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SPYF.DE vs. SPLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SPYF.DESPLG
YTD Return13.68%27.25%
1Y Return21.93%37.79%
3Y Return (Ann)6.57%10.35%
5Y Return (Ann)5.91%16.08%
10Y Return (Ann)5.40%13.49%
Sharpe Ratio1.883.27
Sortino Ratio2.584.34
Omega Ratio1.351.62
Calmar Ratio3.054.74
Martin Ratio13.5521.54
Ulcer Index1.43%1.86%
Daily Std Dev10.30%12.17%
Max Drawdown-41.53%-54.50%
Current Drawdown-2.16%0.00%

Correlation

-0.50.00.51.00.5

The correlation between SPYF.DE and SPLG is 0.49, 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

SPYF.DE vs. SPLG - Performance Comparison

In the year-to-date period, SPYF.DE achieves a 13.68% return, which is significantly lower than SPLG's 27.25% return. Over the past 10 years, SPYF.DE has underperformed SPLG with an annualized return of 5.40%, while SPLG has yielded a comparatively higher 13.49% annualized 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
1.80%
15.69%
SPYF.DE
SPLG

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SPYF.DE vs. SPLG - Expense Ratio Comparison

SPYF.DE has a 0.20% expense ratio, which is higher than SPLG's 0.03% 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%.


SPYF.DE
SPDR FTSE UK All Share UCITS ETF
Expense ratio chart for SPYF.DE: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for SPLG: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SPYF.DE vs. SPLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR FTSE UK All Share UCITS ETF (SPYF.DE) and SPDR Portfolio S&P 500 ETF (SPLG). 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.


SPYF.DE
Sharpe ratio
The chart of Sharpe ratio for SPYF.DE, currently valued at 1.40, compared to the broader market-2.000.002.004.006.001.40
Sortino ratio
The chart of Sortino ratio for SPYF.DE, currently valued at 2.02, compared to the broader market0.005.0010.002.02
Omega ratio
The chart of Omega ratio for SPYF.DE, currently valued at 1.25, compared to the broader market1.001.502.002.503.001.25
Calmar ratio
The chart of Calmar ratio for SPYF.DE, currently valued at 2.15, compared to the broader market0.005.0010.0015.002.15
Martin ratio
The chart of Martin ratio for SPYF.DE, currently valued at 7.25, compared to the broader market0.0020.0040.0060.0080.00100.007.25
SPLG
Sharpe ratio
The chart of Sharpe ratio for SPLG, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Sortino ratio
The chart of Sortino ratio for SPLG, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for SPLG, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for SPLG, currently valued at 4.00, compared to the broader market0.005.0010.0015.004.00
Martin ratio
The chart of Martin ratio for SPLG, currently valued at 18.16, compared to the broader market0.0020.0040.0060.0080.00100.0018.16

SPYF.DE vs. SPLG - Sharpe Ratio Comparison

The current SPYF.DE Sharpe Ratio is 1.88, which is lower than the SPLG Sharpe Ratio of 3.27. The chart below compares the historical Sharpe Ratios of SPYF.DE and SPLG, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.40
2.81
SPYF.DE
SPLG

Dividends

SPYF.DE vs. SPLG - Dividend Comparison

SPYF.DE has not paid dividends to shareholders, while SPLG's dividend yield for the trailing twelve months is around 1.22%.


TTM20232022202120202019201820172016201520142013
SPYF.DE
SPDR FTSE UK All Share UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPLG
SPDR Portfolio S&P 500 ETF
1.22%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%

Drawdowns

SPYF.DE vs. SPLG - Drawdown Comparison

The maximum SPYF.DE drawdown since its inception was -41.53%, smaller than the maximum SPLG drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for SPYF.DE and SPLG. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.94%
0
SPYF.DE
SPLG

Volatility

SPYF.DE vs. SPLG - Volatility Comparison

The current volatility for SPDR FTSE UK All Share UCITS ETF (SPYF.DE) is 3.53%, while SPDR Portfolio S&P 500 ETF (SPLG) has a volatility of 3.91%. This indicates that SPYF.DE experiences smaller price fluctuations and is considered to be less risky than SPLG 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
3.53%
3.91%
SPYF.DE
SPLG