SXR4.DE vs. ^GSPC
Compare and contrast key facts about iShares MSCI USA UCITS ETF (Acc) (SXR4.DE) and S&P 500 (^GSPC).
SXR4.DE is a passively managed fund by iShares that tracks the performance of the MSCI USA. It was launched on Jan 12, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SXR4.DE or ^GSPC.
Key characteristics
| SXR4.DE | ^GSPC | |
|---|---|---|
| YTD Return | 28.79% | 25.23% |
| 1Y Return | 37.31% | 36.29% |
| 3Y Return (Ann) | 11.33% | 8.33% |
| 5Y Return (Ann) | 15.83% | 14.10% |
| 10Y Return (Ann) | 14.55% | 11.37% |
| Sharpe Ratio | 2.97 | 2.94 |
| Sortino Ratio | 4.04 | 3.93 |
| Omega Ratio | 1.62 | 1.55 |
| Calmar Ratio | 4.29 | 3.89 |
| Martin Ratio | 19.10 | 19.19 |
| Ulcer Index | 1.89% | 1.90% |
| Daily Std Dev | 12.05% | 12.38% |
| Max Drawdown | -34.16% | -56.78% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between SXR4.DE and ^GSPC is 0.56, 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
SXR4.DE vs. ^GSPC - Performance Comparison
In the year-to-date period, SXR4.DE achieves a 28.79% return, which is significantly higher than ^GSPC's 25.23% return. Over the past 10 years, SXR4.DE has outperformed ^GSPC with an annualized return of 14.55%, while ^GSPC has yielded a comparatively lower 11.37% 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
SXR4.DE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA UCITS ETF (Acc) (SXR4.DE) 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
SXR4.DE vs. ^GSPC - Drawdown Comparison
The maximum SXR4.DE drawdown since its inception was -34.16%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SXR4.DE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
SXR4.DE vs. ^GSPC - Volatility Comparison
The current volatility for iShares MSCI USA UCITS ETF (Acc) (SXR4.DE) is 3.54%, while S&P 500 (^GSPC) has a volatility of 3.93%. This indicates that SXR4.DE experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.