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

Key characteristics


SGLS.LGLD
YTD Return33.68%34.70%
1Y Return38.40%39.88%
3Y Return (Ann)14.38%15.65%
Sharpe Ratio2.922.77
Sortino Ratio3.793.71
Omega Ratio1.511.48
Calmar Ratio3.565.27
Martin Ratio17.4717.98
Ulcer Index2.25%2.18%
Daily Std Dev13.47%14.11%
Max Drawdown-23.77%-45.56%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between SGLS.L and GLD is 0.76, 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

SGLS.L vs. GLD - Performance Comparison

The year-to-date returns for both investments are quite close, with SGLS.L having a 33.68% return and GLD slightly higher at 34.70%. 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%JuneJulyAugustSeptemberOctober
24.25%
20.45%
SGLS.L
GLD

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SGLS.L vs. GLD - Expense Ratio Comparison

SGLS.L has a 0.34% expense ratio, which is lower than GLD's 0.40% expense ratio.


GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for SGLS.L: current value at 0.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.34%

Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Invesco Physical Gold GBP Hedged ETC (SGLS.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.


SGLS.L
Sharpe ratio
The chart of Sharpe ratio for SGLS.L, currently valued at 2.89, compared to the broader market-2.000.002.004.006.002.89
Sortino ratio
The chart of Sortino ratio for SGLS.L, currently valued at 3.75, compared to the broader market0.005.0010.003.75
Omega ratio
The chart of Omega ratio for SGLS.L, currently valued at 1.48, compared to the broader market1.001.502.002.503.003.501.48
Calmar ratio
The chart of Calmar ratio for SGLS.L, currently valued at 2.76, compared to the broader market0.005.0010.0015.002.76
Martin ratio
The chart of Martin ratio for SGLS.L, currently valued at 17.48, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.48
GLD
Sharpe ratio
The chart of Sharpe ratio for GLD, currently valued at 2.92, compared to the broader market-2.000.002.004.006.002.92
Sortino ratio
The chart of Sortino ratio for GLD, currently valued at 3.89, compared to the broader market0.005.0010.003.89
Omega ratio
The chart of Omega ratio for GLD, currently valued at 1.51, compared to the broader market1.001.502.002.503.003.501.51
Calmar ratio
The chart of Calmar ratio for GLD, currently valued at 5.53, compared to the broader market0.005.0010.0015.005.53
Martin ratio
The chart of Martin ratio for GLD, currently valued at 18.78, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.78

SGLS.L vs. GLD - Sharpe Ratio Comparison

The current SGLS.L Sharpe Ratio is 2.92, which is comparable to the GLD Sharpe Ratio of 2.77. The chart below compares the historical Sharpe Ratios of SGLS.L 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctober
2.89
2.92
SGLS.L
GLD

Dividends

SGLS.L vs. GLD - Dividend Comparison

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


Tickers have no history of dividend payments

Drawdowns

SGLS.L vs. GLD - Drawdown Comparison

The maximum SGLS.L drawdown since its inception was -23.77%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for SGLS.L and GLD. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctober00
SGLS.L
GLD

Volatility

SGLS.L vs. GLD - Volatility Comparison

Invesco Physical Gold GBP Hedged ETC (SGLS.L) has a higher volatility of 3.90% compared to SPDR Gold Trust (GLD) at 2.94%. This indicates that SGLS.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.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctober
3.90%
2.94%
SGLS.L
GLD