By Nikica Jokić |

A comparison of UCITS-listed ETFs across three asset classes — broad market indices, factor/smart-beta strategies, and precious metals — using 5 years of daily close prices. All tickers are EUR or GBP-listed accumulating share classes where available.

Metrics: CAGR, total return, annualised volatility, Sharpe ratio, and max drawdown. Data sourced from Yahoo Finance, cached locally.

Broad Indices

The simplest way to invest in equities is to buy the whole market. These ETFs track major indices — each a different slice of "the market" depending on geography and methodology.

A few things worth understanding before looking at the data:

  • S&P 500 vs MSCI World vs FTSE All-World — the S&P 500 is US-only (roughly 500 large-cap US companies). MSCI World adds developed-market international exposure (~23 countries) but is still ~70% US by weight. FTSE All-World goes further and includes emerging markets (~90 countries). More diversification, but historically lower returns because the US has dominated.
  • Nasdaq 100 — not really a broad index. It's the 100 largest non-financial companies on the Nasdaq exchange, which means a heavy concentration in US tech. Higher beta, higher drawdowns, but outperformed everything else over the last decade.
  • Euro Stoxx 600 and FTSE 100 — European exposure. The Stoxx 600 covers large, mid, and small caps across 17 European countries. The FTSE 100 is the 100 largest companies on the London Stock Exchange, heavily skewed toward financials, energy, and miners. Both have lagged US indices significantly over 5 years.
  • Nikkei 225 — Japan's 225 largest companies. Price-weighted (unusual — most modern indices are market-cap weighted), which means high-priced stocks have more influence regardless of company size.

The key question the charts answer: how much of the apparent diversification benefit disappears once you look at correlation during drawdowns? Most of these move together when things go wrong.

Price history (rebased to 100)

Risk / return

Marker size and colour represent Sharpe ratio.

Max drawdown

Factors & Smart Beta

A market-cap-weighted index like the S&P 500 or MSCI World gives you returns proportional to company size — the biggest companies dominate. Factor investing is the idea that you can do better by tilting toward stocks that share specific characteristics shown to deliver excess returns over long periods.

The main factors with academic backing:

  • Quality — companies with high profitability, low debt, stable earnings. Less volatile than the broad market, tends to hold up better in downturns.
  • Momentum — stocks that have outperformed recently tend to keep outperforming in the short term. High turnover, can crash hard when trends reverse.
  • Value — cheap stocks by fundamental metrics (P/E, P/B). Underperformed growth for most of the 2010s, staged a recovery post-2022.
  • Small Cap — smaller companies have historically outperformed large caps over long horizons, at the cost of higher volatility.
  • Minimum Volatility — selects for lower-volatility stocks. Tends to lag in bull markets, cushion drawdowns.

"Smart beta" is marketing language for the same idea — rules-based index construction that departs from pure market cap weighting. The MSCI World Quality and Momentum ETFs below are straightforward implementations: they take the MSCI World universe and tilt toward stocks scoring high on those factors, rebalancing periodically.

What's worth looking at in the data: whether the factor tilt actually shows up in the Sharpe ratio relative to plain MSCI World, and what it costs in drawdown.

Same broad indices included for comparison.

Price history (rebased to 100)

Risk / return

Max drawdown

Metals & Commodities

Metals serve a different purpose in a portfolio than equities. They don't generate earnings or dividends — their return comes entirely from price appreciation. The case for holding them is either as an inflation hedge, a crisis hedge, or both.

How each behaves:

  • Gold — the classic safe haven. Low correlation to equities over long periods, tends to hold value during equity drawdowns and periods of dollar weakness. The 2022 bear market was an exception (gold was flat while equities fell), but its long-run role as a portfolio diversifier is well-documented. The ETF here (SGLN) holds physical gold allocated in a vault.
  • Silver — behaves like gold but with more industrial demand mixed in (~50% of silver demand is industrial). Higher volatility, larger drawdowns, but can outperform gold significantly in bull runs for metals. More speculative.
  • Platinum and Palladium — primarily industrial metals, not monetary ones. Palladium was dominated by automotive catalytic converter demand (petrol cars) and had a massive run through 2019-2021 as supply from Russia tightened. The EV transition is a structural headwind for both. High volatility, low liquidity in the ETF wrappers.
  • Copper — a genuine economic indicator. Copper demand tracks industrial activity and infrastructure investment closely. Less of a hedge, more of a cyclical macro bet. The EV and renewable energy buildout is a long-term demand driver.
  • Broad Commodities basket — diversified exposure across energy, metals, and agriculture via futures. The futures roll cost is a meaningful drag on returns — commodity ETFs typically underperform the spot price of the underlying commodities over time. Worth understanding before treating the chart as representative of "commodity returns."

The drawdown chart is particularly revealing here — palladium's collapse from its 2021 peak stands out, as does the volatility of silver relative to gold.

Price history (rebased to 100)

Risk / return

Max drawdown

Data as of May 07, 2026. Not investment advice.