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SX5S.L vs. S600.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SX5S.LS600.L
YTD Return4.01%3.52%
1Y Return11.15%10.68%
3Y Return (Ann)5.33%3.37%
5Y Return (Ann)7.34%6.38%
10Y Return (Ann)8.12%7.54%
Sharpe Ratio0.901.13
Sortino Ratio1.321.64
Omega Ratio1.161.19
Calmar Ratio1.191.72
Martin Ratio3.064.99
Ulcer Index3.83%2.29%
Daily Std Dev13.01%10.20%
Max Drawdown-32.54%-30.21%
Current Drawdown-8.23%-5.77%

Correlation

-0.50.00.51.01.0

The correlation between SX5S.L and S600.L is 0.96, 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.

Performance

SX5S.L vs. S600.L - Performance Comparison

In the year-to-date period, SX5S.L achieves a 4.01% return, which is significantly higher than S600.L's 3.52% return. Over the past 10 years, SX5S.L has outperformed S600.L with an annualized return of 8.12%, while S600.L has yielded a comparatively lower 7.54% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-5.03%
-2.32%
SX5S.L
S600.L

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SX5S.L vs. S600.L - Expense Ratio Comparison

SX5S.L has a 0.05% expense ratio, which is lower than S600.L's 0.19% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


S600.L
Invesco STOXX Europe 600 UCITS ETF
Expense ratio chart for S600.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for SX5S.L: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

SX5S.L vs. S600.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco EURO STOXX 50 UCITS ETF (SX5S.L) and Invesco STOXX Europe 600 UCITS ETF (S600.L). 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
Sharpe ratio
The chart of Sharpe ratio for SX5S.L, currently valued at 1.15, compared to the broader market-2.000.002.004.006.001.15
Sortino ratio
The chart of Sortino ratio for SX5S.L, currently valued at 1.66, compared to the broader market-2.000.002.004.006.008.0010.0012.001.66
Omega ratio
The chart of Omega ratio for SX5S.L, currently valued at 1.20, compared to the broader market1.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for SX5S.L, currently valued at 1.88, compared to the broader market0.005.0010.0015.001.88
Martin ratio
The chart of Martin ratio for SX5S.L, currently valued at 5.52, compared to the broader market0.0020.0040.0060.0080.00100.005.52
S600.L
Sharpe ratio
The chart of Sharpe ratio for S600.L, currently valued at 1.38, compared to the broader market-2.000.002.004.006.001.38
Sortino ratio
The chart of Sortino ratio for S600.L, currently valued at 2.01, compared to the broader market-2.000.002.004.006.008.0010.0012.002.01
Omega ratio
The chart of Omega ratio for S600.L, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for S600.L, currently valued at 1.71, compared to the broader market0.005.0010.0015.001.71
Martin ratio
The chart of Martin ratio for S600.L, currently valued at 7.09, compared to the broader market0.0020.0040.0060.0080.00100.007.09

SX5S.L vs. S600.L - Sharpe Ratio Comparison

The current SX5S.L Sharpe Ratio is 0.90, which is comparable to the S600.L Sharpe Ratio of 1.13. The chart below compares the historical Sharpe Ratios of SX5S.L and S600.L, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.15
1.38
SX5S.L
S600.L

Dividends

SX5S.L vs. S600.L - Dividend Comparison

Neither SX5S.L nor S600.L has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

SX5S.L vs. S600.L - Drawdown Comparison

The maximum SX5S.L drawdown since its inception was -32.54%, which is greater than S600.L's maximum drawdown of -30.21%. Use the drawdown chart below to compare losses from any high point for SX5S.L and S600.L. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.72%
-7.54%
SX5S.L
S600.L

Volatility

SX5S.L vs. S600.L - Volatility Comparison

Invesco EURO STOXX 50 UCITS ETF (SX5S.L) has a higher volatility of 5.57% compared to Invesco STOXX Europe 600 UCITS ETF (S600.L) at 4.29%. This indicates that SX5S.L's price experiences larger fluctuations and is considered to be riskier than S600.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.57%
4.29%
SX5S.L
S600.L