SC0K.DE vs. ^GSPC
SC0K.DE (Invesco Russell 2000 UCITS ETF) is Small Cap Blend Equities fund tracking the Russell 2000®, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, SC0K.DE returned 10.39%/yr vs 13.40%/yr for ^GSPC. A 0.50 correlation means they provide meaningful diversification when combined.
Performance
SC0K.DE vs. ^GSPC - Performance Comparison
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Different Trading Currencies
SC0K.DE is traded in EUR, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, SC0K.DE achieves a 17.93% return, which is significantly higher than ^GSPC's 12.06% return. Over the past 10 years, SC0K.DE has underperformed ^GSPC with an annualized return of 10.39%, while ^GSPC has yielded a comparatively higher 13.40% annualized return.
SC0K.DE
- 1D
- 0.96%
- 1M
- 4.12%
- YTD
- 17.93%
- 6M
- 16.88%
- 1Y
- 38.56%
- 3Y*
- 15.51%
- 5Y*
- 7.16%
- 10Y*
- 10.39%
^GSPC
- 1D
- 0.27%
- 1M
- 5.17%
- YTD
- 12.06%
- 6M
- 10.90%
- 1Y
- 24.89%
- 3Y*
- 17.85%
- 5Y*
- 13.43%
- 10Y*
- 13.40%
SC0K.DE vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SC0K.DE Invesco Russell 2000 UCITS ETF | 17.93% | 1.56% | 15.91% | 14.84% | -16.55% | 24.70% | 8.14% | 29.08% | -9.05% | 0.67% |
^GSPC S&P 500 Index | 12.06% | 2.58% | 31.45% | 20.51% | -14.45% | 36.38% | 6.68% | 31.79% | -1.84% | 4.74% |
Correlation
The correlation between SC0K.DE 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 | 0.46 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.50 |
Correlation (All Time) Calculated using the full available price history since Apr 21, 2009 | 0.50 |
The correlation between SC0K.DE and ^GSPC shifts across timeframes, from 0.46 (3 years) to 0.57 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SC0K.DE vs. ^GSPC — Risk / Return Rank
SC0K.DE
^GSPC
SC0K.DE vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 UCITS ETF (SC0K.DE) 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.
| SC0K.DE | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.08 | ||
| Sortino ratioReturn per unit of downside risk | +0.25 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.37 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 4.57 | 3.30 | +1.26 |
| Martin ratioReturn relative to average drawdown | 13.31 | 12.34 | +0.97 |
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
| SC0K.DE | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.12 | 2.04 | +0.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.34 | 0.80 | -0.47 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.48 | 0.72 | -0.24 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.64 | 0.51 | +0.13 |
Drawdowns
SC0K.DE vs. ^GSPC - Drawdown Comparison
The maximum SC0K.DE drawdown since its inception was -41.13%, smaller than the maximum ^GSPC drawdown of -51.62%. Use the drawdown chart below to compare losses from any high point for SC0K.DE and ^GSPC.
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Drawdown Indicators
| SC0K.DE | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.13% | -51.62% | +10.49% |
Max Drawdown (1Y)Largest decline over 1 year | -8.40% | -7.57% | -0.83% |
Max Drawdown (3Y)Largest decline over 3 years | -32.50% | -23.99% | -8.51% |
Max Drawdown (5Y)Largest decline over 5 years | -32.50% | -23.99% | -8.51% |
Max Drawdown (10Y)Largest decline over 10 years | -41.13% | -33.42% | -7.71% |
Current DrawdownCurrent decline from peak | 0.00% | -0.20% | +0.20% |
Average DrawdownAverage peak-to-trough decline | -8.10% | -9.08% | +0.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.89% | 2.02% | +0.87% |
Volatility
SC0K.DE vs. ^GSPC - Volatility Comparison
Invesco Russell 2000 UCITS ETF (SC0K.DE) has a higher volatility of 5.37% compared to S&P 500 Index (^GSPC) at 2.24%. This indicates that SC0K.DE'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
| SC0K.DE | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.37% | 2.24% | +3.13% |
Volatility (6M)Calculated over the trailing 6-month period | 12.22% | 8.62% | +3.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.10% | 12.29% | +5.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.93% | 16.79% | +4.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.60% | 18.59% | +3.01% |
Frequently Asked Questions
SC0K.DE 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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