SI=F vs. GLD
Compare and contrast key facts about Silver (SI=F) and SPDR Gold Trust (GLD).
GLD is a passively managed fund by State Street that tracks the performance of the Gold Bullion. It was launched on Nov 18, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SI=F or GLD.
Key characteristics
| SI=F | GLD | |
|---|---|---|
| YTD Return | 24.35% | 24.30% |
| 1Y Return | 29.15% | 30.48% |
| 3Y Return (Ann) | 4.61% | 10.88% |
| 5Y Return (Ann) | 9.83% | 11.49% |
| 10Y Return (Ann) | 5.12% | 7.59% |
| Sharpe Ratio | 0.82 | 2.14 |
| Sortino Ratio | 1.27 | 2.86 |
| Omega Ratio | 1.17 | 1.37 |
| Calmar Ratio | 0.45 | 4.10 |
| Martin Ratio | 3.45 | 13.62 |
| Ulcer Index | 7.06% | 2.32% |
| Daily Std Dev | 30.00% | 14.79% |
| Max Drawdown | -91.54% | -45.56% |
| Current Drawdown | -38.53% | -7.72% |
Correlation
The correlation between SI=F and GLD is 0.64, 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.
Performance
SI=F vs. GLD - Performance Comparison
The year-to-date returns for both stocks are quite close, with SI=F having a 24.35% return and GLD slightly lower at 24.30%. Over the past 10 years, SI=F has underperformed GLD with an annualized return of 5.12%, while GLD has yielded a comparatively higher 7.59% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
SI=F vs. GLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Silver (SI=F) 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.
Drawdowns
SI=F vs. GLD - Drawdown Comparison
The maximum SI=F drawdown since its inception was -91.54%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for SI=F and GLD. For additional features, visit the drawdowns tool.
Volatility
SI=F vs. GLD - Volatility Comparison
Silver (SI=F) has a higher volatility of 10.29% compared to SPDR Gold Trust (GLD) at 5.37%. This indicates that SI=F'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.