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GDE vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GDEGLD
YTD Return44.97%24.30%
1Y Return59.90%30.48%
Sharpe Ratio3.172.14
Sortino Ratio3.782.86
Omega Ratio1.521.37
Calmar Ratio5.914.10
Martin Ratio21.7213.62
Ulcer Index2.92%2.32%
Daily Std Dev20.00%14.79%
Max Drawdown-32.01%-45.56%
Current Drawdown-4.24%-7.72%

Correlation

-0.50.00.51.00.7

The correlation between GDE and GLD is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

GDE vs. GLD - Performance Comparison

In the year-to-date period, GDE achieves a 44.97% return, which is significantly higher than GLD's 24.30% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
16.49%
7.58%
GDE
GLD

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GDE vs. GLD - Expense Ratio Comparison

GDE has a 0.20% expense ratio, which is lower than GLD's 0.40% expense ratio.


GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for GDE: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

GDE vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Efficient Gold Plus Equity Strategy Fund (GDE) and SPDR Gold Trust (GLD). 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.


GDE
Sharpe ratio
The chart of Sharpe ratio for GDE, currently valued at 3.17, compared to the broader market-2.000.002.004.003.17
Sortino ratio
The chart of Sortino ratio for GDE, currently valued at 3.78, compared to the broader market-2.000.002.004.006.008.0010.0012.003.78
Omega ratio
The chart of Omega ratio for GDE, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for GDE, currently valued at 5.91, compared to the broader market0.005.0010.0015.005.91
Martin ratio
The chart of Martin ratio for GDE, currently valued at 21.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.72
GLD
Sharpe ratio
The chart of Sharpe ratio for GLD, currently valued at 2.14, compared to the broader market-2.000.002.004.002.14
Sortino ratio
The chart of Sortino ratio for GLD, currently valued at 2.86, compared to the broader market-2.000.002.004.006.008.0010.0012.002.86
Omega ratio
The chart of Omega ratio for GLD, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for GLD, currently valued at 4.10, compared to the broader market0.005.0010.0015.004.10
Martin ratio
The chart of Martin ratio for GLD, currently valued at 13.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.62

GDE vs. GLD - Sharpe Ratio Comparison

The current GDE Sharpe Ratio is 3.17, which is higher than the GLD Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of GDE and GLD, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.17
2.14
GDE
GLD

Dividends

GDE vs. GLD - Dividend Comparison

GDE's dividend yield for the trailing twelve months is around 7.02%, while GLD has not paid dividends to shareholders.


TTM20232022
GDE
WisdomTree Efficient Gold Plus Equity Strategy Fund
7.02%2.22%0.81%
GLD
SPDR Gold Trust
0.00%0.00%0.00%

Drawdowns

GDE vs. GLD - Drawdown Comparison

The maximum GDE drawdown since its inception was -32.01%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for GDE and GLD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.24%
-7.72%
GDE
GLD

Volatility

GDE vs. GLD - Volatility Comparison

WisdomTree Efficient Gold Plus Equity Strategy Fund (GDE) has a higher volatility of 5.90% compared to SPDR Gold Trust (GLD) at 5.47%. This indicates that GDE's price experiences larger fluctuations and is considered to be riskier than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
5.90%
5.47%
GDE
GLD