Invesco STOXX Europe 600 UCITS ETF

10-Year Study

S600.LSE · · GB · ETF

Executive Summary: Invesco STOXX Europe 600 UCITS ETF has compounded at 10.1% annually over the last 10 years, with a maximum drawdown of 19.4% and an annualized volatility of 12.5%.

1Y CAGR
+19.3%
3Y CAGR
+14.4%
5Y CAGR
+9.6%
10Y CAGR
+10.1%

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 →
19.4%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.52
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.77
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
12.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +26.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -9.8%
% 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.
20262.45.4-8.25.6————————4.7%
20257.32.1-2.41.04.20.61.81.12.23.20.62.326.2%
2024-0.52.34.0-1.13.3-1.60.71.4-1.5-2.0-0.3-0.83.7%
20235.61.00.22.3-4.32.31.9-2.5-0.5-3.35.54.913.1%
2022-4.5-2.82.0-1.40.5-6.95.0-2.1-5.04.17.5-0.4-4.9%
2021-2.30.15.04.51.80.91.32.5-3.02.8-1.53.516.4%
2020-2.3-6.3-11.94.87.04.2-1.72.4-0.1-6.013.52.73.7%
20193.12.42.73.7-2.15.82.0-2.42.0-1.51.51.720.2%
2018-0.0-2.6-2.84.40.40.24.0-2.10.0-6.0-1.1-4.2-9.8%
20170.32.63.30.65.0-1.91.62.4-0.91.6-1.51.615.2%
2016———0.70.13.74.71.81.52.9-4.76.618.3%

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 12.5%. The dominant macroeconomic risk driver is VEA.US, accounting for 91.2% of variance. Idiosyncratic stock-specific factors contribute 11.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110071.928460342146
2016-05-0110085.536547433905
2016-06-0110458.786936236393
2016-07-0110948.678071539656
2016-08-0111150.85536547434
2016-09-0111318.040435458786
2016-10-0111649.494556765163
2016-11-0111101.283048211508
2016-12-0111834.175738724729
2017-01-0111871.111975116642
2017-02-0112174.377916018662
2017-03-0112574.844479004665
2017-04-0112651.63297045101
2017-05-0113279.54898911353
2017-06-0113024.8833592535
2017-07-0113230.94867807154
2017-08-0113553.654743390358
2017-09-0113427.293934681182
2017-10-0113638.219284603421
2017-11-0113427.293934681182
2017-12-0113637.247278382583
2018-01-0113634.331259720062
2018-02-0113282.465007776049
2018-03-0112907.270606531882
2018-04-0113476.866251944013
2018-05-0113534.214618973561
2018-06-0113557.542768273715
2018-07-0114104.782270606533
2018-08-0113813.180404354587
2018-09-0113816.096423017108
2018-10-0112986.975116640746
2018-11-0112845.062208398134
2018-12-0112307.542768273715
2019-01-0112691.485225505443
2019-02-0112996.695178849144
2019-03-0113341.75738724728
2019-04-0113834.564541213063
2019-05-0113542.962674961118
2019-06-0114330.287713841368
2019-07-0114613.141524105755
2019-08-0114266.13530326594
2019-09-0114548.989113530326
2019-10-0114323.483670295489
2019-11-0114536.353032659408
2019-12-0114788.102643856919
2020-01-0114446.928460342146
2020-02-0113538.102643856919
2020-03-0111922.62830482115
2020-04-0112490.279937791602
2020-05-0113362.169517884915
2020-06-0113927.877138413687
2020-07-0113685.847589424571
2020-08-0114020.217729393467
2020-09-0114000.77760497667
2020-10-0113156.104199066875
2020-11-0114930.015552099534
2020-12-0115334.370139968896
2021-01-0114984.447900466563
2021-02-0114993.195956454121
2021-03-0115741.640746500778
2021-04-0116454.12130637636
2021-05-0116743.779160186627
2021-06-0116896.384136858476
2021-07-0117119.945567651634
2021-08-0117547.62830482115
2021-09-0117017.88491446345
2021-10-0117501.94401244168
2021-11-0117244.362363919132
2021-12-0117854.782270606534
2022-01-0117052.877138413685
2022-02-0116577.56609642302
2022-03-0116916.796267496113
2022-04-0116681.570762052877
2022-05-0116766.135303265943
2022-06-0115609.447900466563
2022-07-0116391.91290824261
2022-08-0116046.85069984448
2022-09-0115243.973561430792
2022-10-0115862.169517884915
2022-11-0117047.045101088646
2022-12-0116971.22861586314
2023-01-0117924.766718507
2023-02-0118105.559875583203
2023-03-0118141.524105754277
2023-04-0118554.626749611198
2023-05-0117747.861586314153
2023-06-0118160.964230171074
2023-07-0118503.110419906687
2023-08-0118036.54743390358
2023-09-0117952.954898911354
2023-10-0117358.08709175739
2023-11-0118313.569206842923
2023-12-0119201.982892690514
2024-01-0119097.978227060652
2024-02-0119539.269051321928
2024-03-0120314.930015552098
2024-04-0120093.312597200624
2024-05-0120758.164852255057
2024-06-0120419.9066874028
2024-07-0120565.70762052877
2024-08-0120861.197511664075
2024-09-0120548.211508553657
2024-10-0120128.304821150858
2024-11-0120066.096423017105
2024-12-0119912.519440124415
2025-01-0121360.808709175737
2025-02-0121802.099533437013
2025-03-0121269.440124416797
2025-04-0121477.449455676517
2025-05-0122369.751166407466
2025-06-0122498.05598755832
2025-07-0122898.522550544323
2025-08-0123149.300155520996
2025-09-0123660.575427682736
2025-10-0124412.908242612753
2025-11-0124564.541213063763
2025-12-0125124.416796267495
2026-01-0125727.060653188182
2026-02-0127118.973561430794
2026-03-0124902.799377916017
2026-04-0126302.48833592535
Annual Return Matrix
YearAnnual Return
20170.15236139630390144
2018-0.09750534568781188
20190.20154793871426313
20200.03693966083870115
20210.16436359026369174
2022-0.049485546300832906
20230.13144329896907214
20240.0370032903062516
20250.26173972469003215
20260.046889507892293514
Total Factor Risk
0.1246901439504733
VTI.US Exposure
-0.05644415225527969
VEA.US Exposure
0.912244737228723
VWO.US Exposure
-0.06309864373280759
QQQ.US Exposure
-0.0631972657460188
VTV.US Exposure
-0.1020525439907932
IJR.US Exposure
0.013354511571877897
QUAL.US Exposure
0.20055301113606575
SHV.US Exposure
0.053986937972639204
TLT.US Exposure
0.05001841565963846
LQD.US Exposure
-0.03700678413313624
HYG.US Exposure
-0.03768781463172516
GLD.US Exposure
-0.015579474938464798
USO.US Exposure
0.004341268448740922
VNQ.US Exposure
0.024319285091344733
BTC-USD.CC Exposure
-0.00025477156695562675
CPER.US Exposure
0.021182550954101504
VIX.INDX Exposure
0.006950403937026531
UUP.US Exposure
-0.027680730014908478
TIP.US Exposure
0.0009221254317561917
Idiosyncratic Exposure
0.11512893357817557
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.5%

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 →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
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 →
+1.5%
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 →
+8.3%
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 →
3.0% 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 Invesco STOXX Europe 600 UCITS ETF a high-risk investment?

Invesco STOXX Europe 600 UCITS ETF (S600.LSE) has an annualized volatility of 12.5% and experienced a maximum drawdown of 19.4% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of S600.LSE?

Over the past 10 years, S600.LSE has generated a Compound Annual Growth Rate (CAGR) of 10.1%. 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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