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UUP vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between UUP and GC=F is -0.13. 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.


-0.50.00.51.0-0.1

Performance

UUP vs. GC=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DB US Dollar Index Bullish Fund (UUP) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
35.61%
304.81%
UUP
GC=F

Key characteristics

Sharpe Ratio

UUP:

1.81

GC=F:

2.14

Sortino Ratio

UUP:

2.74

GC=F:

2.68

Omega Ratio

UUP:

1.33

GC=F:

1.39

Calmar Ratio

UUP:

1.86

GC=F:

3.92

Martin Ratio

UUP:

7.01

GC=F:

11.06

Ulcer Index

UUP:

1.51%

GC=F:

2.83%

Daily Std Dev

UUP:

5.84%

GC=F:

14.39%

Max Drawdown

UUP:

-22.19%

GC=F:

-44.36%

Current Drawdown

UUP:

-0.30%

GC=F:

-4.61%

Returns By Period

In the year-to-date period, UUP achieves a 11.63% return, which is significantly lower than GC=F's 28.98% return. Over the past 10 years, UUP has underperformed GC=F with an annualized return of 3.50%, while GC=F has yielded a comparatively higher 7.34% annualized return.


UUP

YTD

11.63%

1M

0.53%

6M

4.60%

1Y

10.61%

5Y (annualized)

4.40%

10Y (annualized)

3.50%

GC=F

YTD

28.98%

1M

3.68%

6M

14.14%

1Y

31.27%

5Y (annualized)

11.03%

10Y (annualized)

7.34%

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Risk-Adjusted Performance

UUP vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bullish Fund (UUP) 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 UUP, currently valued at 1.65, compared to the broader market0.002.004.001.652.14
The chart of Sortino ratio for UUP, currently valued at 2.49, compared to the broader market-2.000.002.004.006.008.0010.002.492.68
The chart of Omega ratio for UUP, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.39
The chart of Calmar ratio for UUP, currently valued at 2.17, compared to the broader market0.005.0010.0015.002.173.92
The chart of Martin ratio for UUP, currently valued at 6.01, compared to the broader market0.0020.0040.0060.0080.00100.006.0111.06
UUP
GC=F

The current UUP Sharpe Ratio is 1.81, which is comparable to the GC=F Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of UUP 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 Ratio-0.500.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.65
2.14
UUP
GC=F

Drawdowns

UUP vs. GC=F - Drawdown Comparison

The maximum UUP drawdown since its inception was -22.19%, smaller than the maximum GC=F drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for UUP and GC=F. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.30%
-4.61%
UUP
GC=F

Volatility

UUP vs. GC=F - Volatility Comparison

The current volatility for Invesco DB US Dollar Index Bullish Fund (UUP) is 1.69%, while Gold (GC=F) has a volatility of 5.35%. This indicates that UUP 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.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
1.69%
5.35%
UUP
GC=F
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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.

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