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

Correlation

The correlation between SGOL and UGL is 0.99, 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.


-0.50.00.51.01.0

Performance

SGOL vs. UGL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Aberdeen Standard Physical Gold Shares ETF (SGOL) and ProShares Ultra Gold (UGL). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
13.92%
23.59%
SGOL
UGL

Key characteristics

Sharpe Ratio

SGOL:

1.99

UGL:

1.75

Sortino Ratio

SGOL:

2.65

UGL:

2.24

Omega Ratio

SGOL:

1.35

UGL:

1.29

Calmar Ratio

SGOL:

3.65

UGL:

1.00

Martin Ratio

SGOL:

11.16

UGL:

9.11

Ulcer Index

SGOL:

2.65%

UGL:

5.69%

Daily Std Dev

SGOL:

14.88%

UGL:

29.72%

Max Drawdown

SGOL:

-45.51%

UGL:

-75.93%

Current Drawdown

SGOL:

-5.60%

UGL:

-22.40%

Returns By Period

In the year-to-date period, SGOL achieves a 27.30% return, which is significantly lower than UGL's 47.72% return. Over the past 10 years, SGOL has underperformed UGL with an annualized return of 7.69%, while UGL has yielded a comparatively higher 8.64% annualized return.


SGOL

YTD

27.30%

1M

-1.99%

6M

14.91%

1Y

31.16%

5Y (annualized)

12.29%

10Y (annualized)

7.69%

UGL

YTD

47.72%

1M

-4.68%

6M

25.88%

1Y

55.74%

5Y (annualized)

15.60%

10Y (annualized)

8.64%

Compare stocks, funds, or ETFs

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


SGOL vs. UGL - Expense Ratio Comparison

SGOL has a 0.17% expense ratio, which is lower than UGL's 0.95% expense ratio.


UGL
ProShares Ultra Gold
Expense ratio chart for UGL: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for SGOL: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%

Risk-Adjusted Performance

SGOL vs. UGL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Aberdeen Standard Physical Gold Shares ETF (SGOL) and ProShares Ultra Gold (UGL). 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 SGOL, currently valued at 1.99, compared to the broader market0.002.004.006.001.991.75
The chart of Sortino ratio for SGOL, currently valued at 2.65, compared to the broader market-2.000.002.004.006.008.0010.0012.002.652.24
The chart of Omega ratio for SGOL, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.29
The chart of Calmar ratio for SGOL, currently valued at 3.65, compared to the broader market0.005.0010.0015.003.651.00
The chart of Martin ratio for SGOL, currently valued at 11.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.169.11
SGOL
UGL

The current SGOL Sharpe Ratio is 1.99, which is comparable to the UGL Sharpe Ratio of 1.75. The chart below compares the historical Sharpe Ratios of SGOL and UGL, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.99
1.75
SGOL
UGL

Dividends

SGOL vs. UGL - Dividend Comparison

Neither SGOL nor UGL has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

SGOL vs. UGL - Drawdown Comparison

The maximum SGOL drawdown since its inception was -45.51%, smaller than the maximum UGL drawdown of -75.93%. Use the drawdown chart below to compare losses from any high point for SGOL and UGL. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.60%
-22.40%
SGOL
UGL

Volatility

SGOL vs. UGL - Volatility Comparison

The current volatility for Aberdeen Standard Physical Gold Shares ETF (SGOL) is 5.53%, while ProShares Ultra Gold (UGL) has a volatility of 11.16%. This indicates that SGOL experiences smaller price fluctuations and is considered to be less risky than UGL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
5.53%
11.16%
SGOL
UGL
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