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UC04.L vs. SPX5.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


UC04.LSPX5.L
YTD Return20.35%20.37%
1Y Return32.71%32.71%
3Y Return (Ann)10.84%11.53%
5Y Return (Ann)15.35%15.15%
10Y Return (Ann)15.23%15.20%
Sharpe Ratio2.993.03
Sortino Ratio4.054.17
Omega Ratio1.571.58
Calmar Ratio5.135.14
Martin Ratio20.2520.75
Ulcer Index1.65%1.58%
Daily Std Dev11.18%10.83%
Max Drawdown-25.93%-41.23%
Current Drawdown-0.28%-0.26%

Correlation

-0.50.00.51.01.0

The correlation between UC04.L and SPX5.L is 0.98, 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

UC04.L vs. SPX5.L - Performance Comparison

The year-to-date returns for both investments are quite close, with UC04.L having a 20.35% return and SPX5.L slightly higher at 20.37%. Both investments have delivered pretty close results over the past 10 years, with UC04.L having a 15.23% annualized return and SPX5.L not far behind at 15.20%. 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%MayJuneJulyAugustSeptemberOctober
15.80%
15.23%
UC04.L
SPX5.L

Compare stocks, funds, or ETFs

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


UC04.L vs. SPX5.L - Expense Ratio Comparison

UC04.L has a 0.14% expense ratio, which is higher than SPX5.L's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


UC04.L
UBS ETF (IE) MSCI USA UCITS ETF (USD) A-dis
Expense ratio chart for UC04.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for SPX5.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

UC04.L vs. SPX5.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for UBS ETF (IE) MSCI USA UCITS ETF (USD) A-dis (UC04.L) and SPDR S&P 500 UCITS ETF (SPX5.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.


UC04.L
Sharpe ratio
The chart of Sharpe ratio for UC04.L, currently valued at 3.61, compared to the broader market-2.000.002.004.006.003.61
Sortino ratio
The chart of Sortino ratio for UC04.L, currently valued at 4.91, compared to the broader market0.005.0010.004.91
Omega ratio
The chart of Omega ratio for UC04.L, currently valued at 1.67, compared to the broader market1.001.502.002.503.001.67
Calmar ratio
The chart of Calmar ratio for UC04.L, currently valued at 3.45, compared to the broader market0.005.0010.0015.003.45
Martin ratio
The chart of Martin ratio for UC04.L, currently valued at 23.10, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.10
SPX5.L
Sharpe ratio
The chart of Sharpe ratio for SPX5.L, currently valued at 3.66, compared to the broader market-2.000.002.004.006.003.66
Sortino ratio
The chart of Sortino ratio for SPX5.L, currently valued at 5.03, compared to the broader market0.005.0010.005.03
Omega ratio
The chart of Omega ratio for SPX5.L, currently valued at 1.71, compared to the broader market1.001.502.002.503.001.71
Calmar ratio
The chart of Calmar ratio for SPX5.L, currently valued at 3.83, compared to the broader market0.005.0010.0015.003.83
Martin ratio
The chart of Martin ratio for SPX5.L, currently valued at 23.57, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.57

UC04.L vs. SPX5.L - Sharpe Ratio Comparison

The current UC04.L Sharpe Ratio is 2.99, which is comparable to the SPX5.L Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of UC04.L and SPX5.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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.61
3.66
UC04.L
SPX5.L

Dividends

UC04.L vs. SPX5.L - Dividend Comparison

UC04.L's dividend yield for the trailing twelve months is around 1.01%, less than SPX5.L's 82.01% yield.


TTM20232022202120202019201820172016201520142013
UC04.L
UBS ETF (IE) MSCI USA UCITS ETF (USD) A-dis
1.01%1.12%1.19%0.89%1.28%1.40%1.50%1.32%1.52%1.44%1.25%1.41%
SPX5.L
SPDR S&P 500 UCITS ETF
82.01%120.99%138.50%97.80%140.46%147.87%170.82%157.18%149.13%168.09%142.74%156.08%

Drawdowns

UC04.L vs. SPX5.L - Drawdown Comparison

The maximum UC04.L drawdown since its inception was -25.93%, smaller than the maximum SPX5.L drawdown of -41.23%. Use the drawdown chart below to compare losses from any high point for UC04.L and SPX5.L. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.67%
-0.68%
UC04.L
SPX5.L

Volatility

UC04.L vs. SPX5.L - Volatility Comparison

UBS ETF (IE) MSCI USA UCITS ETF (USD) A-dis (UC04.L) and SPDR S&P 500 UCITS ETF (SPX5.L) have volatilities of 1.92% and 2.02%, 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%MayJuneJulyAugustSeptemberOctober
1.92%
2.02%
UC04.L
SPX5.L