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SGLP.L vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SGLP.LGLD
YTD Return18.57%13.45%
1Y Return18.00%14.32%
3Y Return (Ann)14.73%9.91%
5Y Return (Ann)14.13%12.25%
10Y Return (Ann)9.23%5.64%
Sharpe Ratio1.571.31
Daily Std Dev11.48%12.13%
Max Drawdown-38.83%-45.56%
Current Drawdown0.00%-1.32%

Correlation

0.75
-1.001.00

The correlation between SGLP.L and GLD is 0.75, 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

SGLP.L vs. GLD - Performance Comparison

In the year-to-date period, SGLP.L achieves a 18.57% return, which is significantly higher than GLD's 13.45% return. Over the past 10 years, SGLP.L has outperformed GLD with an annualized return of 9.23%, while GLD has yielded a comparatively lower 5.64% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%25.00%NovemberDecember2024FebruaryMarchApril
25.61%
21.28%
SGLP.L
GLD

Compare stocks, funds, or ETFs


Invesco Physical Gold A

SPDR Gold Trust

SGLP.L vs. GLD - Expense Ratio Comparison

SGLP.L has a 0.12% expense ratio, which is lower than GLD's 0.40% expense ratio.

GLD
SPDR Gold Trust
0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

SGLP.L vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Physical Gold A (SGLP.L) 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.


SGLP.L
Sharpe ratio
The Sharpe ratio of SGLP.L compared to the broader market0.002.004.001.67
Sortino ratio
The Sortino ratio of SGLP.L compared to the broader market-2.000.002.004.006.008.0010.002.62
Omega ratio
The Omega ratio of SGLP.L compared to the broader market1.001.502.002.501.31
Calmar ratio
The Calmar ratio of SGLP.L compared to the broader market0.002.004.006.008.0010.0012.001.73
Martin ratio
The Martin ratio of SGLP.L compared to the broader market0.0020.0040.0060.0080.004.58
GLD
Sharpe ratio
The Sharpe ratio of GLD compared to the broader market0.002.004.001.39
Sortino ratio
The Sortino ratio of GLD compared to the broader market-2.000.002.004.006.008.0010.002.15
Omega ratio
The Omega ratio of GLD compared to the broader market1.001.502.002.501.25
Calmar ratio
The Calmar ratio of GLD compared to the broader market0.002.004.006.008.0010.0012.001.28
Martin ratio
The Martin ratio of GLD compared to the broader market0.0020.0040.0060.0080.003.62

SGLP.L vs. GLD - Sharpe Ratio Comparison

The current SGLP.L Sharpe Ratio is 1.67, which roughly equals the GLD Sharpe Ratio of 1.39. The chart below compares the 12-month rolling Sharpe Ratio of SGLP.L and GLD.


Rolling 12-month Sharpe Ratio0.501.001.50NovemberDecember2024FebruaryMarchApril
1.67
1.39
SGLP.L
GLD

Dividends

SGLP.L vs. GLD - Dividend Comparison

Neither SGLP.L nor GLD has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

SGLP.L vs. GLD - Drawdown Comparison

The maximum SGLP.L drawdown since its inception was -38.83%, smaller than the maximum GLD drawdown of -45.56%. The drawdown chart below compares losses from any high point along the way for SGLP.L and GLD


-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2024FebruaryMarchApril0
-1.32%
SGLP.L
GLD

Volatility

SGLP.L vs. GLD - Volatility Comparison

Invesco Physical Gold A (SGLP.L) has a higher volatility of 4.53% compared to SPDR Gold Trust (GLD) at 4.14%. This indicates that SGLP.L'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.


2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
4.53%
4.14%
SGLP.L
GLD