PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
SDUE.L vs. SX5S.L
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SDUE.L vs. SX5S.L

Last updated Jun 5, 2026

SDUE.L (iShares MSCI Europe ESG Screened UCITS ETF EUR (Dist)) and SX5S.L (Invesco EURO STOXX 50 UCITS ETF) are both Europe Equities funds - SDUE.L tracks the MSCI Europe NR EUR while SX5S.L tracks the MSCI EMU NR EUR. Both are passively managed. Over the past 5 years, SDUE.L returned 10.07%/yr vs 11.51%/yr for SX5S.L. Their correlation of 0.86 suggests significant overlap in exposure. SDUE.L charges 0.12%/yr vs 0.05%/yr for SX5S.L.

Performance

SDUE.L vs. SX5S.L - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in iShares MSCI Europe ESG Screened UCITS ETF EUR (Dist) (SDUE.L) and Invesco EURO STOXX 50 UCITS ETF (SX5S.L). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Different Trading Currencies

SDUE.L is traded in GBP, while SX5S.L is traded in GBp. To make them comparable, the SX5S.L values have been converted to GBP using the latest available exchange rates.

Returns By Period

In the year-to-date period, SDUE.L achieves a 5.61% return, which is significantly lower than SX5S.L's 6.46% return.

SDUE.L

1D
-0.83%
1M
0.61%
YTD
5.61%
6M
8.02%
1Y
18.19%
3Y*
14.07%
5Y*
10.07%
10Y*
—

SX5S.L

1D
0.35%
1M
1.56%
YTD
6.46%
6M
7.42%
1Y
18.48%
3Y*
15.51%
5Y*
11.51%
10Y*
11.41%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SDUE.L vs. SX5S.L - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
SDUE.L
iShares MSCI Europe ESG Screened UCITS ETF EUR (Dist)		5.61%25.09%4.69%15.67%-5.45%17.19%4.26%20.28%-2.54%
SX5S.L
Invesco EURO STOXX 50 UCITS ETF		6.46%27.68%6.13%19.91%-3.67%14.48%2.12%23.51%-4.10%

Correlation

The correlation between SDUE.L and SX5S.L is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.93

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

0.91

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

0.91

Correlation (All Time)
Calculated using the full available price history since Oct 24, 2018

0.86

The correlation between SDUE.L and SX5S.L has been stable across timeframes, ranging from 0.86 to 0.93 - a consistent structural relationship.

SDUE.L vs. SX5S.L - Sectors Allocation Comparison

Sectors
SDUE.L
SX5S.L

Financial Services

27.0%
25.1%

Industrials

19.3%
22.1%

Healthcare

14.8%
5.4%

Technology

9.9%
16.1%

Consumer Cyclical

5.9%
9.8%

Utilities

5.5%
4.8%

Basic Materials

5.1%
3.7%

Consumer Defensive

4.8%
5.5%

Communication Services

4.0%
2.3%

Energy

2.7%
5.2%

Real Estate

0.9%

-

Financial Services

SDUE.L
27.0%
SX5S.L
25.1%

Industrials

SDUE.L
19.3%
SX5S.L
22.1%

Healthcare

SDUE.L
14.8%
SX5S.L
5.4%

Technology

SDUE.L
9.9%
SX5S.L
16.1%

Consumer Cyclical

SDUE.L
5.9%
SX5S.L
9.8%

Utilities

SDUE.L
5.5%
SX5S.L
4.8%

Basic Materials

SDUE.L
5.1%
SX5S.L
3.7%

Consumer Defensive

SDUE.L
4.8%
SX5S.L
5.5%

Communication Services

SDUE.L
4.0%
SX5S.L
2.3%

Energy

SDUE.L
2.7%
SX5S.L
5.2%

Real Estate

SDUE.L
0.9%
SX5S.L

-

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

iShares MSCI Europe ESG Screened UCITS ETF EUR (Dist)

Invesco EURO STOXX 50 UCITS ETF

Often compared with SDUE.L:
SDUE.L vs. ESIN.LSDUE.L vs. SAEU.LSDUE.L vs. FEUI.LSDUE.L vs. EEI.LSDUE.L vs. EEUD.LSDUE.L vs. VEUA.LSDUE.L vs. VOO
Often compared with SX5S.L:
SX5S.L vs. S600.LSX5S.L vs. VXUSSX5S.L vs. ACWXSX5S.L vs. SPYSX5S.L vs. QQQSX5S.L vs. ^SP500TRSX5S.L vs. CIBR

Return for Risk

SDUE.L vs. SX5S.L — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SDUE.L
SDUE.L Risk / Return Rank: 4141
Overall Rank
SDUE.L Sharpe Ratio Rank: 4343
Sharpe Ratio Rank
SDUE.L Sortino Ratio Rank: 4343
Sortino Ratio Rank
SDUE.L Omega Ratio Rank: 4444
Omega Ratio Rank
SDUE.L Calmar Ratio Rank: 3535
Calmar Ratio Rank
SDUE.L Martin Ratio Rank: 4040
Martin Ratio Rank
SX5S.L
SX5S.L Risk / Return Rank: 3535
Overall Rank
SX5S.L Sharpe Ratio Rank: 3535
Sharpe Ratio Rank
SX5S.L Sortino Ratio Rank: 3535
Sortino Ratio Rank
SX5S.L Omega Ratio Rank: 3535
Omega Ratio Rank
SX5S.L Calmar Ratio Rank: 3434
Calmar Ratio Rank
SX5S.L Martin Ratio Rank: 3636
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.

SDUE.L vs. SX5S.L - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe ESG Screened UCITS ETF EUR (Dist) (SDUE.L) and Invesco EURO STOXX 50 UCITS ETF (SX5S.L). 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.

SDUE.LSX5S.LDifference
Sharpe ratioReturn per unit of total volatility
1.50
1.23

+0.27

Sortino ratioReturn per unit of downside risk
2.16
1.83

+0.33

Omega ratioGain probability vs. loss probability

1.28

1.23

+0.05

Calmar ratioReturn relative to maximum drawdown

1.72

1.62

+0.09

Martin ratioReturn relative to average drawdown

6.13

5.40

+0.72

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SDUE.L vs. SX5S.L - Sharpe Ratio Comparison

The current SDUE.L Sharpe Ratio is 1.50, which is comparable to the SX5S.L Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of SDUE.L and SX5S.L, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

SDUE.LSX5S.LDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.50

1.23

+0.27

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.72

0.69

+0.03

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.73

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.68

0.59

+0.09

Drawdowns

SDUE.L vs. SX5S.L - Drawdown Comparison

The maximum SDUE.L drawdown since its inception was -27.99%, smaller than the maximum SX5S.L drawdown of -32.54%. Use the drawdown chart below to compare losses from any high point for SDUE.L and SX5S.L.

Loading charts...

Drawdown Indicators

SDUE.LSX5S.LDifference

Max Drawdown

Largest peak-to-trough decline

-27.99%

-32.54%

+4.55%

Max Drawdown (1Y)

Largest decline over 1 year

-11.10%

-11.43%

+0.33%

Max Drawdown (3Y)

Largest decline over 3 years

-12.85%

-13.85%

+1.00%

Max Drawdown (5Y)

Largest decline over 5 years

-17.27%

-21.71%

+4.44%

Max Drawdown (10Y)

Largest decline over 10 years

—

-32.54%

—

Current Drawdown

Current decline from peak

-1.94%

-0.57%

-1.37%

Average Drawdown

Average peak-to-trough decline

-3.83%

-5.44%

+1.61%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.11%

3.44%

-0.33%

Volatility

SDUE.L vs. SX5S.L - Volatility Comparison

The current volatility for iShares MSCI Europe ESG Screened UCITS ETF EUR (Dist) (SDUE.L) is 4.30%, while Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a volatility of 4.90%. This indicates that SDUE.L experiences smaller price fluctuations and is considered to be less risky than SX5S.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

SDUE.LSX5S.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.30%

4.90%

-0.60%

Volatility (6M)

Calculated over the trailing 6-month period

10.72%

12.23%

-1.51%

Volatility (1Y)

Calculated over the trailing 1-year period

12.70%

15.09%

-2.39%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.05%

17.62%

-3.57%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.74%

19.88%

-4.14%

SDUE.L vs. SX5S.L - Expense Ratio Comparison

SDUE.L has a 0.12% expense ratio, which is higher than SX5S.L's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

SDUE.L vs. SX5S.L - Dividend Comparison

SDUE.L's dividend yield for the trailing twelve months is around 2.82%, while SX5S.L has not paid dividends to shareholders.

PositionTTM20252024202320222021202020192018
SDUE.L
iShares MSCI Europe ESG Screened UCITS ETF EUR (Dist)		2.82%2.98%3.47%3.16%3.24%2.54%2.03%3.43%0.19%
SX5S.L
Invesco EURO STOXX 50 UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

With a correlation of 0.93, SDUE.L and SX5S.L move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

On fees, SX5S.L is cheaper at 0.05% per year. The better choice depends on whether you care most about return, fees, risk, or income.

SX5S.L is cheaper with a 0.05% expense ratio, compared with 0.12% for SDUE.L.

SDUE.L tracks MSCI Europe NR EUR, while SX5S.L tracks MSCI EMU NR EUR. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.12% for SDUE.L and 0.05% for SX5S.L.

Portfolio Optimizer

Find the right allocation for SDUE.L and SX5S.L

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer