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SPXC vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SPXCGLD
YTD Return66.73%26.66%
1Y Return101.09%34.89%
3Y Return (Ann)37.09%11.61%
5Y Return (Ann)29.21%11.95%
10Y Return (Ann)22.19%7.80%
Sharpe Ratio3.072.26
Sortino Ratio3.403.00
Omega Ratio1.481.39
Calmar Ratio6.204.51
Martin Ratio19.8614.98
Ulcer Index5.14%2.23%
Daily Std Dev33.33%14.75%
Max Drawdown-81.12%-45.56%
Current Drawdown-1.94%-5.97%

Correlation

-0.50.00.51.00.1

The correlation between SPXC and GLD is 0.06, 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

SPXC vs. GLD - Performance Comparison

In the year-to-date period, SPXC achieves a 66.73% return, which is significantly higher than GLD's 26.66% return. Over the past 10 years, SPXC has outperformed GLD with an annualized return of 22.19%, while GLD has yielded a comparatively lower 7.80% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
21.16%
11.97%
SPXC
GLD

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Risk-Adjusted Performance

SPXC vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPX Corporation (SPXC) 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.


SPXC
Sharpe ratio
The chart of Sharpe ratio for SPXC, currently valued at 3.07, compared to the broader market-4.00-2.000.002.004.003.07
Sortino ratio
The chart of Sortino ratio for SPXC, currently valued at 3.40, compared to the broader market-4.00-2.000.002.004.006.003.40
Omega ratio
The chart of Omega ratio for SPXC, currently valued at 1.48, compared to the broader market0.501.001.502.001.48
Calmar ratio
The chart of Calmar ratio for SPXC, currently valued at 6.20, compared to the broader market0.002.004.006.006.20
Martin ratio
The chart of Martin ratio for SPXC, currently valued at 19.86, compared to the broader market0.0010.0020.0030.0019.86
GLD
Sharpe ratio
The chart of Sharpe ratio for GLD, currently valued at 2.26, compared to the broader market-4.00-2.000.002.004.002.26
Sortino ratio
The chart of Sortino ratio for GLD, currently valued at 3.00, compared to the broader market-4.00-2.000.002.004.006.003.00
Omega ratio
The chart of Omega ratio for GLD, currently valued at 1.39, compared to the broader market0.501.001.502.001.39
Calmar ratio
The chart of Calmar ratio for GLD, currently valued at 4.51, compared to the broader market0.002.004.006.004.51
Martin ratio
The chart of Martin ratio for GLD, currently valued at 14.98, compared to the broader market0.0010.0020.0030.0014.98

SPXC vs. GLD - Sharpe Ratio Comparison

The current SPXC Sharpe Ratio is 3.07, which is higher than the GLD Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of SPXC 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.07
2.26
SPXC
GLD

Dividends

SPXC vs. GLD - Dividend Comparison

Neither SPXC nor GLD has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
SPXC
SPX Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%2.02%1.75%1.00%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SPXC vs. GLD - Drawdown Comparison

The maximum SPXC drawdown since its inception was -81.12%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for SPXC and GLD. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.94%
-5.97%
SPXC
GLD

Volatility

SPXC vs. GLD - Volatility Comparison

SPX Corporation (SPXC) has a higher volatility of 14.59% compared to SPDR Gold Trust (GLD) at 5.36%. This indicates that SPXC'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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%JuneJulyAugustSeptemberOctoberNovember
14.59%
5.36%
SPXC
GLD