SX5S.L vs. ^SP500TR

Last updated Apr 3, 2026

Compare and contrast key facts about Invesco EURO STOXX 50 UCITS ETF (SX5S.L) and S&P 500 Total Return (^SP500TR).

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.

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.

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	-1.37%	27.68%	6.13%	19.91%	-3.67%	14.48%	2.12%	23.51%	-10.62%	14.35%
^SP500TR S&P 500 Total Return	-1.73%	9.48%	27.20%	19.98%	-8.37%	29.92%	14.92%	26.48%	1.29%	11.30%

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 -1.37% return, which is significantly higher than ^SP500TR's -1.73% return. Over the past 10 years, SX5S.L has underperformed ^SP500TR with an annualized return of 10.83%, while ^SP500TR has yielded a comparatively higher 15.09% annualized return.

SX5S.L

• 1D: -0.49%
• 1M: -1.06%
• YTD: -1.37%
• 6M: 1.19%
• 1Y: 14.91%
• 3Y*: 12.53%
• 5Y*: 11.07%
• 10Y*: 10.83%

^SP500TR

• 1D: 0.73%
• 1M: -2.36%
• YTD: -1.73%
• 6M: 0.21%
• 1Y: 15.53%
• 3Y*: 16.03%
• 5Y*: 12.99%
• 10Y*: 15.09%

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

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: 48
SX5S.L Sharpe Ratio Rank: 47
SX5S.L Sortino Ratio Rank: 44
SX5S.L Omega Ratio Rank: 43
SX5S.L Calmar Ratio Rank: 53
SX5S.L Martin Ratio Rank: 51

^SP500TR

^SP500TR Risk / Return Rank: 68
^SP500TR Sharpe Ratio Rank: 64
^SP500TR Sortino Ratio Rank: 68
^SP500TR Omega Ratio Rank: 71
^SP500TR Calmar Ratio Rank: 60
^SP500TR Martin Ratio Rank: 79

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	0.92	0.83	+0.09
Sortino ratio Return per unit of downside risk	1.31	1.27	+0.03
Omega ratio Gain probability vs. loss probability	1.18	1.20	-0.02
Calmar ratio Return relative to maximum drawdown	1.60	1.35	+0.25
Martin ratio Return relative to average drawdown	5.93	5.49	+0.44
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 0.92, which is comparable to the ^SP500TR Sharpe Ratio of 0.83. The chart below compares the historical Sharpe Ratios of SX5S.L and ^SP500TR, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	SX5S.L	^SP500TR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.92	0.83	+0.09
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.67	0.82	-0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.70	0.83	-0.13
Sharpe Ratio (All Time) Calculated using the full available price history	0.55	0.66	-0.11

Correlation

The correlation between SX5S.L and ^SP500TR is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

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 -35.13%. 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%	-55.25%	+22.71%
Max Drawdown (1Y) Largest decline over 1 year	-11.43%	-8.89%	-2.54%
Max Drawdown (5Y) Largest decline over 5 years	-21.71%	-24.49%	+2.78%
Max Drawdown (10Y) Largest decline over 10 years	-32.54%	-33.79%	+1.25%
Current Drawdown Current decline from peak	-7.88%	-5.44%	-2.44%
Average Drawdown Average peak-to-trough decline	-5.47%	-8.20%	+2.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.09%	2.57%	+0.52%

Volatility

SX5S.L vs. ^SP500TR - Volatility Comparison

Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a higher volatility of 6.10% compared to S&P 500 Total Return (^SP500TR) at 4.56%. 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	6.10%	4.56%	+1.54%
Volatility (6M) Calculated over the trailing 6-month period	11.03%	9.51%	+1.52%
Volatility (1Y) Calculated over the trailing 1-year period	16.15%	18.74%	-2.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.52%	15.89%	+1.63%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.87%	18.16%	+1.71%