PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
AU vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between AU and GC=F is 0.25, 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.


-0.50.00.51.00.2

Performance

AU vs. GC=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AngloGold Ashanti Limited (AU) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
-1.23%
11.34%
AU
GC=F

Key characteristics

Sharpe Ratio

AU:

0.59

GC=F:

2.03

Sortino Ratio

AU:

1.11

GC=F:

2.56

Omega Ratio

AU:

1.13

GC=F:

1.37

Calmar Ratio

AU:

0.37

GC=F:

3.73

Martin Ratio

AU:

2.27

GC=F:

10.31

Ulcer Index

AU:

11.23%

GC=F:

2.89%

Daily Std Dev

AU:

43.24%

GC=F:

14.51%

Max Drawdown

AU:

-90.13%

GC=F:

-44.36%

Current Drawdown

AU:

-55.15%

GC=F:

-6.01%

Returns By Period

The year-to-date returns for both investments are quite close, with AU having a 26.40% return and GC=F slightly higher at 27.08%. Over the past 10 years, AU has outperformed GC=F with an annualized return of 12.41%, while GC=F has yielded a comparatively lower 7.32% annualized return.


AU

YTD

26.40%

1M

-7.51%

6M

-1.23%

1Y

28.82%

5Y*

4.94%

10Y*

12.41%

GC=F

YTD

27.08%

1M

-0.24%

6M

11.34%

1Y

28.82%

5Y*

10.78%

10Y*

7.32%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

AU vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AngloGold Ashanti Limited (AU) and Gold (GC=F). 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 AU, currently valued at 1.07, compared to the broader market-4.00-2.000.002.001.072.03
The chart of Sortino ratio for AU, currently valued at 1.67, compared to the broader market-4.00-2.000.002.004.001.672.56
The chart of Omega ratio for AU, currently valued at 1.21, compared to the broader market0.501.001.502.001.211.37
The chart of Calmar ratio for AU, currently valued at 0.65, compared to the broader market0.002.004.006.000.653.73
The chart of Martin ratio for AU, currently valued at 4.12, compared to the broader market0.0010.0020.004.1210.31
AU
GC=F

The current AU Sharpe Ratio is 0.59, which is lower than the GC=F Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of AU and GC=F, 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 Ratio0.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.07
2.03
AU
GC=F

Drawdowns

AU vs. GC=F - Drawdown Comparison

The maximum AU drawdown since its inception was -90.13%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for AU and GC=F. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-55.15%
-6.01%
AU
GC=F

Volatility

AU vs. GC=F - Volatility Comparison

AngloGold Ashanti Limited (AU) has a higher volatility of 11.71% compared to Gold (GC=F) at 5.40%. This indicates that AU's price experiences larger fluctuations and is considered to be riskier than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
11.71%
5.40%
AU
GC=F
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab