S5EE.L Calmar Ratio Rank: 9191
Calmar Ratio Rank
S5EE.L Martin Ratio Rank: 9292
Martin Ratio Rank

^GSPC
^GSPC Risk / Return Rank: 7070
Overall Rank
^GSPC Sharpe Ratio Rank: 6868
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 7171
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 7171
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 6262
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 7878
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.

S5EE.L vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for UBS S&P 500 ESG Elite UCITS ETF USD acc (S5EE.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.


S5EE.L^GSPCDifference
Sharpe ratioReturn per unit of total volatility

+1.48

Sortino ratioReturn per unit of downside risk

+2.07

Omega ratioGain probability vs. loss probability

1.65

1.39

+0.26

Calmar ratioReturn relative to maximum drawdown

5.27

3.15

+2.12

Martin ratioReturn relative to average drawdown

19.55

11.56

+7.99

S5EE.L vs. ^GSPC - Sharpe Ratio Comparison

The current S5EE.L Sharpe Ratio is 3.59, which is higher than the ^GSPC Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of S5EE.L and ^GSPC, 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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Drawdowns

S5EE.L vs. ^GSPC - Drawdown Comparison

The maximum S5EE.L drawdown since its inception was -28.17%, smaller than the maximum ^GSPC drawdown of -37.07%. Use the drawdown chart below to compare losses from any high point for S5EE.L and ^GSPC.


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Drawdown Indicators


S5EE.L^GSPCDifference

Max Drawdown

Largest peak-to-trough decline

-28.17%

-37.07%

+8.90%

Max Drawdown (1Y)

Largest decline over 1 year

-8.61%

-8.03%

-0.58%

Max Drawdown (3Y)

Largest decline over 3 years

-20.25%

-22.15%

+1.90%

Max Drawdown (5Y)

Largest decline over 5 years

-20.25%

-22.15%

+1.90%

Max Drawdown (10Y)

Largest decline over 10 years

-26.01%

Current Drawdown

Current decline from peak

-1.57%

-1.66%

+0.09%

Average Drawdown

Average peak-to-trough decline

-8.65%

-5.29%

-3.36%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.32%

2.19%

+0.13%

Volatility

S5EE.L vs. ^GSPC - Volatility Comparison

UBS S&P 500 ESG Elite UCITS ETF USD acc (S5EE.L) has a higher volatility of 5.41% compared to S&P 500 Index (^GSPC) at 4.32%. This indicates that S5EE.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


S5EE.L^GSPCDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.41%

4.32%

+1.09%

Volatility (6M)

Calculated over the trailing 6-month period

9.97%

8.96%

+1.01%

Volatility (1Y)

Calculated over the trailing 1-year period

12.67%

12.03%

+0.64%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.94%

15.96%

-1.02%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.22%

18.09%

+1.13%

Frequently Asked Questions


S5EE.L and ^GSPC have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Portfolio Optimizer

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