SX5S.L vs. ^SP500TR

Last updated Jun 5, 2026

SX5S.L (Invesco EURO STOXX 50 UCITS ETF) is Europe Equities fund tracking the MSCI EMU NR EUR, while ^SP500TR (S&P 500 Total Return) is an index. Over the past 10 years, SX5S.L returned 11.41%/yr vs 16.45%/yr for ^SP500TR. At a 0.36 correlation, their price movements are largely independent.

Performance

SX5S.L vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in Invesco EURO STOXX 50 UCITS ETF (SX5S.L) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

SX5S.L is traded in GBp, while ^SP500TR is traded in USD. To make them comparable, the ^SP500TR values have been converted to GBp using the latest available exchange rates.

Returns By Period

In the year-to-date period, SX5S.L achieves a 6.46% return, which is significantly lower than ^SP500TR's 11.81% return. Over the past 10 years, SX5S.L has underperformed ^SP500TR with an annualized return of 11.41%, while ^SP500TR has yielded a comparatively higher 16.45% annualized return.

SX5S.L

• 1D: 0.35%
• 1M: 4.85%
• YTD: 6.46%
• 6M: 7.51%
• 1Y: 18.61%
• 3Y*: 15.51%
• 5Y*: 11.51%
• 10Y*: 11.41%

^SP500TR

• 1D: 0.42%
• 1M: 5.57%
• YTD: 11.81%
• 6M: 10.50%
• 1Y: 29.83%
• 3Y*: 19.64%
• 5Y*: 15.25%
• 10Y*: 16.45%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SX5S.L vs. ^SP500TR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SX5S.L Invesco EURO STOXX 50 UCITS ETF	6.46%	27.68%	6.13%	19.91%	-3.67%	14.48%	2.12%	23.51%	-10.62%	14.35%
^SP500TR S&P 500 Total Return	11.81%	9.48%	27.20%	19.98%	-8.37%	29.92%	14.92%	26.48%	1.29%	11.30%

Correlation

The correlation between SX5S.L and ^SP500TR is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.32
Correlation (5Y) Calculated over the trailing 5-year period	0.35
Correlation (10Y) Calculated over the trailing 10-year period	0.34
Correlation (All Time) Calculated using the full available price history since Sep 8, 2014	0.36

The correlation between SX5S.L and ^SP500TR shifts across timeframes, from 0.32 (3 years) to 0.44 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

SX5S.L vs. ^SP500TR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SX5S.L

SX5S.L Risk / Return Rank: 35
SX5S.L Sharpe Ratio Rank: 35
SX5S.L Sortino Ratio Rank: 35
SX5S.L Omega Ratio Rank: 35
SX5S.L Calmar Ratio Rank: 34
SX5S.L Martin Ratio Rank: 36

^SP500TR

^SP500TR Risk / Return Rank: 84
^SP500TR Sharpe Ratio Rank: 83
^SP500TR Sortino Ratio Rank: 85
^SP500TR Omega Ratio Rank: 83
^SP500TR Calmar Ratio Rank: 80
^SP500TR Martin Ratio Rank: 90

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.

SX5S.L vs. ^SP500TR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco EURO STOXX 50 UCITS ETF (SX5S.L) and S&P 500 Total Return (^SP500TR). 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.

	SX5S.L	^SP500TR	Difference
Sharpe ratio: Return per unit of total volatility	1.23	2.60	-1.37
Sortino ratio: Return per unit of downside risk	1.83	3.37	-1.55
Omega ratio: Gain probability vs. loss probability	1.23	1.49	-0.26
Calmar ratio: Return relative to maximum drawdown	1.62	3.98	-2.35
Martin ratio: Return relative to average drawdown	5.40	15.35	-9.94
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SX5S.L vs. ^SP500TR - Sharpe Ratio Comparison

The current SX5S.L Sharpe Ratio is 1.23, which is lower than the ^SP500TR Sharpe Ratio of 2.60. The chart below compares the historical Sharpe Ratios of SX5S.L and ^SP500TR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SX5S.L	^SP500TR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.23	2.60	-1.37
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.69	0.97	-0.28
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.73	0.91	-0.18
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	0.69	-0.10

Drawdowns

SX5S.L vs. ^SP500TR - Drawdown Comparison

The maximum SX5S.L drawdown since its inception was -32.54%, smaller than the maximum ^SP500TR drawdown of -34.87%. Use the drawdown chart below to compare losses from any high point for SX5S.L and ^SP500TR.

Drawdown Indicators

	SX5S.L	^SP500TR	Difference
Max Drawdown Largest peak-to-trough decline	-32.54%	-34.87%	+2.33%
Max Drawdown (1Y) Largest decline over 1 year	-11.43%	-7.54%	-3.89%
Max Drawdown (3Y) Largest decline over 3 years	-13.85%	-21.89%	+8.04%
Max Drawdown (5Y) Largest decline over 5 years	-21.71%	-21.89%	+0.18%
Max Drawdown (10Y) Largest decline over 10 years	-32.54%	-25.86%	-6.68%
Current Drawdown Current decline from peak	-0.57%	0.00%	-0.57%
Average Drawdown Average peak-to-trough decline	-5.44%	-4.76%	-0.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.44%	1.95%	+1.49%

Volatility

SX5S.L vs. ^SP500TR - Volatility Comparison

Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a higher volatility of 4.90% compared to S&P 500 Total Return (^SP500TR) at 2.60%. This indicates that SX5S.L's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SX5S.L	^SP500TR	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.90%	2.60%	+2.30%
Volatility (6M) Calculated over the trailing 6-month period	12.23%	8.20%	+4.03%
Volatility (1Y) Calculated over the trailing 1-year period	15.09%	11.52%	+3.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.62%	15.85%	+1.77%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.88%	18.15%	+1.73%

Frequently Asked Questions

Can I hold both SX5S.L and ^SP500TR in my portfolio?

SX5S.L and ^SP500TR have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.