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SXRU.DE vs. IVV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SXRU.DEIVV
YTD Return21.49%27.13%
1Y Return30.53%39.88%
3Y Return (Ann)10.79%10.28%
5Y Return (Ann)11.83%16.00%
10Y Return (Ann)13.37%13.42%
Sharpe Ratio2.563.15
Sortino Ratio3.794.20
Omega Ratio1.531.59
Calmar Ratio4.584.62
Martin Ratio16.0020.91
Ulcer Index1.83%1.86%
Daily Std Dev11.40%12.31%
Max Drawdown-36.09%-55.25%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.4

The correlation between SXRU.DE and IVV is 0.45, 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

SXRU.DE vs. IVV - Performance Comparison

In the year-to-date period, SXRU.DE achieves a 21.49% return, which is significantly lower than IVV's 27.13% return. Both investments have delivered pretty close results over the past 10 years, with SXRU.DE having a 13.37% annualized return and IVV not far ahead at 13.42%. 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
12.16%
15.65%
SXRU.DE
IVV

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SXRU.DE vs. IVV - Expense Ratio Comparison

SXRU.DE has a 0.33% expense ratio, which is higher than IVV's 0.03% expense ratio.


SXRU.DE
iShares Dow Jones Industrial Average UCITS ETF (Acc)
Expense ratio chart for SXRU.DE: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
Expense ratio chart for IVV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SXRU.DE vs. IVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Dow Jones Industrial Average UCITS ETF (Acc) (SXRU.DE) and iShares Core S&P 500 ETF (IVV). 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.


SXRU.DE
Sharpe ratio
The chart of Sharpe ratio for SXRU.DE, currently valued at 2.61, compared to the broader market-2.000.002.004.002.61
Sortino ratio
The chart of Sortino ratio for SXRU.DE, currently valued at 3.70, compared to the broader market0.005.0010.003.70
Omega ratio
The chart of Omega ratio for SXRU.DE, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for SXRU.DE, currently valued at 4.77, compared to the broader market0.005.0010.0015.004.77
Martin ratio
The chart of Martin ratio for SXRU.DE, currently valued at 13.81, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.81
IVV
Sharpe ratio
The chart of Sharpe ratio for IVV, currently valued at 2.87, compared to the broader market-2.000.002.004.002.87
Sortino ratio
The chart of Sortino ratio for IVV, currently valued at 3.83, compared to the broader market0.005.0010.003.83
Omega ratio
The chart of Omega ratio for IVV, currently valued at 1.54, compared to the broader market1.001.502.002.503.001.54
Calmar ratio
The chart of Calmar ratio for IVV, currently valued at 4.12, compared to the broader market0.005.0010.0015.004.12
Martin ratio
The chart of Martin ratio for IVV, currently valued at 18.66, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.66

SXRU.DE vs. IVV - Sharpe Ratio Comparison

The current SXRU.DE Sharpe Ratio is 2.56, which is comparable to the IVV Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of SXRU.DE and IVV, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.61
2.87
SXRU.DE
IVV

Dividends

SXRU.DE vs. IVV - Dividend Comparison

SXRU.DE has not paid dividends to shareholders, while IVV's dividend yield for the trailing twelve months is around 1.24%.


TTM20232022202120202019201820172016201520142013
SXRU.DE
iShares Dow Jones Industrial Average UCITS ETF (Acc)
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IVV
iShares Core S&P 500 ETF
1.24%1.44%1.66%1.20%1.57%1.99%2.21%1.75%2.01%2.27%1.83%1.80%

Drawdowns

SXRU.DE vs. IVV - Drawdown Comparison

The maximum SXRU.DE drawdown since its inception was -36.09%, smaller than the maximum IVV drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for SXRU.DE and IVV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
SXRU.DE
IVV

Volatility

SXRU.DE vs. IVV - Volatility Comparison

iShares Dow Jones Industrial Average UCITS ETF (Acc) (SXRU.DE) has a higher volatility of 4.16% compared to iShares Core S&P 500 ETF (IVV) at 3.95%. This indicates that SXRU.DE's price experiences larger fluctuations and is considered to be riskier than IVV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.16%
3.95%
SXRU.DE
IVV