SPEU vs. ^GSPC
Compare and contrast key facts about SPDR Portfolio Europe ETF (SPEU) and S&P 500 (^GSPC).
SPEU is a passively managed fund by State Street that tracks the performance of the STOXX Europe Total Market. It was launched on Oct 15, 2002.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPEU or ^GSPC.
Performance
SPEU vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, SPEU achieves a 2.88% return, which is significantly lower than ^GSPC's 23.62% return. Over the past 10 years, SPEU has underperformed ^GSPC with an annualized return of 4.41%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
SPEU
2.88%
-6.16%
-5.85%
11.30%
6.03%
4.41%
^GSPC
23.62%
0.54%
11.19%
30.63%
13.61%
11.16%
Key characteristics
| SPEU | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.85 | 2.51 |
| Sortino Ratio | 1.23 | 3.37 |
| Omega Ratio | 1.15 | 1.47 |
| Calmar Ratio | 1.11 | 3.63 |
| Martin Ratio | 3.94 | 16.15 |
| Ulcer Index | 2.78% | 1.91% |
| Daily Std Dev | 12.94% | 12.27% |
| Max Drawdown | -62.45% | -56.78% |
| Current Drawdown | -9.88% | -1.75% |
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Correlation
The correlation between SPEU and ^GSPC is 0.74, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
SPEU vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio Europe ETF (SPEU) and S&P 500 (^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.
Drawdowns
SPEU vs. ^GSPC - Drawdown Comparison
The maximum SPEU drawdown since its inception was -62.45%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SPEU and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
SPEU vs. ^GSPC - Volatility Comparison
SPDR Portfolio Europe ETF (SPEU) and S&P 500 (^GSPC) have volatilities of 4.22% and 4.07%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.