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8PSG.DE vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between 8PSG.DE and ^GSPC is 0.03, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.0

Performance

8PSG.DE vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Physical Gold A (8PSG.DE) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
54.36%
321.97%
8PSG.DE
^GSPC

Key characteristics

Sharpe Ratio

8PSG.DE:

2.45

^GSPC:

2.10

Sortino Ratio

8PSG.DE:

3.23

^GSPC:

2.80

Omega Ratio

8PSG.DE:

1.44

^GSPC:

1.39

Calmar Ratio

8PSG.DE:

6.15

^GSPC:

3.09

Martin Ratio

8PSG.DE:

14.37

^GSPC:

13.49

Ulcer Index

8PSG.DE:

2.38%

^GSPC:

1.94%

Daily Std Dev

8PSG.DE:

13.88%

^GSPC:

12.52%

Max Drawdown

8PSG.DE:

-36.96%

^GSPC:

-56.78%

Current Drawdown

8PSG.DE:

-3.11%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, 8PSG.DE achieves a 34.71% return, which is significantly higher than ^GSPC's 24.34% return. Over the past 10 years, 8PSG.DE has underperformed ^GSPC with an annualized return of 9.75%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


8PSG.DE

YTD

34.71%

1M

-0.06%

6M

15.54%

1Y

35.27%

5Y*

13.25%

10Y*

9.75%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

8PSG.DE vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Physical Gold A (8PSG.DE) and S&P 500 (^GSPC). 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.


Sharpe ratio
The chart of Sharpe ratio for 8PSG.DE, currently valued at 1.85, compared to the broader market0.002.004.001.852.01
The chart of Sortino ratio for 8PSG.DE, currently valued at 2.45, compared to the broader market-2.000.002.004.006.008.0010.002.452.69
The chart of Omega ratio for 8PSG.DE, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.38
The chart of Calmar ratio for 8PSG.DE, currently valued at 3.40, compared to the broader market0.005.0010.0015.003.402.95
The chart of Martin ratio for 8PSG.DE, currently valued at 9.85, compared to the broader market0.0020.0040.0060.0080.00100.009.8512.95
8PSG.DE
^GSPC

The current 8PSG.DE Sharpe Ratio is 2.45, which is comparable to the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of 8PSG.DE and ^GSPC, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.85
2.01
8PSG.DE
^GSPC

Drawdowns

8PSG.DE vs. ^GSPC - Drawdown Comparison

The maximum 8PSG.DE drawdown since its inception was -36.96%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for 8PSG.DE and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.68%
-2.62%
8PSG.DE
^GSPC

Volatility

8PSG.DE vs. ^GSPC - Volatility Comparison

Invesco Physical Gold A (8PSG.DE) has a higher volatility of 4.71% compared to S&P 500 (^GSPC) at 3.75%. This indicates that 8PSG.DE's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.71%
3.75%
8PSG.DE
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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