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VUSA.L vs. CSPX.AS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VUSA.LCSPX.AS
YTD Return20.58%26.15%
1Y Return32.16%37.85%
3Y Return (Ann)11.86%11.77%
5Y Return (Ann)15.55%15.68%
10Y Return (Ann)15.79%14.31%
Sharpe Ratio2.883.06
Sortino Ratio3.974.02
Omega Ratio1.551.62
Calmar Ratio4.924.09
Martin Ratio19.5118.52
Ulcer Index1.58%1.83%
Daily Std Dev10.71%11.14%
Max Drawdown-25.47%-33.65%
Current Drawdown-0.23%-0.53%

Correlation

-0.50.00.51.00.9

The correlation between VUSA.L and CSPX.AS 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.

Performance

VUSA.L vs. CSPX.AS - Performance Comparison

In the year-to-date period, VUSA.L achieves a 20.58% return, which is significantly lower than CSPX.AS's 26.15% return. Over the past 10 years, VUSA.L has outperformed CSPX.AS with an annualized return of 15.79%, while CSPX.AS has yielded a comparatively lower 14.31% annualized return. 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%JuneJulyAugustSeptemberOctober
16.02%
15.86%
VUSA.L
CSPX.AS

Compare stocks, funds, or ETFs

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


VUSA.L vs. CSPX.AS - Expense Ratio Comparison

Both VUSA.L and CSPX.AS have an expense ratio of 0.07%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


VUSA.L
Vanguard S&P 500 UCITS ETF
Expense ratio chart for VUSA.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%
Expense ratio chart for CSPX.AS: 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

VUSA.L vs. CSPX.AS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P 500 UCITS ETF (VUSA.L) and iShares Core S&P 500 UCITS ETF (CSPX.AS). 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.


VUSA.L
Sharpe ratio
The chart of Sharpe ratio for VUSA.L, currently valued at 3.26, compared to the broader market-2.000.002.004.006.003.26
Sortino ratio
The chart of Sortino ratio for VUSA.L, currently valued at 4.47, compared to the broader market0.005.0010.004.47
Omega ratio
The chart of Omega ratio for VUSA.L, currently valued at 1.63, compared to the broader market1.001.502.002.503.003.501.63
Calmar ratio
The chart of Calmar ratio for VUSA.L, currently valued at 4.69, compared to the broader market0.005.0010.0015.004.69
Martin ratio
The chart of Martin ratio for VUSA.L, currently valued at 20.20, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.20
CSPX.AS
Sharpe ratio
The chart of Sharpe ratio for CSPX.AS, currently valued at 3.26, compared to the broader market-2.000.002.004.006.003.26
Sortino ratio
The chart of Sortino ratio for CSPX.AS, currently valued at 4.51, compared to the broader market0.005.0010.004.51
Omega ratio
The chart of Omega ratio for CSPX.AS, currently valued at 1.64, compared to the broader market1.001.502.002.503.003.501.64
Calmar ratio
The chart of Calmar ratio for CSPX.AS, currently valued at 4.56, compared to the broader market0.005.0010.0015.004.56
Martin ratio
The chart of Martin ratio for CSPX.AS, currently valued at 20.27, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.27

VUSA.L vs. CSPX.AS - Sharpe Ratio Comparison

The current VUSA.L Sharpe Ratio is 2.88, which is comparable to the CSPX.AS Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of VUSA.L and CSPX.AS, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctober
3.26
3.26
VUSA.L
CSPX.AS

Dividends

VUSA.L vs. CSPX.AS - Dividend Comparison

VUSA.L's dividend yield for the trailing twelve months is around 0.77%, while CSPX.AS has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
VUSA.L
Vanguard S&P 500 UCITS ETF
0.77%1.25%1.41%1.05%1.46%1.48%1.70%1.60%1.55%1.73%1.50%1.62%
CSPX.AS
iShares Core S&P 500 UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VUSA.L vs. CSPX.AS - Drawdown Comparison

The maximum VUSA.L drawdown since its inception was -25.47%, smaller than the maximum CSPX.AS drawdown of -33.65%. Use the drawdown chart below to compare losses from any high point for VUSA.L and CSPX.AS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-0.65%
-0.39%
VUSA.L
CSPX.AS

Volatility

VUSA.L vs. CSPX.AS - Volatility Comparison

Vanguard S&P 500 UCITS ETF (VUSA.L) has a higher volatility of 1.83% compared to iShares Core S&P 500 UCITS ETF (CSPX.AS) at 1.57%. This indicates that VUSA.L's price experiences larger fluctuations and is considered to be riskier than CSPX.AS 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%JuneJulyAugustSeptemberOctober
1.83%
1.57%
VUSA.L
CSPX.AS