SC0E.DE vs. ZPRL.DE
SC0E.DE (Invesco MSCI Europe UCITS ETF) and ZPRL.DE (SPDR EURO STOXX Low Volatility UCITS ETF) are both Europe Equities funds - SC0E.DE tracks the MSCI Europe while ZPRL.DE tracks the EURO STOXX® Low Risk Weighted 100. Both are passively managed. Over the past 10 years, SC0E.DE returned 9.06%/yr vs 6.55%/yr for ZPRL.DE. A 0.78 correlation means they provide meaningful diversification when combined. SC0E.DE charges 0.19%/yr vs 0.30%/yr for ZPRL.DE.
Performance
SC0E.DE vs. ZPRL.DE - Performance Comparison
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Returns By Period
In the year-to-date period, SC0E.DE achieves a 7.48% return, which is significantly higher than ZPRL.DE's 5.19% return. Over the past 10 years, SC0E.DE has outperformed ZPRL.DE with an annualized return of 9.06%, while ZPRL.DE has yielded a comparatively lower 6.55% 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%
ZPRL.DE
- 1D
- 0.22%
- 1M
- -0.23%
- YTD
- 5.19%
- 6M
- 6.78%
- 1Y
- 5.74%
- 3Y*
- 11.19%
- 5Y*
- 7.05%
- 10Y*
- 6.55%
SC0E.DE vs. ZPRL.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% |
ZPRL.DE SPDR EURO STOXX Low Volatility UCITS ETF | 5.19% | 18.48% | 7.41% | 12.34% | -14.65% | 17.34% | -5.25% | 22.05% | -8.17% | 15.38% |
Correlation
The correlation between SC0E.DE and ZPRL.DE is 0.74, 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 | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.80 |
Correlation (All Time) Calculated using the full available price history since Mar 26, 2014 | 0.78 |
The correlation between SC0E.DE and ZPRL.DE has been stable across timeframes, ranging from 0.74 to 0.81 - a consistent structural relationship.
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Return for Risk
SC0E.DE vs. ZPRL.DE — Risk / Return Rank
SC0E.DE
ZPRL.DE
SC0E.DE vs. ZPRL.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI Europe UCITS ETF (SC0E.DE) and SPDR EURO STOXX Low Volatility UCITS ETF (ZPRL.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 | ZPRL.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.63 | ||
| Sortino ratioReturn per unit of downside risk | +0.95 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.11 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 1.70 | 0.72 | +0.99 |
| Martin ratioReturn relative to average drawdown | 6.31 | 2.02 | +4.30 |
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 | ZPRL.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.25 | 0.62 | +0.63 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.71 | 0.59 | +0.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.60 | 0.48 | +0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.72 | 0.53 | +0.18 |
Drawdowns
SC0E.DE vs. ZPRL.DE - Drawdown Comparison
The maximum SC0E.DE drawdown since its inception was -35.65%, roughly equal to the maximum ZPRL.DE drawdown of -35.35%. Use the drawdown chart below to compare losses from any high point for SC0E.DE and ZPRL.DE.
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Drawdown Indicators
| SC0E.DE | ZPRL.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.65% | -35.35% | -0.30% |
Max Drawdown (1Y)Largest decline over 1 year | -9.43% | -7.97% | -1.46% |
Max Drawdown (3Y)Largest decline over 3 years | -16.54% | -9.37% | -7.17% |
Max Drawdown (5Y)Largest decline over 5 years | -19.33% | -23.37% | +4.04% |
Max Drawdown (10Y)Largest decline over 10 years | -35.65% | -35.35% | -0.30% |
Current DrawdownCurrent decline from peak | -1.56% | -3.70% | +2.14% |
Average DrawdownAverage peak-to-trough decline | -5.70% | -5.39% | -0.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.55% | 2.84% | -0.29% |
Volatility
SC0E.DE vs. ZPRL.DE - Volatility Comparison
Invesco MSCI Europe UCITS ETF (SC0E.DE) has a higher volatility of 4.35% compared to SPDR EURO STOXX Low Volatility UCITS ETF (ZPRL.DE) at 2.90%. This indicates that SC0E.DE's price experiences larger fluctuations and is considered to be riskier than ZPRL.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 | ZPRL.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.35% | 2.90% | +1.45% |
Volatility (6M)Calculated over the trailing 6-month period | 10.58% | 7.65% | +2.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.83% | 9.22% | +3.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.59% | 11.89% | +2.70% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.36% | 13.60% | +2.76% |
SC0E.DE vs. ZPRL.DE - Expense Ratio Comparison
SC0E.DE has a 0.19% expense ratio, which is lower than ZPRL.DE's 0.30% expense ratio.
Dividends
SC0E.DE vs. ZPRL.DE - Dividend Comparison
Neither SC0E.DE nor ZPRL.DE has paid dividends to shareholders.
Frequently Asked Questions
SC0E.DE and ZPRL.DE have a correlation of 0.74, 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 0.30% for ZPRL.DE.
SC0E.DE tracks MSCI Europe, while ZPRL.DE tracks EURO STOXX® Low Risk Weighted 100. They also come from different issuers: Invesco and State Street. Their fees differ too: 0.19% for SC0E.DE and 0.30% for ZPRL.DE.
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