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GOAU vs. ETH-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between GOAU and ETH-USD is 0.17, 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.


-0.50.00.51.00.2

Performance

GOAU vs. ETH-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in US Global GO GOLD and Precious Metal Miners ETF (GOAU) and Ethereum (ETH-USD). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
1.06%
0.61%
GOAU
ETH-USD

Key characteristics

Sharpe Ratio

GOAU:

0.32

ETH-USD:

0.23

Sortino Ratio

GOAU:

0.65

ETH-USD:

0.85

Omega Ratio

GOAU:

1.08

ETH-USD:

1.08

Calmar Ratio

GOAU:

0.23

ETH-USD:

0.07

Martin Ratio

GOAU:

1.20

ETH-USD:

0.64

Ulcer Index

GOAU:

8.32%

ETH-USD:

23.62%

Daily Std Dev

GOAU:

31.13%

ETH-USD:

54.23%

Max Drawdown

GOAU:

-55.41%

ETH-USD:

-93.96%

Current Drawdown

GOAU:

-23.60%

ETH-USD:

-29.02%

Returns By Period

In the year-to-date period, GOAU achieves a 12.12% return, which is significantly lower than ETH-USD's 49.72% return.


GOAU

YTD

12.12%

1M

-11.34%

6M

1.06%

1Y

9.98%

5Y*

2.81%

10Y*

N/A

ETH-USD

YTD

49.72%

1M

0.58%

6M

1.96%

1Y

50.76%

5Y*

93.34%

10Y*

N/A

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Risk-Adjusted Performance

GOAU vs. ETH-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for US Global GO GOLD and Precious Metal Miners ETF (GOAU) and Ethereum (ETH-USD). 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 GOAU, currently valued at 0.13, compared to the broader market0.002.004.000.130.24
The chart of Sortino ratio for GOAU, currently valued at 0.39, compared to the broader market-2.000.002.004.006.008.0010.000.390.87
The chart of Omega ratio for GOAU, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.08
The chart of Calmar ratio for GOAU, currently valued at 0.02, compared to the broader market0.005.0010.0015.000.020.07
The chart of Martin ratio for GOAU, currently valued at 0.53, compared to the broader market0.0020.0040.0060.0080.00100.000.530.67
GOAU
ETH-USD

The current GOAU Sharpe Ratio is 0.32, which is higher than the ETH-USD Sharpe Ratio of 0.23. The chart below compares the historical Sharpe Ratios of GOAU and ETH-USD, 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.13
0.24
GOAU
ETH-USD

Drawdowns

GOAU vs. ETH-USD - Drawdown Comparison

The maximum GOAU drawdown since its inception was -55.41%, smaller than the maximum ETH-USD drawdown of -93.96%. Use the drawdown chart below to compare losses from any high point for GOAU and ETH-USD. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-23.60%
-29.02%
GOAU
ETH-USD

Volatility

GOAU vs. ETH-USD - Volatility Comparison

The current volatility for US Global GO GOLD and Precious Metal Miners ETF (GOAU) is 9.14%, while Ethereum (ETH-USD) has a volatility of 20.46%. This indicates that GOAU experiences smaller price fluctuations and is considered to be less risky than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
9.14%
20.46%
GOAU
ETH-USD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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