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CWB vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CWBGLD
YTD Return-0.78%11.40%
1Y Return10.99%11.83%
3Y Return (Ann)-3.12%8.54%
5Y Return (Ann)8.30%12.05%
10Y Return (Ann)8.30%5.40%
Sharpe Ratio1.331.02
Daily Std Dev8.26%12.31%
Max Drawdown-32.06%-45.56%
Current Drawdown-17.50%-3.73%

Correlation

-0.50.00.51.00.1

The correlation between CWB and GLD is 0.07, 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

CWB vs. GLD - Performance Comparison

In the year-to-date period, CWB achieves a -0.78% return, which is significantly lower than GLD's 11.40% return. Over the past 10 years, CWB has outperformed GLD with an annualized return of 8.30%, while GLD has yielded a comparatively lower 5.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


100.00%150.00%200.00%250.00%300.00%350.00%December2024FebruaryMarchAprilMay
340.73%
148.18%
CWB
GLD

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SPDR Bloomberg Barclays Convertible Securities ETF

SPDR Gold Trust

CWB vs. GLD - Expense Ratio Comparison

Both CWB and GLD have an expense ratio of 0.40%.


CWB
SPDR Bloomberg Barclays Convertible Securities ETF
Expense ratio chart for CWB: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

CWB vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Bloomberg Barclays Convertible Securities ETF (CWB) and SPDR Gold Trust (GLD). 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.


CWB
Sharpe ratio
The chart of Sharpe ratio for CWB, currently valued at 1.33, compared to the broader market0.002.004.001.33
Sortino ratio
The chart of Sortino ratio for CWB, currently valued at 1.93, compared to the broader market-2.000.002.004.006.008.0010.001.93
Omega ratio
The chart of Omega ratio for CWB, currently valued at 1.23, compared to the broader market0.501.001.502.002.501.23
Calmar ratio
The chart of Calmar ratio for CWB, currently valued at 0.42, compared to the broader market0.002.004.006.008.0010.0012.0014.000.42
Martin ratio
The chart of Martin ratio for CWB, currently valued at 3.11, compared to the broader market0.0020.0040.0060.0080.003.11
GLD
Sharpe ratio
The chart of Sharpe ratio for GLD, currently valued at 1.02, compared to the broader market0.002.004.001.02
Sortino ratio
The chart of Sortino ratio for GLD, currently valued at 1.57, compared to the broader market-2.000.002.004.006.008.0010.001.57
Omega ratio
The chart of Omega ratio for GLD, currently valued at 1.19, compared to the broader market0.501.001.502.002.501.19
Calmar ratio
The chart of Calmar ratio for GLD, currently valued at 0.98, compared to the broader market0.002.004.006.008.0010.0012.0014.000.98
Martin ratio
The chart of Martin ratio for GLD, currently valued at 2.76, compared to the broader market0.0020.0040.0060.0080.002.76

CWB vs. GLD - Sharpe Ratio Comparison

The current CWB Sharpe Ratio is 1.33, which roughly equals the GLD Sharpe Ratio of 1.02. The chart below compares the 12-month rolling Sharpe Ratio of CWB and GLD.


Rolling 12-month Sharpe Ratio0.501.001.50December2024FebruaryMarchAprilMay
1.33
1.02
CWB
GLD

Dividends

CWB vs. GLD - Dividend Comparison

CWB's dividend yield for the trailing twelve months is around 2.03%, while GLD has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
CWB
SPDR Bloomberg Barclays Convertible Securities ETF
2.03%1.97%2.21%1.97%2.34%3.03%6.17%4.25%4.60%7.52%7.37%3.66%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

CWB vs. GLD - Drawdown Comparison

The maximum CWB drawdown since its inception was -32.06%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for CWB and GLD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-17.50%
-3.73%
CWB
GLD

Volatility

CWB vs. GLD - Volatility Comparison

The current volatility for SPDR Bloomberg Barclays Convertible Securities ETF (CWB) is 2.91%, while SPDR Gold Trust (GLD) has a volatility of 5.22%. This indicates that CWB experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%December2024FebruaryMarchAprilMay
2.91%
5.22%
CWB
GLD