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

Performance

SPXC vs. GLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPX Corporation (SPXC) and SPDR Gold Trust (GLD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
21.10%
14.34%
SPXC
GLD

Returns By Period

In the year-to-date period, SPXC achieves a 70.82% return, which is significantly higher than GLD's 29.03% return. Over the past 10 years, SPXC has outperformed GLD with an annualized return of 22.28%, while GLD has yielded a comparatively lower 7.94% annualized return.


SPXC

YTD

70.82%

1M

9.01%

6M

21.10%

1Y

100.62%

5Y (annualized)

29.48%

10Y (annualized)

22.28%

GLD

YTD

29.03%

1M

-2.86%

6M

14.34%

1Y

33.65%

5Y (annualized)

12.39%

10Y (annualized)

7.94%

Key characteristics


SPXCGLD
Sharpe Ratio3.002.23
Sortino Ratio3.342.97
Omega Ratio1.471.39
Calmar Ratio6.104.07
Martin Ratio19.4813.12
Ulcer Index5.15%2.52%
Daily Std Dev33.42%14.86%
Max Drawdown-81.12%-45.56%
Current Drawdown0.00%-4.21%

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Correlation

-0.50.00.51.00.1

The correlation between SPXC and GLD is 0.07, 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.

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.


Sharpe ratio
The chart of Sharpe ratio for SPXC, currently valued at 3.00, compared to the broader market-4.00-2.000.002.004.003.002.23
The chart of Sortino ratio for SPXC, currently valued at 3.34, compared to the broader market-4.00-2.000.002.004.003.342.97
The chart of Omega ratio for SPXC, currently valued at 1.47, compared to the broader market0.501.001.502.001.471.39
The chart of Calmar ratio for SPXC, currently valued at 6.10, compared to the broader market0.002.004.006.006.104.07
The chart of Martin ratio for SPXC, currently valued at 19.48, compared to the broader market0.0010.0020.0030.0019.4813.12
SPXC
GLD

The current SPXC Sharpe Ratio is 3.00, which is higher than the GLD Sharpe Ratio of 2.23. 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
3.00
2.23
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%JuneJulyAugustSeptemberOctoberNovember0
-4.21%
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 5.62%. 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%
5.62%
SPXC
GLD