PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GC=F vs. UUP
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

GC=F vs. UUP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Gold (GC=F) and Invesco DB US Dollar Index Bullish Fund (UUP). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
14.04%
4.58%
GC=F
UUP

Returns By Period

In the year-to-date period, GC=F achieves a 29.11% return, which is significantly higher than UUP's 11.00% return. Over the past 10 years, GC=F has outperformed UUP with an annualized return of 7.34%, while UUP has yielded a comparatively lower 3.57% annualized return.


GC=F

YTD

29.11%

1M

-2.21%

6M

11.45%

1Y

33.19%

5Y (annualized)

11.27%

10Y (annualized)

7.34%

UUP

YTD

11.00%

1M

3.12%

6M

4.81%

1Y

9.40%

5Y (annualized)

4.13%

10Y (annualized)

3.57%

Key characteristics


GC=FUUP
Sharpe Ratio2.181.60
Sortino Ratio2.792.41
Omega Ratio1.401.29
Calmar Ratio3.831.67
Martin Ratio11.406.07
Ulcer Index2.69%1.57%
Daily Std Dev14.22%5.96%
Max Drawdown-44.36%-22.19%
Current Drawdown-4.51%-0.13%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.0-0.1

The correlation between GC=F and UUP is -0.13. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

GC=F vs. UUP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Gold (GC=F) and Invesco DB US Dollar Index Bullish Fund (UUP). 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 GC=F, currently valued at 2.18, compared to the broader market0.000.501.001.502.002.181.88
The chart of Sortino ratio for GC=F, currently valued at 2.79, compared to the broader market0.000.501.001.502.002.502.792.89
The chart of Omega ratio for GC=F, currently valued at 1.40, compared to the broader market1.001.101.201.301.401.37
The chart of Calmar ratio for GC=F, currently valued at 3.83, compared to the broader market0.001.002.003.003.831.84
The chart of Martin ratio for GC=F, currently valued at 11.40, compared to the broader market0.002.004.006.008.0010.0011.406.89
GC=F
UUP

The current GC=F Sharpe Ratio is 2.18, which is higher than the UUP Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of GC=F and UUP, 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 Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.18
1.88
GC=F
UUP

Drawdowns

GC=F vs. UUP - Drawdown Comparison

The maximum GC=F drawdown since its inception was -44.36%, which is greater than UUP's maximum drawdown of -22.19%. Use the drawdown chart below to compare losses from any high point for GC=F and UUP. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.51%
-0.13%
GC=F
UUP

Volatility

GC=F vs. UUP - Volatility Comparison

Gold (GC=F) has a higher volatility of 5.30% compared to Invesco DB US Dollar Index Bullish Fund (UUP) at 2.39%. This indicates that GC=F's price experiences larger fluctuations and is considered to be riskier than UUP 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%JuneJulyAugustSeptemberOctoberNovember
5.30%
2.39%
GC=F
UUP