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VUAA.L vs. SXR8.DE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VUAA.L and SXR8.DE is 0.93, 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.


-0.50.00.51.00.9

Performance

VUAA.L vs. SXR8.DE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard S&P 500 UCITS ETF (VUAA.L) and iShares Core S&P 500 UCITS ETF USD (Acc) (SXR8.DE). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
10.11%
9.27%
VUAA.L
SXR8.DE

Key characteristics

Sharpe Ratio

VUAA.L:

2.22

SXR8.DE:

2.72

Sortino Ratio

VUAA.L:

3.07

SXR8.DE:

3.70

Omega Ratio

VUAA.L:

1.42

SXR8.DE:

1.55

Calmar Ratio

VUAA.L:

3.42

SXR8.DE:

4.02

Martin Ratio

VUAA.L:

14.40

SXR8.DE:

17.76

Ulcer Index

VUAA.L:

1.83%

SXR8.DE:

1.87%

Daily Std Dev

VUAA.L:

11.84%

SXR8.DE:

12.17%

Max Drawdown

VUAA.L:

-34.05%

SXR8.DE:

-33.78%

Current Drawdown

VUAA.L:

-1.76%

SXR8.DE:

-1.61%

Returns By Period

In the year-to-date period, VUAA.L achieves a 26.29% return, which is significantly lower than SXR8.DE's 33.20% return.


VUAA.L

YTD

26.29%

1M

0.55%

6M

10.06%

1Y

27.34%

5Y*

14.59%

10Y*

N/A

SXR8.DE

YTD

33.20%

1M

-0.32%

6M

12.39%

1Y

33.44%

5Y*

15.71%

10Y*

14.39%

Compare stocks, funds, or ETFs

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


VUAA.L vs. SXR8.DE - Expense Ratio Comparison

VUAA.L has a 0.07% expense ratio, which is lower than SXR8.DE's 0.12% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SXR8.DE
iShares Core S&P 500 UCITS ETF USD (Acc)
Expense ratio chart for SXR8.DE: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VUAA.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VUAA.L vs. SXR8.DE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P 500 UCITS ETF (VUAA.L) and iShares Core S&P 500 UCITS ETF USD (Acc) (SXR8.DE). 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.


Sharpe ratio
The chart of Sharpe ratio for VUAA.L, currently valued at 2.39, compared to the broader market0.002.004.002.392.40
The chart of Sortino ratio for VUAA.L, currently valued at 3.29, compared to the broader market-2.000.002.004.006.008.0010.003.293.32
The chart of Omega ratio for VUAA.L, currently valued at 1.45, compared to the broader market0.501.001.502.002.503.001.451.45
The chart of Calmar ratio for VUAA.L, currently valued at 3.67, compared to the broader market0.005.0010.0015.003.673.48
The chart of Martin ratio for VUAA.L, currently valued at 15.47, compared to the broader market0.0020.0040.0060.0080.00100.0015.4714.91
VUAA.L
SXR8.DE

The current VUAA.L Sharpe Ratio is 2.22, which is comparable to the SXR8.DE Sharpe Ratio of 2.72. The chart below compares the historical Sharpe Ratios of VUAA.L and SXR8.DE, 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 Ratio1.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
2.39
2.40
VUAA.L
SXR8.DE

Dividends

VUAA.L vs. SXR8.DE - Dividend Comparison

Neither VUAA.L nor SXR8.DE has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

VUAA.L vs. SXR8.DE - Drawdown Comparison

The maximum VUAA.L drawdown since its inception was -34.05%, roughly equal to the maximum SXR8.DE drawdown of -33.78%. Use the drawdown chart below to compare losses from any high point for VUAA.L and SXR8.DE. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.76%
-2.60%
VUAA.L
SXR8.DE

Volatility

VUAA.L vs. SXR8.DE - Volatility Comparison

Vanguard S&P 500 UCITS ETF (VUAA.L) has a higher volatility of 3.05% compared to iShares Core S&P 500 UCITS ETF USD (Acc) (SXR8.DE) at 2.68%. This indicates that VUAA.L's price experiences larger fluctuations and is considered to be riskier than SXR8.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.05%
2.68%
VUAA.L
SXR8.DE
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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