SXRG.DE vs. ^GSPC
Compare and contrast key facts about iShares MSCI USA Small Cap ESG Enhanced UCITS ETF (Acc) (SXRG.DE) and S&P 500 (^GSPC).
SXRG.DE is a passively managed fund by iShares that tracks the performance of the MSCI USA Small Cap ESG Enhanced Focus CTB. It was launched on Jul 1, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SXRG.DE or ^GSPC.
Key characteristics
| SXRG.DE | ^GSPC | |
|---|---|---|
| YTD Return | 22.06% | 25.82% |
| 1Y Return | 42.10% | 35.92% |
| 3Y Return (Ann) | 5.32% | 8.67% |
| 5Y Return (Ann) | 11.57% | 14.22% |
| 10Y Return (Ann) | 11.14% | 11.43% |
| Sharpe Ratio | 1.97 | 3.08 |
| Sortino Ratio | 2.92 | 4.10 |
| Omega Ratio | 1.38 | 1.58 |
| Calmar Ratio | 2.21 | 4.48 |
| Martin Ratio | 9.69 | 20.05 |
| Ulcer Index | 3.61% | 1.90% |
| Daily Std Dev | 17.97% | 12.28% |
| Max Drawdown | -41.79% | -56.78% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between SXRG.DE and ^GSPC is 0.52, 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
SXRG.DE vs. ^GSPC - Performance Comparison
In the year-to-date period, SXRG.DE achieves a 22.06% return, which is significantly lower than ^GSPC's 25.82% return. Both investments have delivered pretty close results over the past 10 years, with SXRG.DE having a 11.14% annualized return and ^GSPC not far ahead at 11.43%. 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
SXRG.DE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Small Cap ESG Enhanced UCITS ETF (Acc) (SXRG.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
SXRG.DE vs. ^GSPC - Drawdown Comparison
The maximum SXRG.DE drawdown since its inception was -41.79%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SXRG.DE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
SXRG.DE vs. ^GSPC - Volatility Comparison
iShares MSCI USA Small Cap ESG Enhanced UCITS ETF (Acc) (SXRG.DE) has a higher volatility of 5.54% compared to S&P 500 (^GSPC) at 3.89%. This indicates that SXRG.DE's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.