Lyxor S&P 500 UCITS ETF - D-USD

10-Year Study

LSPX.LSE · · GB · ETF

Executive Summary: Lyxor S&P 500 UCITS ETF - D-USD has compounded at 15.8% annually over the last 10 years, with a maximum drawdown of 15.7% and an annualized volatility of 13.6%.

1Y CAGR
+21.8%
3Y CAGR
+17.5%
5Y CAGR
+13.6%
10Y CAGR
+15.8%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
15.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.88
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.47
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +30.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -9.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-1.21.0-4.46.7————————1.8%
20254.0-5.0-7.9-3.76.13.17.0-0.93.65.3-0.7-0.79.5%
20242.44.83.4-2.21.06.4-1.0-0.90.64.16.8-0.327.6%
20233.90.30.50.12.14.02.10.3-0.9-2.74.74.620.5%
2022-6.6-1.46.9-3.7-2.6-4.78.21.8-3.62.6-1.6-4.4-9.6%
2021-1.50.95.34.8-1.74.81.84.1-1.74.03.42.730.2%
20200.7-6.9-7.09.45.82.0-0.56.1-0.0-3.28.31.515.4%
20196.82.03.93.7-2.25.47.0-2.81.3-3.24.10.529.1%
2018-0.60.3-5.73.45.71.83.54.2-0.0-4.41.0-10.0-2.1%
2017-1.85.2-0.6-1.80.80.10.72.4-2.04.5-0.12.710.3%
2016———-1.91.13.313.4-0.21.15.40.95.031.0%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 13.6%. The dominant macroeconomic risk driver is VTI.US, accounting for 89.5% of variance. Idiosyncratic stock-specific factors contribute 5.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019808.748253298774
2016-05-019921.24942121496
2016-06-0110250.230121270684
2016-07-0111623.127334937031
2016-08-0111602.428756316895
2016-09-0111733.863298017033
2016-10-0112371.71505168994
2016-11-0112478.656381470155
2016-12-0113099.406817956447
2017-01-0112864.860597365054
2017-02-0113529.870879006747
2017-03-0113447.048709625713
2017-04-0113202.759640700435
2017-05-0113313.768581805147
2017-06-0113327.688073502555
2017-07-0113419.374468070882
2017-08-0113739.385890171787
2017-09-0113465.793465940696
2017-10-0114077.331888910836
2017-11-0114068.188318864437
2017-12-0114449.673914617884
2018-01-0114364.301032207108
2018-02-0114412.832227387671
2018-03-0113590.274628626526
2018-04-0114053.273213438413
2018-05-0114852.096845281307
2018-06-0115112.467742035607
2018-07-0115637.633689594857
2018-08-0116297.799606115788
2018-09-0116293.508359733147
2018-10-0115573.26181043801
2018-11-0115725.250881130087
2018-12-0114145.262828494831
2019-01-0115103.475384306103
2019-02-0115410.377494386441
2019-03-0116008.31317567035
2019-04-0116600.83943528089
2019-05-0116231.90844110129
2019-06-0117100.321572888235
2019-07-0118299.892862094206
2019-08-0117796.399618817624
2019-09-0118029.930329322917
2019-10-0117461.587694309816
2019-11-0118177.8446260018
2019-12-0118262.059540406874
2020-01-0118383.884937295436
2020-02-0117111.690351555902
2020-03-0115917.28813602487
2020-04-0117407.44731802672
2020-05-0118413.973800794804
2020-06-0118783.4865644673
2020-07-0118690.562616463325
2020-08-0119825.941093729827
2020-09-0119817.045034370556
2020-10-0119174.66486973377
2020-11-0120768.56843479494
2020-12-0121079.562827683058
2021-01-0120764.063103605746
2021-02-0120956.868357899493
2021-03-0122077.154254231198
2021-04-0123140.00812089727
2021-05-0122747.68458129389
2021-06-0123835.151833879103
2021-07-0124272.531868791637
2021-08-0125275.550225807736
2021-09-0124847.616185575393
2021-10-0125834.49302569001
2021-11-0126724.89799933371
2021-12-0127440.696518949208
2022-01-0125635.86928061297
2022-02-0125289.09168671291
2022-03-0127040.713677567906
2022-04-0126047.549588487615
2022-05-0125379.27630421817
2022-06-0124179.705810866497
2022-07-0126165.678242155223
2022-08-0126632.147547567016
2022-09-0125678.646449208496
2022-10-0126354.931598710522
2022-11-0125922.733371141716
2022-12-0124792.807291680758
2023-01-0125751.249053530275
2023-02-0125824.412735133163
2023-03-0125946.09487824782
2023-04-0125982.29192349548
2023-05-0126529.093170185326
2023-06-0127601.901582428934
2023-07-0128170.26650136242
2023-08-0128262.29829669671
2023-09-0128020.473988536833
2023-10-0127268.04468308047
2023-11-0128560.34334427845
2023-12-0129877.473455473624
2024-01-0130590.64804346383
2024-02-0132061.741739868015
2024-03-0133166.32622672583
2024-04-0132421.63660433164
2024-05-0132750.40481128941
2024-06-0134844.79647379244
2024-07-0134507.07968109163
2024-08-0134199.320435930786
2024-09-0134389.578956466285
2024-10-0135808.92461461153
2024-11-0138233.25279818392
2024-12-0138134.247727477836
2025-01-0139641.6514804402
2025-02-0137662.641978417385
2025-03-0134696.294836640554
2025-04-0133421.34500331632
2025-05-0135471.27228610898
2025-06-0136585.8686200539
2025-07-0139160.19623856973
2025-08-0138813.87944430906
2025-09-0140193.237403178355
2025-10-0142338.904366486444
2025-11-0142048.927689792545
2025-12-0141748.1289863347
2026-01-0141249.12834057852
2026-02-0141673.71660933598
2026-03-0139842.05793914802
2026-04-0142508.567769460744
Annual Return Matrix
YearAnnual Return
20170.10307849167723493
2018-0.02106698655774497
20190.29103713107535834
20200.15428179286362198
20210.3017678185864603
2022-0.09649497145380215
20230.20508634234006373
20240.2763545011364259
20250.09476734101805451
20260.01821491888594462
Total Factor Risk
0.13558995746605707
VTI.US Exposure
0.8954628241020137
VEA.US Exposure
0.02722204065304053
VWO.US Exposure
-0.018671856230501473
QQQ.US Exposure
-0.13488773638533152
VTV.US Exposure
-0.08023357549572434
IJR.US Exposure
-0.01568315418524476
QUAL.US Exposure
0.0834853820778898
SHV.US Exposure
0.00474654720119664
TLT.US Exposure
0.022441888889595987
LQD.US Exposure
-0.007430679760271535
HYG.US Exposure
-0.02886324806439839
GLD.US Exposure
-0.002011659715555262
USO.US Exposure
0.005783820583562076
VNQ.US Exposure
0.003939287769576846
BTC-USD.CC Exposure
-0.0030097048800706116
CPER.US Exposure
-0.002363810964091286
VIX.INDX Exposure
0.005164436785549965
UUP.US Exposure
0.1952870835944072
TIP.US Exposure
-0.0022692450719517796
Idiosyncratic Exposure
0.05189135909630808
Value Score
41.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
21.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.6%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →22.3x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.82%
Market Cap$357.7B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.4%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.4%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Lyxor S&P 500 UCITS ETF - D-USD a high-risk investment?

Lyxor S&P 500 UCITS ETF - D-USD (LSPX.LSE) has an annualized volatility of 13.6% and experienced a maximum drawdown of 15.7% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of LSPX.LSE?

Over the past 10 years, LSPX.LSE has generated a Compound Annual Growth Rate (CAGR) of 15.8%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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