PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
USDC-USD vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between USDC-USD and GC=F is -0.03. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.0

Performance

USDC-USD vs. GC=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USDCoin (USDC-USD) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
-1.19%
121.43%
USDC-USD
GC=F

Key characteristics

Sharpe Ratio

USDC-USD:

0.00

GC=F:

2.06

Sortino Ratio

USDC-USD:

0.01

GC=F:

2.60

Omega Ratio

USDC-USD:

1.00

GC=F:

1.37

Calmar Ratio

USDC-USD:

0.00

GC=F:

3.80

Martin Ratio

USDC-USD:

0.02

GC=F:

10.34

Ulcer Index

USDC-USD:

0.05%

GC=F:

2.94%

Daily Std Dev

USDC-USD:

0.23%

GC=F:

14.55%

Max Drawdown

USDC-USD:

-19.18%

GC=F:

-44.36%

Current Drawdown

USDC-USD:

-3.41%

GC=F:

-5.56%

Returns By Period

In the year-to-date period, USDC-USD achieves a -0.01% return, which is significantly lower than GC=F's 27.69% return.


USDC-USD

YTD

-0.01%

1M

0.02%

6M

0.00%

1Y

-0.04%

5Y*

-0.10%

10Y*

N/A

GC=F

YTD

27.69%

1M

-2.82%

6M

13.68%

1Y

28.02%

5Y*

10.42%

10Y*

7.24%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

USDC-USD vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USDCoin (USDC-USD) and Gold (GC=F). 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 USDC-USD, currently valued at 0.00, compared to the broader market0.002.004.006.000.000.91
The chart of Sortino ratio for USDC-USD, currently valued at 0.01, compared to the broader market0.002.004.000.011.24
The chart of Omega ratio for USDC-USD, currently valued at 1.00, compared to the broader market1.001.201.401.601.001.16
The chart of Calmar ratio for USDC-USD, currently valued at 0.00, compared to the broader market1.002.003.004.005.006.000.000.46
The chart of Martin ratio for USDC-USD, currently valued at 0.02, compared to the broader market0.0010.0020.0030.0040.0050.0060.000.024.57
USDC-USD
GC=F

The current USDC-USD Sharpe Ratio is 0.00, which is lower than the GC=F Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of USDC-USD and GC=F, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.00
0.91
USDC-USD
GC=F

Drawdowns

USDC-USD vs. GC=F - Drawdown Comparison

The maximum USDC-USD drawdown since its inception was -19.18%, smaller than the maximum GC=F drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for USDC-USD and GC=F. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.41%
-5.56%
USDC-USD
GC=F

Volatility

USDC-USD vs. GC=F - Volatility Comparison

The current volatility for USDCoin (USDC-USD) is 0.10%, while Gold (GC=F) has a volatility of 5.55%. This indicates that USDC-USD experiences smaller price fluctuations and is considered to be less risky than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
0.10%
5.55%
USDC-USD
GC=F
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