EVAL.L vs. SGLD.L
EVAL.L (SPDR MSCI Europe Value UCITS ETF) and SGLD.L (Invesco Physical Gold ETC) are both exchange-traded funds - EVAL.L is a Europe Equities fund tracking the MSCI Europe Value NR EUR, while SGLD.L is a Gold fund tracking the LBMA Gold Price PM. Both are passively managed. Over the past 10 years, EVAL.L returned 11.35%/yr vs 11.29%/yr for SGLD.L. At a 0.02 correlation, their price movements are largely independent. EVAL.L charges 0.20%/yr vs 0.12%/yr for SGLD.L.
Performance
EVAL.L vs. SGLD.L - Performance Comparison
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Different Trading Currencies
EVAL.L is traded in GBP, while SGLD.L is traded in USD. To make them comparable, the SGLD.L values have been converted to GBP using the latest available exchange rates.
Returns By Period
In the year-to-date period, EVAL.L achieves a 12.38% return, which is significantly higher than SGLD.L's -6.49% return. Both investments have delivered pretty close results over the past 10 years, with EVAL.L having a 11.35% annualized return and SGLD.L not far behind at 11.29%.
EVAL.L
- 1D
- -0.18%
- 1M
- -0.33%
- 6M
- 10.01%
- YTD
- 12.38%
- 1Y
- 30.45%
- 3Y*
- 20.76%
- 5Y*
- 14.76%
- 10Y*
- 11.35%
SGLD.L
- 1D
- -1.85%
- 1M
- -7.81%
- 6M
- -12.96%
- YTD
- -6.49%
- 1Y
- 20.28%
- 3Y*
- 25.84%
- 5Y*
- 17.71%
- 10Y*
- 11.29%
EVAL.L vs. SGLD.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EVAL.L SPDR MSCI Europe Value UCITS ETF | 12.38% | 41.82% | 4.36% | 11.01% | 1.33% | 19.13% | -2.54% | 16.22% | -13.77% | 15.54% |
SGLD.L Invesco Physical Gold ETC | -6.49% | 53.13% | 28.43% | 7.70% | 11.80% | -3.17% | 20.53% | 13.83% | 4.55% | 1.90% |
Correlation
The correlation between EVAL.L and SGLD.L is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.06 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.04 |
Correlation (All Time) Calculated using the full available price history since Feb 18, 2015 | 0.02 |
Over the past year, EVAL.L and SGLD.L have become more correlated (0.28) than their long-term average of 0.02, meaning their price movements have been converging.
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Return for Risk
EVAL.L vs. SGLD.L — Risk / Return Rank
EVAL.L
SGLD.L
EVAL.L vs. SGLD.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI Europe Value UCITS ETF (EVAL.L) and Invesco Physical Gold ETC (SGLD.L). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EVAL.L | SGLD.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.48 | ||
| Sortino ratioReturn per unit of downside risk | +1.93 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.16 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | 3.00 | 0.83 | +2.17 |
| Martin ratioReturn relative to average drawdown | 11.02 | 2.08 | +8.94 |
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Drawdowns
EVAL.L vs. SGLD.L - Drawdown Comparison
The maximum EVAL.L drawdown since its inception was -40.72%, roughly equal to the maximum SGLD.L drawdown of -41.62%. Use the drawdown chart below to compare losses from any high point for EVAL.L and SGLD.L.
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Drawdown Indicators
| EVAL.L | SGLD.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.72% | -41.62% | +0.90% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -24.31% | +14.21% |
Max Drawdown (3Y)Largest decline over 3 years | -14.34% | -24.31% | +9.97% |
Max Drawdown (5Y)Largest decline over 5 years | -14.61% | -24.31% | +9.70% |
Max Drawdown (10Y)Largest decline over 10 years | -37.77% | -24.31% | -13.46% |
Current DrawdownCurrent decline from peak | -1.43% | -24.31% | +22.88% |
Average DrawdownAverage peak-to-trough decline | -11.27% | -13.55% | +2.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.76% | 9.73% | -6.97% |
Volatility
EVAL.L vs. SGLD.L - Volatility Comparison
The current volatility for SPDR MSCI Europe Value UCITS ETF (EVAL.L) is 4.04%, while Invesco Physical Gold ETC (SGLD.L) has a volatility of 7.46%. This indicates that EVAL.L experiences smaller price fluctuations and is considered to be less risky than SGLD.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EVAL.L | SGLD.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.04% | 7.46% | -3.42% |
Volatility (6M)Calculated over the trailing 6-month period | 11.21% | 22.50% | -11.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.39% | 25.64% | -12.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.52% | 17.21% | -0.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.77% | 15.79% | +1.98% |
EVAL.L vs. SGLD.L - Expense Ratio Comparison
EVAL.L has a 0.20% expense ratio, which is higher than SGLD.L's 0.12% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
EVAL.L vs. SGLD.L - Dividend Comparison
Neither EVAL.L nor SGLD.L has paid dividends to shareholders.
Frequently Asked Questions
EVAL.L and SGLD.L have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, SGLD.L is cheaper at 0.12% per year. The better choice depends on whether you care most about return, fees, risk, or income.
SGLD.L is cheaper with a 0.12% expense ratio, compared with 0.20% for EVAL.L.
EVAL.L is categorized as Europe Equities, while SGLD.L is Gold. EVAL.L tracks MSCI Europe Value NR EUR, while SGLD.L tracks LBMA Gold Price PM. They also come from different issuers: State Street and Invesco. Their fees differ too: 0.20% for EVAL.L and 0.12% for SGLD.L.
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