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

Key characteristics


GLDSGOL
YTD Return6.24%6.18%
1Y Return10.72%10.90%
3Y Return (Ann)7.79%8.03%
5Y Return (Ann)10.76%11.00%
10Y Return (Ann)5.02%5.14%
Sharpe Ratio0.991.01
Daily Std Dev11.80%11.71%
Max Drawdown-45.56%-45.51%
Current Drawdown0.00%0.00%

Correlation

0.99
-1.001.00

The correlation between GLD and SGOL is 0.99, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

GLD vs. SGOL - Performance Comparison

The year-to-date returns for both stocks are quite close, with GLD having a 6.24% return and SGOL slightly lower at 6.18%. Both investments have delivered pretty close results over the past 10 years, with GLD having a 5.02% annualized return and SGOL not far ahead at 5.14%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


70.00%80.00%90.00%100.00%110.00%OctoberNovemberDecember2024FebruaryMarch
109.21%
111.76%
GLD
SGOL

Compare stocks, funds, or ETFs


SPDR Gold Trust

Aberdeen Standard Physical Gold Shares ETF

GLD vs. SGOL - Expense Ratio Comparison

GLD has a 0.40% expense ratio, which is higher than SGOL's 0.17% expense ratio.

GLD
SPDR Gold Trust
0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.17%

Risk-Adjusted Performance

GLD vs. SGOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Gold Trust (GLD) and Aberdeen Standard Physical Gold Shares ETF (SGOL). 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
GLD
SPDR Gold Trust
0.99
SGOL
Aberdeen Standard Physical Gold Shares ETF
1.01

GLD vs. SGOL - Sharpe Ratio Comparison

The current GLD Sharpe Ratio is 0.99, which roughly equals the SGOL Sharpe Ratio of 1.01. The chart below compares the 12-month rolling Sharpe Ratio of GLD and SGOL.


Rolling 12-month Sharpe Ratio0.200.400.600.801.001.201.401.60OctoberNovemberDecember2024FebruaryMarch
0.99
1.01
GLD
SGOL

Dividends

GLD vs. SGOL - Dividend Comparison

Neither GLD nor SGOL has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

GLD vs. SGOL - Drawdown Comparison

The maximum GLD drawdown since its inception was -45.56%, roughly equal to the maximum SGOL drawdown of -45.51%. The drawdown chart below compares losses from any high point along the way for GLD and SGOL


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
GLD
SGOL

Volatility

GLD vs. SGOL - Volatility Comparison

SPDR Gold Trust (GLD) and Aberdeen Standard Physical Gold Shares ETF (SGOL) have volatilities of 3.31% and 3.32%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
3.31%
3.32%
GLD
SGOL