PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
NEM vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NEM and GLD is 0.66, 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.


-0.50.00.51.00.7

Performance

NEM vs. GLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Newmont Goldcorp Corporation (NEM) and SPDR Gold Trust (GLD). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
14.87%
445.52%
NEM
GLD

Key characteristics

Sharpe Ratio

NEM:

-0.12

GLD:

1.91

Sortino Ratio

NEM:

0.08

GLD:

2.53

Omega Ratio

NEM:

1.01

GLD:

1.33

Calmar Ratio

NEM:

-0.07

GLD:

3.54

Martin Ratio

NEM:

-0.31

GLD:

10.08

Ulcer Index

NEM:

15.00%

GLD:

2.85%

Daily Std Dev

NEM:

36.80%

GLD:

15.01%

Max Drawdown

NEM:

-77.75%

GLD:

-45.56%

Current Drawdown

NEM:

-50.60%

GLD:

-5.98%

Returns By Period

In the year-to-date period, NEM achieves a -5.21% return, which is significantly lower than GLD's 26.64% return. Over the past 10 years, NEM has outperformed GLD with an annualized return of 10.35%, while GLD has yielded a comparatively lower 7.96% annualized return.


NEM

YTD

-5.21%

1M

-10.43%

6M

-8.44%

1Y

-5.30%

5Y*

1.85%

10Y*

10.35%

GLD

YTD

26.64%

1M

-1.03%

6M

12.72%

1Y

27.80%

5Y*

11.67%

10Y*

7.96%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

NEM vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Newmont Goldcorp Corporation (NEM) 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.


Sharpe ratio
The chart of Sharpe ratio for NEM, currently valued at -0.12, compared to the broader market-4.00-2.000.002.00-0.121.91
The chart of Sortino ratio for NEM, currently valued at 0.08, compared to the broader market-4.00-2.000.002.004.000.082.53
The chart of Omega ratio for NEM, currently valued at 1.01, compared to the broader market0.501.001.502.001.011.33
The chart of Calmar ratio for NEM, currently valued at -0.07, compared to the broader market0.002.004.006.00-0.073.54
The chart of Martin ratio for NEM, currently valued at -0.31, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.3110.08
NEM
GLD

The current NEM Sharpe Ratio is -0.12, which is lower than the GLD Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of NEM 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.12
1.91
NEM
GLD

Dividends

NEM vs. GLD - Dividend Comparison

NEM's dividend yield for the trailing twelve months is around 2.61%, while GLD has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
NEM
Newmont Goldcorp Corporation
2.61%3.87%4.66%3.55%1.74%3.31%1.62%0.67%0.37%0.56%1.19%5.32%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

NEM vs. GLD - Drawdown Comparison

The maximum NEM drawdown since its inception was -77.75%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for NEM and GLD. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-50.60%
-5.98%
NEM
GLD

Volatility

NEM vs. GLD - Volatility Comparison

Newmont Goldcorp Corporation (NEM) has a higher volatility of 8.87% compared to SPDR Gold Trust (GLD) at 5.21%. This indicates that NEM'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.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.87%
5.21%
NEM
GLD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab