USML.L vs. ^SP500TR
Compare and contrast key facts about Invesco S&P SmallCap 600 UCITS ETF A (USML.L) and S&P 500 Total Return (^SP500TR).
USML.L is a passively managed fund by Invesco that tracks the performance of the Russell 2000 TR USD. It was launched on Jan 29, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: USML.L or ^SP500TR.
Key characteristics
| USML.L | ^SP500TR | |
|---|---|---|
| YTD Return | 15.39% | 26.93% |
| 1Y Return | 38.35% | 37.58% |
| 3Y Return (Ann) | 3.13% | 10.25% |
| 5Y Return (Ann) | 12.60% | 15.97% |
| Sharpe Ratio | 1.57 | 3.05 |
| Sortino Ratio | 2.39 | 4.06 |
| Omega Ratio | 1.29 | 1.57 |
| Calmar Ratio | 1.67 | 4.44 |
| Martin Ratio | 8.70 | 20.09 |
| Ulcer Index | 3.63% | 1.87% |
| Daily Std Dev | 20.69% | 12.28% |
| Max Drawdown | -42.65% | -55.25% |
| Current Drawdown | -0.86% | -0.28% |
Correlation
The correlation between USML.L and ^SP500TR is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
USML.L vs. ^SP500TR - Performance Comparison
In the year-to-date period, USML.L achieves a 15.39% return, which is significantly lower than ^SP500TR's 26.93% 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
USML.L vs. ^SP500TR - Risk-Adjusted Performance 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.
Drawdowns
USML.L vs. ^SP500TR - Drawdown Comparison
The maximum USML.L drawdown since its inception was -42.65%, 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. For additional features, visit the drawdowns tool.
Volatility
USML.L vs. ^SP500TR - Volatility Comparison
Invesco S&P SmallCap 600 UCITS ETF A (USML.L) has a higher volatility of 6.92% compared to S&P 500 Total Return (^SP500TR) at 3.85%. This indicates that USML.L's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.