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GFI vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GFISPY
YTD Return13.43%5.94%
1Y Return7.88%22.56%
3Y Return (Ann)24.09%7.95%
5Y Return (Ann)38.57%13.35%
10Y Return (Ann)16.87%12.34%
Sharpe Ratio0.141.93
Daily Std Dev48.40%11.63%
Max Drawdown-89.39%-55.19%
Current Drawdown-11.11%-4.05%

Correlation

-0.50.00.51.00.1

The correlation between GFI and SPY is 0.09, 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

GFI vs. SPY - Performance Comparison

In the year-to-date period, GFI achieves a 13.43% return, which is significantly higher than SPY's 5.94% return. Over the past 10 years, GFI has outperformed SPY with an annualized return of 16.87%, while SPY has yielded a comparatively lower 12.34% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


500.00%1,000.00%1,500.00%2,000.00%NovemberDecember2024FebruaryMarchApril
371.43%
1,926.75%
GFI
SPY

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Gold Fields Limited

SPDR S&P 500 ETF

Risk-Adjusted Performance

GFI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Gold Fields Limited (GFI) and SPDR S&P 500 ETF (SPY). 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.


GFI
Sharpe ratio
The chart of Sharpe ratio for GFI, currently valued at 0.14, compared to the broader market-2.00-1.000.001.002.003.000.14
Sortino ratio
The chart of Sortino ratio for GFI, currently valued at 0.55, compared to the broader market-4.00-2.000.002.004.006.000.55
Omega ratio
The chart of Omega ratio for GFI, currently valued at 1.07, compared to the broader market0.501.001.501.07
Calmar ratio
The chart of Calmar ratio for GFI, currently valued at 0.18, compared to the broader market0.002.004.006.000.18
Martin ratio
The chart of Martin ratio for GFI, currently valued at 0.35, compared to the broader market-10.000.0010.0020.0030.000.35
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 1.93, compared to the broader market-2.00-1.000.001.002.003.001.93
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 2.78, compared to the broader market-4.00-2.000.002.004.006.002.78
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.33, compared to the broader market0.501.001.501.33
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 1.66, compared to the broader market0.002.004.006.001.66
Martin ratio
The chart of Martin ratio for SPY, currently valued at 7.79, compared to the broader market-10.000.0010.0020.0030.007.79

GFI vs. SPY - Sharpe Ratio Comparison

The current GFI Sharpe Ratio is 0.14, which is lower than the SPY Sharpe Ratio of 1.93. The chart below compares the 12-month rolling Sharpe Ratio of GFI and SPY.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50NovemberDecember2024FebruaryMarchApril
0.14
1.93
GFI
SPY

Dividends

GFI vs. SPY - Dividend Comparison

GFI's dividend yield for the trailing twelve months is around 2.43%, more than SPY's 1.34% yield.


TTM20232022202120202019201820172016201520142013
GFI
Gold Fields Limited
2.43%2.85%3.29%3.30%1.68%0.82%1.57%1.78%1.58%0.70%0.85%2.55%
SPY
SPDR S&P 500 ETF
1.34%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

GFI vs. SPY - Drawdown Comparison

The maximum GFI drawdown since its inception was -89.39%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GFI and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-11.11%
-4.05%
GFI
SPY

Volatility

GFI vs. SPY - Volatility Comparison

Gold Fields Limited (GFI) has a higher volatility of 16.38% compared to SPDR S&P 500 ETF (SPY) at 3.91%. This indicates that GFI's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
16.38%
3.91%
GFI
SPY