USML.L vs. ^SP500TR

Last updated Jun 26, 2026

USML.L (Invesco S&P SmallCap 600 UCITS ETF A) is Small Cap Blend Equities fund tracking the Russell 2000 TR USD, while ^SP500TR (S&P 500 Total Return) is an index. Over the past 5 years, USML.L returned 6.61%/yr vs 13.06%/yr for ^SP500TR. At a 0.46 correlation, their price movements are largely independent.

Performance

USML.L vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap 600 UCITS ETF A (USML.L) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, USML.L achieves a 20.69% return, which is significantly higher than ^SP500TR's 8.11% return.

USML.L

• 1D: 0.59%
• 1M: 5.62%
• YTD: 20.69%
• 6M: 19.63%
• 1Y: 37.24%
• 3Y*: 16.71%
• 5Y*: 6.61%
• 10Y*: —

^SP500TR

• 1D: -0.01%
• 1M: -2.04%
• YTD: 8.11%
• 6M: 6.78%
• 1Y: 22.24%
• 3Y*: 20.96%
• 5Y*: 13.06%
• 10Y*: 15.84%

*Multi-year figures are annualized to reflect compound growth (CAGR)

USML.L vs. ^SP500TR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
USML.L Invesco S&P SmallCap 600 UCITS ETF A	20.69%	6.57%	7.78%	17.52%	-15.95%	26.49%	11.11%	12.51%
^SP500TR S&P 500 Total Return	8.11%	17.88%	25.02%	26.29%	-18.11%	28.71%	18.40%	24.55%

Correlation

The correlation between USML.L and ^SP500TR is 0.52, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.52
Correlation (3Y) Calculated over the trailing 3-year period	0.44
Correlation (5Y) Calculated over the trailing 5-year period	0.46
Correlation (All Time) Calculated using the full available price history since Jan 29, 2019	0.46

The correlation between USML.L and ^SP500TR has been stable across timeframes, ranging from 0.44 to 0.52 - a consistent structural relationship.

Return for Risk

USML.L vs. ^SP500TR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

USML.L

USML.L Risk / Return Rank: 81
USML.L Sharpe Ratio Rank: 79
USML.L Sortino Ratio Rank: 85
USML.L Omega Ratio Rank: 76
USML.L Calmar Ratio Rank: 86
USML.L Martin Ratio Rank: 80

^SP500TR

^SP500TR Risk / Return Rank: 79
^SP500TR Sharpe Ratio Rank: 76
^SP500TR Sortino Ratio Rank: 78
^SP500TR Omega Ratio Rank: 81
^SP500TR Calmar Ratio Rank: 75
^SP500TR Martin Ratio Rank: 86

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

USML.L vs. ^SP500TR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 UCITS ETF A (USML.L) and S&P 500 Total Return (^SP500TR). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	USML.L	^SP500TR	Difference
Sharpe ratio: Return per unit of total volatility	2.20	1.79	+0.41
Sortino ratio: Return per unit of downside risk	3.32	2.45	+0.88
Omega ratio: Gain probability vs. loss probability	1.39	1.32	+0.06
Calmar ratio: Return relative to maximum drawdown	4.28	2.51	+1.76
Martin ratio: Return relative to average drawdown	13.59	11.17	+2.42

USML.L vs. ^SP500TR - Sharpe Ratio Comparison

The current USML.L Sharpe Ratio is 2.20, which is comparable to the ^SP500TR Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of USML.L and ^SP500TR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

USML.L vs. ^SP500TR - Drawdown Comparison

The maximum USML.L drawdown since its inception was -42.69%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for USML.L and ^SP500TR.

Drawdown Indicators

	USML.L	^SP500TR	Difference
Max Drawdown Largest peak-to-trough decline	-42.69%	-55.25%	+12.56%
Max Drawdown (1Y) Largest decline over 1 year	-8.67%	-8.89%	+0.22%
Max Drawdown (3Y) Largest decline over 3 years	-29.02%	-18.75%	-10.27%
Max Drawdown (5Y) Largest decline over 5 years	-29.02%	-24.49%	-4.53%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.79%	—
Current Drawdown Current decline from peak	0.00%	-3.23%	+3.23%
Average Drawdown Average peak-to-trough decline	-9.75%	-8.16%	-1.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.73%	2.00%	+0.73%

Volatility

USML.L vs. ^SP500TR - Volatility Comparison

The current volatility for Invesco S&P SmallCap 600 UCITS ETF A (USML.L) is 4.28%, while S&P 500 Total Return (^SP500TR) has a volatility of 4.82%. This indicates that USML.L experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	USML.L	^SP500TR	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.28%	4.82%	-0.54%
Volatility (6M) Calculated over the trailing 6-month period	11.86%	9.88%	+1.98%
Volatility (1Y) Calculated over the trailing 1-year period	16.88%	12.50%	+4.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.17%	17.00%	+4.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.67%	18.08%	+5.59%

Frequently Asked Questions

Can I hold both USML.L and ^SP500TR in my portfolio?

USML.L and ^SP500TR have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.