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

Key characteristics


SGLP.LXFRM.L
YTD Return18.57%10.48%
1Y Return18.00%4.90%
3Y Return (Ann)14.73%10.90%
5Y Return (Ann)14.13%5.62%
Sharpe Ratio1.570.34
Daily Std Dev11.48%14.61%
Max Drawdown-38.83%-56.89%
Current Drawdown0.00%-22.54%

Correlation

0.31
-1.001.00

The correlation between SGLP.L and XFRM.L is 0.31, 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.

Performance

SGLP.L vs. XFRM.L - Performance Comparison

In the year-to-date period, SGLP.L achieves a 18.57% return, which is significantly higher than XFRM.L's 10.48% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%NovemberDecember2024FebruaryMarchApril
25.60%
5.81%
SGLP.L
XFRM.L

Compare stocks, funds, or ETFs


Invesco Physical Gold A

WisdomTree Broad Commodities Ex-Agriculture and Livestock

SGLP.L vs. XFRM.L - Expense Ratio Comparison

SGLP.L has a 0.12% expense ratio, which is lower than XFRM.L's 0.49% expense ratio.

XFRM.L
WisdomTree Broad Commodities Ex-Agriculture and Livestock
0.50%1.00%1.50%2.00%0.49%
0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Invesco Physical Gold A (SGLP.L) and WisdomTree Broad Commodities Ex-Agriculture and Livestock (XFRM.L). 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 market0.002.004.001.46
Sortino ratio
The Sortino ratio of SGLP.L compared to the broader market-2.000.002.004.006.008.0010.002.27
Omega ratio
The Omega ratio of SGLP.L compared to the broader market1.001.502.002.501.27
Calmar ratio
The Calmar ratio of SGLP.L compared to the broader market0.002.004.006.008.0010.0012.001.55
Martin ratio
The Martin ratio of SGLP.L compared to the broader market0.0020.0040.0060.0080.004.12
XFRM.L
Sharpe ratio
The Sharpe ratio of XFRM.L compared to the broader market0.002.004.000.34
Sortino ratio
The Sortino ratio of XFRM.L compared to the broader market-2.000.002.004.006.008.0010.000.56
Omega ratio
The Omega ratio of XFRM.L compared to the broader market1.001.502.002.501.07
Calmar ratio
The Calmar ratio of XFRM.L compared to the broader market0.002.004.006.008.0010.0012.000.14
Martin ratio
The Martin ratio of XFRM.L compared to the broader market0.0020.0040.0060.0080.000.82

SGLP.L vs. XFRM.L - Sharpe Ratio Comparison

The current SGLP.L Sharpe Ratio is 1.46, which is higher than the XFRM.L Sharpe Ratio of 0.34. The chart below compares the 12-month rolling Sharpe Ratio of SGLP.L and XFRM.L.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50NovemberDecember2024FebruaryMarchApril
1.46
0.34
SGLP.L
XFRM.L

Dividends

SGLP.L vs. XFRM.L - Dividend Comparison

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


Tickers have no history of dividend payments

Drawdowns

SGLP.L vs. XFRM.L - Drawdown Comparison

The maximum SGLP.L drawdown since its inception was -38.83%, smaller than the maximum XFRM.L drawdown of -56.89%. The drawdown chart below compares losses from any high point along the way for SGLP.L and XFRM.L


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril0
-22.54%
SGLP.L
XFRM.L

Volatility

SGLP.L vs. XFRM.L - Volatility Comparison

Invesco Physical Gold A (SGLP.L) has a higher volatility of 4.51% compared to WisdomTree Broad Commodities Ex-Agriculture and Livestock (XFRM.L) at 4.07%. This indicates that SGLP.L's price experiences larger fluctuations and is considered to be riskier than XFRM.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%NovemberDecember2024FebruaryMarchApril
4.51%
4.07%
SGLP.L
XFRM.L