PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SXR4.DE vs. CSP1.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SXR4.DECSP1.L
YTD Return30.26%24.75%
1Y Return38.61%31.48%
3Y Return (Ann)11.86%11.74%
5Y Return (Ann)16.08%15.49%
10Y Return (Ann)14.69%15.39%
Sharpe Ratio3.022.77
Sortino Ratio4.103.95
Omega Ratio1.631.54
Calmar Ratio4.374.93
Martin Ratio19.4719.60
Ulcer Index1.89%1.58%
Daily Std Dev12.08%11.12%
Max Drawdown-34.16%-25.48%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between SXR4.DE and CSP1.L is 0.84, 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

SXR4.DE vs. CSP1.L - Performance Comparison

In the year-to-date period, SXR4.DE achieves a 30.26% return, which is significantly higher than CSP1.L's 24.75% return. Both investments have delivered pretty close results over the past 10 years, with SXR4.DE having a 14.69% annualized return and CSP1.L not far ahead at 15.39%. 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
15.62%
15.48%
SXR4.DE
CSP1.L

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SXR4.DE vs. CSP1.L - Expense Ratio Comparison

Both SXR4.DE and CSP1.L have an expense ratio of 0.07%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SXR4.DE
iShares MSCI USA UCITS ETF (Acc)
Expense ratio chart for SXR4.DE: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for CSP1.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

SXR4.DE vs. CSP1.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA UCITS ETF (Acc) (SXR4.DE) and iShares Core S&P 500 UCITS ETF (CSP1.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.


SXR4.DE
Sharpe ratio
The chart of Sharpe ratio for SXR4.DE, currently valued at 3.04, compared to the broader market-2.000.002.004.003.04
Sortino ratio
The chart of Sortino ratio for SXR4.DE, currently valued at 4.19, compared to the broader market-2.000.002.004.006.008.0010.0012.004.19
Omega ratio
The chart of Omega ratio for SXR4.DE, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for SXR4.DE, currently valued at 4.36, compared to the broader market0.005.0010.0015.004.36
Martin ratio
The chart of Martin ratio for SXR4.DE, currently valued at 19.12, compared to the broader market0.0020.0040.0060.0080.00100.0019.12
CSP1.L
Sharpe ratio
The chart of Sharpe ratio for CSP1.L, currently valued at 3.11, compared to the broader market-2.000.002.004.003.11
Sortino ratio
The chart of Sortino ratio for CSP1.L, currently valued at 4.28, compared to the broader market-2.000.002.004.006.008.0010.0012.004.28
Omega ratio
The chart of Omega ratio for CSP1.L, currently valued at 1.60, compared to the broader market1.001.502.002.503.001.60
Calmar ratio
The chart of Calmar ratio for CSP1.L, currently valued at 4.59, compared to the broader market0.005.0010.0015.004.59
Martin ratio
The chart of Martin ratio for CSP1.L, currently valued at 19.51, compared to the broader market0.0020.0040.0060.0080.00100.0019.51

SXR4.DE vs. CSP1.L - Sharpe Ratio Comparison

The current SXR4.DE Sharpe Ratio is 3.02, which is comparable to the CSP1.L Sharpe Ratio of 2.77. The chart below compares the historical Sharpe Ratios of SXR4.DE and CSP1.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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.04
3.11
SXR4.DE
CSP1.L

Dividends

SXR4.DE vs. CSP1.L - Dividend Comparison

Neither SXR4.DE nor CSP1.L has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

SXR4.DE vs. CSP1.L - Drawdown Comparison

The maximum SXR4.DE drawdown since its inception was -34.16%, which is greater than CSP1.L's maximum drawdown of -25.48%. Use the drawdown chart below to compare losses from any high point for SXR4.DE and CSP1.L. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
SXR4.DE
CSP1.L

Volatility

SXR4.DE vs. CSP1.L - Volatility Comparison

iShares MSCI USA UCITS ETF (Acc) (SXR4.DE) and iShares Core S&P 500 UCITS ETF (CSP1.L) have volatilities of 3.54% and 3.42%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.54%
3.42%
SXR4.DE
CSP1.L