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GC=F vs. UUP
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between GC=F and UUP is -0.20. 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.


-0.50.00.51.0
Correlation: -0.2

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%100.00%200.00%300.00%400.00%NovemberDecember2025FebruaryMarchApril
412.30%
28.05%
GC=F
UUP

Key characteristics

Sharpe Ratio

GC=F:

2.34

UUP:

-0.17

Sortino Ratio

GC=F:

3.01

UUP:

-0.17

Omega Ratio

GC=F:

1.42

UUP:

0.98

Calmar Ratio

GC=F:

4.95

UUP:

-0.13

Martin Ratio

GC=F:

12.57

UUP:

-0.44

Ulcer Index

GC=F:

3.15%

UUP:

2.81%

Daily Std Dev

GC=F:

16.66%

UUP:

7.30%

Max Drawdown

GC=F:

-44.36%

UUP:

-22.19%

Current Drawdown

GC=F:

-1.17%

UUP:

-8.48%

Returns By Period

In the year-to-date period, GC=F achieves a 28.04% return, which is significantly higher than UUP's -7.14% return. Over the past 10 years, GC=F has outperformed UUP with an annualized return of 9.46%, while UUP has yielded a comparatively lower 2.20% annualized return.


GC=F

YTD

28.04%

1M

11.33%

6M

23.09%

1Y

44.82%

5Y*

12.55%

10Y*

9.46%

UUP

YTD

-7.14%

1M

-4.21%

6M

-2.15%

1Y

-0.93%

5Y*

2.44%

10Y*

2.20%

*Annualized

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Risk-Adjusted Performance

GC=F vs. UUP — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GC=F
The Risk-Adjusted Performance Rank of GC=F is 9494
Overall Rank
The Sharpe Ratio Rank of GC=F is 9494
Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 9494
Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 9494
Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 9494
Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 9494
Martin Ratio Rank

UUP
The Risk-Adjusted Performance Rank of UUP is 1313
Overall Rank
The Sharpe Ratio Rank of UUP is 1414
Sharpe Ratio Rank
The Sortino Ratio Rank of UUP is 1212
Sortino Ratio Rank
The Omega Ratio Rank of UUP is 1111
Omega Ratio Rank
The Calmar Ratio Rank of UUP is 1313
Calmar Ratio Rank
The Martin Ratio Rank of UUP is 1414
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for GC=F, currently valued at 2.34, compared to the broader market-0.500.000.501.001.502.00
GC=F: 2.34
UUP: -0.00
The chart of Sortino ratio for GC=F, currently valued at 3.01, compared to the broader market0.001.002.00
GC=F: 3.01
UUP: 0.04
The chart of Omega ratio for GC=F, currently valued at 1.42, compared to the broader market1.001.101.201.30
GC=F: 1.42
UUP: 1.01
The chart of Calmar ratio for GC=F, currently valued at 4.95, compared to the broader market0.001.002.003.004.00
GC=F: 4.95
UUP: -0.00
The chart of Martin ratio for GC=F, currently valued at 12.57, compared to the broader market0.002.004.006.008.0010.00
GC=F: 12.57
UUP: -0.01

The current GC=F Sharpe Ratio is 2.34, which is higher than the UUP Sharpe Ratio of -0.17. 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-0.500.000.501.001.502.002.503.00NovemberDecember2025FebruaryMarchApril
2.34
-0.00
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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-1.17%
-8.48%
GC=F
UUP

Volatility

GC=F vs. UUP - Volatility Comparison

Gold (GC=F) has a higher volatility of 9.01% compared to Invesco DB US Dollar Index Bullish Fund (UUP) at 3.70%. 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.


2.00%4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
9.01%
3.70%
GC=F
UUP