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SPEP.L vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SPEP.LSPY
YTD Return23.02%26.49%
1Y Return29.37%38.06%
3Y Return (Ann)11.90%9.93%
Sharpe Ratio0.613.11
Sortino Ratio1.254.14
Omega Ratio1.401.58
Calmar Ratio1.364.54
Martin Ratio2.1420.57
Ulcer Index13.58%1.86%
Daily Std Dev47.63%12.29%
Max Drawdown-21.35%-55.19%
Current Drawdown-8.83%0.00%

Correlation

-0.50.00.51.00.6

The correlation between SPEP.L and SPY is 0.62, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

SPEP.L vs. SPY - Performance Comparison

In the year-to-date period, SPEP.L achieves a 23.02% return, which is significantly lower than SPY's 26.49% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.93%
15.23%
SPEP.L
SPY

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SPEP.L vs. SPY - Expense Ratio Comparison

Both SPEP.L and SPY have an expense ratio of 0.09%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SPEP.L
Invesco S&P 500 ESG UCITS ETF Acc
Expense ratio chart for SPEP.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

SPEP.L vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 ESG UCITS ETF Acc (SPEP.L) and SPDR S&P 500 ETF (SPY). 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.


SPEP.L
Sharpe ratio
The chart of Sharpe ratio for SPEP.L, currently valued at 0.69, compared to the broader market-2.000.002.004.006.000.69
Sortino ratio
The chart of Sortino ratio for SPEP.L, currently valued at 1.35, compared to the broader market-2.000.002.004.006.008.0010.0012.001.35
Omega ratio
The chart of Omega ratio for SPEP.L, currently valued at 1.44, compared to the broader market1.001.502.002.503.001.44
Calmar ratio
The chart of Calmar ratio for SPEP.L, currently valued at 1.46, compared to the broader market0.005.0010.0015.001.46
Martin ratio
The chart of Martin ratio for SPEP.L, currently valued at 2.52, compared to the broader market0.0020.0040.0060.0080.00100.002.52
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.85, compared to the broader market-2.000.002.004.006.002.85
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.80, compared to the broader market-2.000.002.004.006.008.0010.0012.003.80
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.54, compared to the broader market1.001.502.002.503.001.54
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.07, compared to the broader market0.005.0010.0015.004.07
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.46, compared to the broader market0.0020.0040.0060.0080.00100.0018.46

SPEP.L vs. SPY - Sharpe Ratio Comparison

The current SPEP.L Sharpe Ratio is 0.61, which is lower than the SPY Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of SPEP.L and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.69
2.85
SPEP.L
SPY

Dividends

SPEP.L vs. SPY - Dividend Comparison

SPEP.L has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.18%.


TTM20232022202120202019201820172016201520142013
SPEP.L
Invesco S&P 500 ESG UCITS ETF Acc
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SPEP.L vs. SPY - Drawdown Comparison

The maximum SPEP.L drawdown since its inception was -21.35%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SPEP.L and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.66%
0
SPEP.L
SPY

Volatility

SPEP.L vs. SPY - Volatility Comparison

The current volatility for Invesco S&P 500 ESG UCITS ETF Acc (SPEP.L) is 3.30%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. This indicates that SPEP.L experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.30%
3.95%
SPEP.L
SPY