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EPGFX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EPGFX and ^GSPC is 0.18, 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

EPGFX vs. ^GSPC - Performance Comparison

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

50.00%100.00%150.00%200.00%250.00%JulyAugustSeptemberOctoberNovemberDecember
39.06%
250.50%
EPGFX
^GSPC

Key characteristics

Sharpe Ratio

EPGFX:

0.36

^GSPC:

2.10

Sortino Ratio

EPGFX:

0.69

^GSPC:

2.80

Omega Ratio

EPGFX:

1.08

^GSPC:

1.39

Calmar Ratio

EPGFX:

0.23

^GSPC:

3.09

Martin Ratio

EPGFX:

1.28

^GSPC:

13.49

Ulcer Index

EPGFX:

7.96%

^GSPC:

1.94%

Daily Std Dev

EPGFX:

28.12%

^GSPC:

12.52%

Max Drawdown

EPGFX:

-57.97%

^GSPC:

-56.78%

Current Drawdown

EPGFX:

-28.78%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, EPGFX achieves a 8.98% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, EPGFX has underperformed ^GSPC with an annualized return of 6.78%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


EPGFX

YTD

8.98%

1M

-7.78%

6M

0.55%

1Y

8.40%

5Y*

3.30%

10Y*

6.78%

^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

EPGFX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for EuroPac Gold Fund (EPGFX) 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 EPGFX, currently valued at 0.36, compared to the broader market-1.000.001.002.003.004.000.362.10
The chart of Sortino ratio for EPGFX, currently valued at 0.69, compared to the broader market-2.000.002.004.006.008.0010.000.692.80
The chart of Omega ratio for EPGFX, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.003.501.081.39
The chart of Calmar ratio for EPGFX, currently valued at 0.23, compared to the broader market0.002.004.006.008.0010.0012.0014.000.233.09
The chart of Martin ratio for EPGFX, currently valued at 1.28, compared to the broader market0.0020.0040.0060.001.2813.49
EPGFX
^GSPC

The current EPGFX Sharpe Ratio is 0.36, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of EPGFX 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.36
2.10
EPGFX
^GSPC

Drawdowns

EPGFX vs. ^GSPC - Drawdown Comparison

The maximum EPGFX drawdown since its inception was -57.97%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EPGFX and ^GSPC. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-28.78%
-2.62%
EPGFX
^GSPC

Volatility

EPGFX vs. ^GSPC - Volatility Comparison

EuroPac Gold Fund (EPGFX) has a higher volatility of 8.95% compared to S&P 500 (^GSPC) at 3.79%. This indicates that EPGFX'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%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.95%
3.79%
EPGFX
^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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