USML.L vs. ^SP500TR
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 5.94%/yr vs 14.02%/yr for ^SP500TR. At a 0.46 correlation, their price movements are largely independent.
Performance
USML.L vs. ^SP500TR - Performance Comparison
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Returns By Period
In the year-to-date period, USML.L achieves a 15.40% return, which is significantly higher than ^SP500TR's 11.36% return.
USML.L
- 1D
- 1.05%
- 1M
- 1.79%
- YTD
- 15.40%
- 6M
- 15.62%
- 1Y
- 33.26%
- 3Y*
- 15.56%
- 5Y*
- 5.94%
- 10Y*
- —
^SP500TR
- 1D
- 0.42%
- 1M
- 4.61%
- YTD
- 11.36%
- 6M
- 11.27%
- 1Y
- 28.58%
- 3Y*
- 22.72%
- 5Y*
- 14.02%
- 10Y*
- 15.58%
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 | 15.40% | 6.56% | 7.78% | 17.52% | -15.95% | 26.49% | 11.11% | 5.73% |
^SP500TR S&P 500 Total Return | 11.36% | 17.88% | 25.02% | 26.29% | -18.11% | 28.71% | 18.40% | 18.44% |
Correlation
The correlation between USML.L and ^SP500TR is 0.54, 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 | 0.54 |
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 Feb 19, 2019 | 0.46 |
The correlation between USML.L and ^SP500TR shifts across timeframes, from 0.44 (3 years) to 0.54 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
USML.L vs. ^SP500TR — Risk / Return Rank
USML.L
^SP500TR
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.
| USML.L | ^SP500TR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.46 | ||
| Sortino ratioReturn per unit of downside risk | -0.37 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.44 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 3.82 | 3.23 | +0.59 |
| Martin ratioReturn relative to average drawdown | 11.96 | 15.09 | -3.13 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| USML.L | ^SP500TR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.95 | 2.42 | -0.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.28 | 0.83 | -0.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.87 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.40 | 0.65 | -0.24 |
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.
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Drawdown Indicators
| USML.L | ^SP500TR | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | 0.00% | -0.32% | +0.32% |
Average DrawdownAverage peak-to-trough decline | -9.90% | -8.16% | -1.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.77% | 1.90% | +0.87% |
Volatility
USML.L vs. ^SP500TR - Volatility Comparison
Invesco S&P SmallCap 600 UCITS ETF A (USML.L) has a higher volatility of 4.88% compared to S&P 500 Total Return (^SP500TR) at 2.87%. 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.
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Volatility by Period
| USML.L | ^SP500TR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.88% | 2.87% | +2.01% |
Volatility (6M)Calculated over the trailing 6-month period | 11.53% | 9.00% | +2.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.94% | 11.88% | +5.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.17% | 16.90% | +4.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.82% | 18.06% | +5.76% |
Frequently Asked Questions
USML.L and ^SP500TR have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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