Invesco EURO STOXX 50 UCITS ETF

10-Year Study

SX5S.LSE · · GB · ETF

Executive Summary: Invesco EURO STOXX 50 UCITS ETF has compounded at 11.2% annually over the last 10 years, with a maximum drawdown of 23.4% and an annualized volatility of 17.3%.

1Y CAGR
+16.9%
3Y CAGR
+15.5%
5Y CAGR
+11.0%
10Y CAGR
+11.2%

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 →
23.4%
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 →
0.83
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +27.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -10.6%
% 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.
20262.05.0-10.37.0————————2.8%
20258.92.0-2.30.44.40.81.20.84.03.2-0.01.727.7%
20240.75.64.1-2.52.1-2.2-0.81.7-0.3-2.2-1.61.76.1%
20238.81.22.31.5-4.04.41.7-3.9-2.2-1.87.24.119.9%
2022-4.0-4.90.3-2.92.6-7.74.7-2.0-4.26.810.2-1.3-3.7%
2021-4.12.26.14.31.8-0.10.02.8-1.61.9-3.24.114.5%
2020-4.9-6.2-14.13.19.57.3-2.13.1-1.5-8.317.82.72.1%
20191.04.51.95.3-2.37.31.0-1.72.6-1.41.32.323.5%
20181.9-4.0-2.85.3-1.50.53.01.7-3.5-6.1-1.0-3.9-10.6%
2017-0.62.16.01.13.6-2.22.81.60.52.3-1.9-1.514.3%
2016———0.40.12.55.22.51.15.9-5.88.721.7%

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 17.3%. The dominant macroeconomic risk driver is VEA.US, accounting for 82.8% of variance. Idiosyncratic stock-specific factors contribute 8.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110040.344564387744
2016-05-0110053.42928797296
2016-06-0110308.581397884638
2016-07-0110840.693490350017
2016-08-0111113.291898375313
2016-09-0111231.054410642242
2016-10-0111891.832951695562
2016-11-0111196.161814415005
2016-12-0112167.702540617162
2017-01-0112097.917348162688
2017-02-0112351.979064442265
2017-03-0113094.537127903173
2017-04-0113233.017119180024
2017-05-0113714.971104568749
2017-06-0113416.203249373024
2017-07-0113791.298658815831
2017-08-0114013.738959764474
2017-09-0114081.343364954748
2017-10-0114401.9190927925
2017-11-0114127.139897502999
2017-12-0113913.422745611166
2018-01-0114176.207610947551
2018-02-0113603.750954094428
2018-03-0113219.93239559481
2018-04-0113925.417075564279
2018-05-0113713.880710936648
2018-06-0113781.485116126922
2018-07-0114188.201940900664
2018-08-0114428.088539962926
2018-09-0113926.50746919638
2018-10-0113070.548467996947
2018-11-0112942.972413041107
2018-12-0112435.939374114056
2019-01-0112554.792280013085
2019-02-0113117.435394177297
2019-03-0113363.864355032167
2019-04-0114068.258641369535
2019-05-0113750.954094428089
2019-06-0114751.93544869698
2019-07-0114901.319376294841
2019-08-0114651.619234543672
2019-09-0115033.257005779085
2019-10-0114820.630247519355
2019-11-0115020.172282193871
2019-12-0115359.284701777342
2020-01-0114602.551521099116
2020-02-0113690.982444662523
2020-03-0111765.347290371823
2020-04-0112125.177188965217
2020-05-0113272.271289935667
2020-06-0114235.088867081016
2020-07-0113929.778650092683
2020-08-0114368.116890197361
2020-09-0114147.85737651292
2020-10-0112973.503434739941
2020-11-0115276.41478573765
2020-12-0115685.312397775597
2021-01-0115037.61858030749
2021-02-0115369.098244466253
2021-03-0116302.47519354487
2021-04-0116995.965543561226
2021-05-0117308.908515974264
2021-06-0117289.281430596446
2021-07-0117295.823792389052
2021-08-0117783.229745938283
2021-09-0117497.546614327774
2021-10-0117823.57431032603
2021-11-0117254.38883436921
2021-12-0117956.602333442373
2022-01-0117246.756078944498
2022-02-0116401.70101406608
2022-03-0116451.859121142734
2022-04-0115981.899465707122
2022-05-0116401.70101406608
2022-06-0115141.205975357103
2022-07-0115853.233017119179
2022-08-0115541.38043833824
2022-09-0114893.686620870134
2022-10-0115911.023879620543
2022-11-0117530.25842329081
2022-12-0117298.004579653254
2023-01-0118827.82684549122
2023-02-0119055.71911460037
2023-03-0119486.42459928034
2023-04-0119785.192454476066
2023-05-0118990.2954966743
2023-06-0119826.627412495913
2023-07-0120154.835895758366
2023-08-0119358.8485443245
2023-09-0118928.14305964453
2023-10-0118582.488278268454
2023-11-0119928.03402028132
2023-12-0120742.558063460907
2024-01-0120895.213171955074
2024-02-0122073.928688256463
2024-03-0122981.13619016465
2024-04-0122411.95071420783
2024-05-0122883.00076327554
2024-06-0122377.058117980592
2024-07-0122189.510413259188
2024-08-0122566.786609966195
2024-09-0122505.724566568533
2024-10-0122004.143495801985
2024-11-0121647.584778104898
2024-12-0122015.047432122996
2025-01-0123971.213608112528
2025-02-0124461.890742558062
2025-03-0123890.52447933704
2025-04-0123975.575182640932
2025-05-0125039.799367571693
2025-06-0125246.97415767092
2025-07-0125558.826736451858
2025-08-0125752.916802965872
2025-09-0126795.33311525461
2025-10-0127648.02093555774
2025-11-0127641.47857376513
2025-12-0128108.167048304436
2026-01-0128664.267800676043
2026-02-0130094.864245992805
2026-03-0127006.869479882236
2026-04-0128897.612037945695
Annual Return Matrix
YearAnnual Return
20170.14347163724348055
2018-0.10619122257053293
20190.23507233669443228
20200.0212267499645038
20210.14480361487660764
2022-0.03667719213019194
20230.19913010590015134
20240.061346790727014655
20250.2767706785537394
20260.02808596477616576
Total Factor Risk
0.17276023004499236
VTI.US Exposure
0.09811075015070185
VEA.US Exposure
0.8280788877462777
VWO.US Exposure
-0.053676124946774005
QQQ.US Exposure
-0.13876066285353061
VTV.US Exposure
-0.14417891825141663
IJR.US Exposure
0.027401012957109103
QUAL.US Exposure
0.28434299028546944
SHV.US Exposure
0.07705033548300479
TLT.US Exposure
0.04461467098559289
LQD.US Exposure
-0.03944822620743006
HYG.US Exposure
-0.00819231849498565
GLD.US Exposure
-0.00881346198725247
USO.US Exposure
-0.003184578058623471
VNQ.US Exposure
-0.052512006675615626
BTC-USD.CC Exposure
-0.0026353892346699446
CPER.US Exposure
0.0370517664972709
VIX.INDX Exposure
-0.015923843709529276
UUP.US Exposure
-0.027301018266228345
TIP.US Exposure
0.010593928415741204
Idiosyncratic Exposure
0.08738220616488823
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
17.3%

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 →
+1.7%
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 →
4.0% 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 EURO STOXX 50 UCITS ETF a high-risk investment?

Invesco EURO STOXX 50 UCITS ETF (SX5S.LSE) has an annualized volatility of 17.3% and experienced a maximum drawdown of 23.4% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of SX5S.LSE?

Over the past 10 years, SX5S.LSE has generated a Compound Annual Growth Rate (CAGR) of 11.2%. 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.

Run a Full Backtest on Invesco EURO STOXX 50 UCITS ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest