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NGD vs. AAAU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NGD and AAAU is 0.53, 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.


-0.50.00.51.00.5

Performance

NGD vs. AAAU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in New Gold Inc. (NGD) and Goldman Sachs Physical Gold ETF (AAAU). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
27.83%
11.70%
NGD
AAAU

Key characteristics

Sharpe Ratio

NGD:

1.13

AAAU:

1.83

Sortino Ratio

NGD:

1.93

AAAU:

2.43

Omega Ratio

NGD:

1.21

AAAU:

1.32

Calmar Ratio

NGD:

0.69

AAAU:

3.33

Martin Ratio

NGD:

5.66

AAAU:

9.62

Ulcer Index

NGD:

11.16%

AAAU:

2.81%

Daily Std Dev

NGD:

55.76%

AAAU:

14.84%

Max Drawdown

NGD:

-96.73%

AAAU:

-21.63%

Current Drawdown

NGD:

-82.35%

AAAU:

-6.89%

Returns By Period

In the year-to-date period, NGD achieves a 69.86% return, which is significantly higher than AAAU's 25.65% return.


NGD

YTD

69.86%

1M

-10.79%

6M

24.00%

1Y

67.57%

5Y*

26.57%

10Y*

-5.00%

AAAU

YTD

25.65%

1M

-1.42%

6M

9.94%

1Y

27.71%

5Y*

11.76%

10Y*

N/A

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Risk-Adjusted Performance

NGD vs. AAAU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for New Gold Inc. (NGD) and Goldman Sachs Physical Gold ETF (AAAU). 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 NGD, currently valued at 1.13, compared to the broader market-4.00-2.000.002.001.131.83
The chart of Sortino ratio for NGD, currently valued at 1.93, compared to the broader market-4.00-2.000.002.004.001.932.43
The chart of Omega ratio for NGD, currently valued at 1.21, compared to the broader market0.501.001.502.001.211.32
The chart of Calmar ratio for NGD, currently valued at 1.18, compared to the broader market0.002.004.006.001.183.33
The chart of Martin ratio for NGD, currently valued at 5.66, compared to the broader market0.0010.0020.005.669.62
NGD
AAAU

The current NGD Sharpe Ratio is 1.13, which is lower than the AAAU Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of NGD and AAAU, 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 Ratio1.001.502.002.503.003.504.004.50JulyAugustSeptemberOctoberNovemberDecember
1.13
1.83
NGD
AAAU

Dividends

NGD vs. AAAU - Dividend Comparison

Neither NGD nor AAAU has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

NGD vs. AAAU - Drawdown Comparison

The maximum NGD drawdown since its inception was -96.73%, which is greater than AAAU's maximum drawdown of -21.63%. Use the drawdown chart below to compare losses from any high point for NGD and AAAU. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-22.26%
-6.89%
NGD
AAAU

Volatility

NGD vs. AAAU - Volatility Comparison

New Gold Inc. (NGD) has a higher volatility of 16.10% compared to Goldman Sachs Physical Gold ETF (AAAU) at 5.08%. This indicates that NGD's price experiences larger fluctuations and is considered to be riskier than AAAU 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
16.10%
5.08%
NGD
AAAU
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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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