PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CGMS vs. GLDM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CGMSGLDM
YTD Return6.66%25.93%
1Y Return13.44%33.44%
Sharpe Ratio2.702.34
Sortino Ratio4.153.08
Omega Ratio1.541.41
Calmar Ratio6.985.09
Martin Ratio21.5015.13
Ulcer Index0.62%2.26%
Daily Std Dev4.96%14.62%
Max Drawdown-3.79%-21.63%
Current Drawdown-1.03%-6.72%

Correlation

-0.50.00.51.00.4

The correlation between CGMS and GLDM is 0.36, 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.

Performance

CGMS vs. GLDM - Performance Comparison

In the year-to-date period, CGMS achieves a 6.66% return, which is significantly lower than GLDM's 25.93% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
4.28%
8.87%
CGMS
GLDM

Compare stocks, funds, or ETFs

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


CGMS vs. GLDM - Expense Ratio Comparison

CGMS has a 0.39% expense ratio, which is higher than GLDM's 0.18% expense ratio.


CGMS
Capital Group U.S. Multi-Sector Income ETF
Expense ratio chart for CGMS: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for GLDM: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

CGMS vs. GLDM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Capital Group U.S. Multi-Sector Income ETF (CGMS) and SPDR Gold MiniShares Trust (GLDM). 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.


CGMS
Sharpe ratio
The chart of Sharpe ratio for CGMS, currently valued at 2.70, compared to the broader market-2.000.002.004.002.70
Sortino ratio
The chart of Sortino ratio for CGMS, currently valued at 4.15, compared to the broader market-2.000.002.004.006.008.0010.0012.004.15
Omega ratio
The chart of Omega ratio for CGMS, currently valued at 1.54, compared to the broader market1.001.502.002.503.001.54
Calmar ratio
The chart of Calmar ratio for CGMS, currently valued at 6.98, compared to the broader market0.005.0010.0015.006.98
Martin ratio
The chart of Martin ratio for CGMS, currently valued at 21.50, compared to the broader market0.0020.0040.0060.0080.00100.0021.50
GLDM
Sharpe ratio
The chart of Sharpe ratio for GLDM, currently valued at 2.34, compared to the broader market-2.000.002.004.002.34
Sortino ratio
The chart of Sortino ratio for GLDM, currently valued at 3.08, compared to the broader market-2.000.002.004.006.008.0010.0012.003.08
Omega ratio
The chart of Omega ratio for GLDM, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for GLDM, currently valued at 5.09, compared to the broader market0.005.0010.0015.005.09
Martin ratio
The chart of Martin ratio for GLDM, currently valued at 15.13, compared to the broader market0.0020.0040.0060.0080.00100.0015.13

CGMS vs. GLDM - Sharpe Ratio Comparison

The current CGMS Sharpe Ratio is 2.70, which is comparable to the GLDM Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of CGMS and GLDM, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.70
2.34
CGMS
GLDM

Dividends

CGMS vs. GLDM - Dividend Comparison

CGMS's dividend yield for the trailing twelve months is around 5.85%, while GLDM has not paid dividends to shareholders.


TTM20232022
CGMS
Capital Group U.S. Multi-Sector Income ETF
5.85%5.84%0.97%
GLDM
SPDR Gold MiniShares Trust
0.00%0.00%0.00%

Drawdowns

CGMS vs. GLDM - Drawdown Comparison

The maximum CGMS drawdown since its inception was -3.79%, smaller than the maximum GLDM drawdown of -21.63%. Use the drawdown chart below to compare losses from any high point for CGMS and GLDM. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.03%
-6.72%
CGMS
GLDM

Volatility

CGMS vs. GLDM - Volatility Comparison

The current volatility for Capital Group U.S. Multi-Sector Income ETF (CGMS) is 1.77%, while SPDR Gold MiniShares Trust (GLDM) has a volatility of 5.40%. This indicates that CGMS experiences smaller price fluctuations and is considered to be less risky than GLDM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.77%
5.40%
CGMS
GLDM