SX5S.L vs. ^GSPC
Compare and contrast key facts about Invesco EURO STOXX 50 UCITS ETF (SX5S.L) and S&P 500 (^GSPC).
SX5S.L is a passively managed fund by Invesco that tracks the performance of the MSCI EMU NR EUR. It was launched on Mar 19, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SX5S.L or ^GSPC.
Key characteristics
| SX5S.L | ^GSPC | |
|---|---|---|
| YTD Return | 4.84% | 24.72% |
| 1Y Return | 9.76% | 32.12% |
| 3Y Return (Ann) | 5.54% | 8.33% |
| 5Y Return (Ann) | 7.56% | 13.81% |
| 10Y Return (Ann) | 8.11% | 11.31% |
| Sharpe Ratio | 0.75 | 2.66 |
| Sortino Ratio | 1.12 | 3.56 |
| Omega Ratio | 1.13 | 1.50 |
| Calmar Ratio | 1.00 | 3.81 |
| Martin Ratio | 2.48 | 17.03 |
| Ulcer Index | 3.97% | 1.90% |
| Daily Std Dev | 13.16% | 12.16% |
| Max Drawdown | -32.54% | -56.78% |
| Current Drawdown | -7.50% | -0.87% |
Correlation
The correlation between SX5S.L and ^GSPC is 0.52, 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
SX5S.L vs. ^GSPC - Performance Comparison
In the year-to-date period, SX5S.L achieves a 4.84% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, SX5S.L has underperformed ^GSPC with an annualized return of 8.11%, while ^GSPC has yielded a comparatively higher 11.31% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
SX5S.L vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco EURO STOXX 50 UCITS ETF (SX5S.L) 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
SX5S.L vs. ^GSPC - Drawdown Comparison
The maximum SX5S.L drawdown since its inception was -32.54%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SX5S.L and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
SX5S.L vs. ^GSPC - Volatility Comparison
Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a higher volatility of 6.00% compared to S&P 500 (^GSPC) at 3.81%. This indicates that SX5S.L'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.