SC0E.DE vs. CEMT.DE
SC0E.DE (Invesco MSCI Europe UCITS ETF) and CEMT.DE (iShares Edge MSCI Europe Size Factor UCITS ETF) are both Europe Equities funds - SC0E.DE tracks the MSCI Europe while CEMT.DE tracks the MSCI Europe Mid Cap Equal Weighted. Both are passively managed. Over the past 10 years, SC0E.DE returned 9.06%/yr vs 6.44%/yr for CEMT.DE. Their correlation of 0.85 suggests significant overlap in exposure. SC0E.DE charges 0.19%/yr vs 0.25%/yr for CEMT.DE.
Performance
SC0E.DE vs. CEMT.DE - Performance Comparison
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Returns By Period
Over the past 10 years, SC0E.DE has outperformed CEMT.DE with an annualized return of 9.06%, while CEMT.DE has yielded a comparatively lower 6.44% annualized return.
SC0E.DE
- 1D
- 0.62%
- 1M
- 3.45%
- YTD
- 7.48%
- 6M
- 9.73%
- 1Y
- 16.11%
- 3Y*
- 13.60%
- 5Y*
- 9.92%
- 10Y*
- 9.06%
CEMT.DE
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 0.00%
- 6M
- 0.00%
- 1Y
- 4.36%
- 3Y*
- 9.41%
- 5Y*
- 4.08%
- 10Y*
- 6.44%
SC0E.DE vs. CEMT.DE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SC0E.DE Invesco MSCI Europe UCITS ETF | 7.48% | 20.15% | 8.25% | 15.48% | -9.29% | 24.97% | -3.28% | 27.71% | -11.02% | 10.40% |
CEMT.DE iShares Edge MSCI Europe Size Factor UCITS ETF | 0.00% | 17.53% | 5.08% | 14.19% | -18.24% | 19.63% | 1.61% | 28.81% | -13.99% | 13.62% |
Correlation
The correlation between SC0E.DE and CEMT.DE is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.74 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.83 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Jan 21, 2015 | 0.85 |
Over the past year, the correlation between SC0E.DE and CEMT.DE has dropped to 0.48 - well below their long-term average of 0.85, suggesting their price drivers have been diverging.
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Return for Risk
SC0E.DE vs. CEMT.DE — Risk / Return Rank
SC0E.DE
CEMT.DE
SC0E.DE vs. CEMT.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI Europe UCITS ETF (SC0E.DE) and iShares Edge MSCI Europe Size Factor UCITS ETF (CEMT.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.
| SC0E.DE | CEMT.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.49 | ||
| Sortino ratioReturn per unit of downside risk | +0.78 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.21 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 1.70 | 1.10 | +0.60 |
| Martin ratioReturn relative to average drawdown | 6.31 | 4.03 | +2.28 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SC0E.DE | CEMT.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.25 | 0.77 | +0.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.71 | 0.28 | +0.43 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.60 | 0.40 | +0.21 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.72 | 0.37 | +0.34 |
Drawdowns
SC0E.DE vs. CEMT.DE - Drawdown Comparison
The maximum SC0E.DE drawdown since its inception was -35.65%, smaller than the maximum CEMT.DE drawdown of -37.66%. Use the drawdown chart below to compare losses from any high point for SC0E.DE and CEMT.DE.
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Drawdown Indicators
| SC0E.DE | CEMT.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.65% | -37.66% | +2.01% |
Max Drawdown (1Y)Largest decline over 1 year | -9.43% | -4.26% | -5.17% |
Max Drawdown (3Y)Largest decline over 3 years | -16.54% | -14.36% | -2.18% |
Max Drawdown (5Y)Largest decline over 5 years | -19.33% | -29.23% | +9.90% |
Max Drawdown (10Y)Largest decline over 10 years | -35.65% | -37.66% | +2.01% |
Current DrawdownCurrent decline from peak | -1.56% | -0.39% | -1.17% |
Average DrawdownAverage peak-to-trough decline | -5.70% | -7.08% | +1.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.55% | 1.16% | +1.39% |
Volatility
SC0E.DE vs. CEMT.DE - Volatility Comparison
Invesco MSCI Europe UCITS ETF (SC0E.DE) has a higher volatility of 4.35% compared to iShares Edge MSCI Europe Size Factor UCITS ETF (CEMT.DE) at 0.00%. This indicates that SC0E.DE's price experiences larger fluctuations and is considered to be riskier than CEMT.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SC0E.DE | CEMT.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.35% | 0.00% | +4.35% |
Volatility (6M)Calculated over the trailing 6-month period | 10.58% | 0.00% | +10.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.83% | 6.11% | +6.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.59% | 14.61% | -0.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.36% | 16.11% | +0.25% |
SC0E.DE vs. CEMT.DE - Expense Ratio Comparison
SC0E.DE has a 0.19% expense ratio, which is lower than CEMT.DE's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
SC0E.DE vs. CEMT.DE - Dividend Comparison
Neither SC0E.DE nor CEMT.DE has paid dividends to shareholders.
Frequently Asked Questions
SC0E.DE and CEMT.DE have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, SC0E.DE is cheaper at 0.19% per year. The better choice depends on whether you care most about return, fees, risk, or income.
SC0E.DE is cheaper with a 0.19% expense ratio, compared with 0.25% for CEMT.DE.
SC0E.DE tracks MSCI Europe, while CEMT.DE tracks MSCI Europe Mid Cap Equal Weighted. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.19% for SC0E.DE and 0.25% for CEMT.DE.
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