EPGFX vs. ^GSPC
Compare and contrast key facts about EuroPac Gold Fund (EPGFX) and S&P 500 (^GSPC).
EPGFX is managed by Euro Pacific Asset Management. It was launched on Jul 18, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EPGFX or ^GSPC.
Key characteristics
| EPGFX | ^GSPC | |
|---|---|---|
| YTD Return | 15.91% | 25.45% |
| 1Y Return | 33.09% | 35.64% |
| 3Y Return (Ann) | -2.41% | 8.55% |
| 5Y Return (Ann) | 5.56% | 14.13% |
| 10Y Return (Ann) | 6.74% | 11.39% |
| Sharpe Ratio | 1.14 | 2.90 |
| Sortino Ratio | 1.70 | 3.87 |
| Omega Ratio | 1.20 | 1.54 |
| Calmar Ratio | 0.72 | 4.19 |
| Martin Ratio | 4.92 | 18.72 |
| Ulcer Index | 6.50% | 1.90% |
| Daily Std Dev | 28.07% | 12.27% |
| Max Drawdown | -57.97% | -56.78% |
| Current Drawdown | -24.26% | -0.29% |
Correlation
The correlation between EPGFX and ^GSPC is 0.17, 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
EPGFX vs. ^GSPC - Performance Comparison
In the year-to-date period, EPGFX achieves a 15.91% return, which is significantly lower than ^GSPC's 25.45% return. Over the past 10 years, EPGFX has underperformed ^GSPC with an annualized return of 6.74%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
EPGFX vs. ^GSPC - Volatility Comparison
EuroPac Gold Fund (EPGFX) has a higher volatility of 9.56% compared to S&P 500 (^GSPC) at 3.86%. 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.