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WPM vs. IAU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

WPM vs. IAU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wheaton Precious Metals Corp. (WPM) and iShares Gold Trust (IAU). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
8.82%
8.55%
WPM
IAU

Returns By Period

The year-to-date returns for both stocks are quite close, with WPM having a 27.93% return and IAU slightly lower at 27.44%. Over the past 10 years, WPM has outperformed IAU with an annualized return of 12.95%, while IAU has yielded a comparatively lower 7.97% annualized return.


WPM

YTD

27.93%

1M

-5.87%

6M

8.82%

1Y

38.05%

5Y (annualized)

19.49%

10Y (annualized)

12.95%

IAU

YTD

27.44%

1M

-3.17%

6M

8.56%

1Y

32.89%

5Y (annualized)

12.31%

10Y (annualized)

7.97%

Key characteristics


WPMIAU
Sharpe Ratio1.292.20
Sortino Ratio1.802.94
Omega Ratio1.231.38
Calmar Ratio1.434.02
Martin Ratio5.3813.12
Ulcer Index7.15%2.49%
Daily Std Dev29.78%14.84%
Max Drawdown-86.74%-45.14%
Current Drawdown-8.67%-5.53%

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Correlation

-0.50.00.51.00.7

The correlation between WPM and IAU is 0.66, 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.

Risk-Adjusted Performance

WPM vs. IAU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wheaton Precious Metals Corp. (WPM) and iShares Gold Trust (IAU). 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 WPM, currently valued at 1.29, compared to the broader market-4.00-2.000.002.004.001.292.20
The chart of Sortino ratio for WPM, currently valued at 1.80, compared to the broader market-4.00-2.000.002.004.001.802.94
The chart of Omega ratio for WPM, currently valued at 1.23, compared to the broader market0.501.001.502.001.231.38
The chart of Calmar ratio for WPM, currently valued at 1.43, compared to the broader market0.002.004.006.001.434.02
The chart of Martin ratio for WPM, currently valued at 5.38, compared to the broader market-10.000.0010.0020.0030.005.3813.12
WPM
IAU

The current WPM Sharpe Ratio is 1.29, which is lower than the IAU Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of WPM and IAU, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.29
2.20
WPM
IAU

Dividends

WPM vs. IAU - Dividend Comparison

WPM's dividend yield for the trailing twelve months is around 0.98%, while IAU has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
WPM
Wheaton Precious Metals Corp.
0.98%1.22%1.54%1.33%1.01%1.21%1.84%1.49%1.09%1.61%1.28%2.23%
IAU
iShares 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

WPM vs. IAU - Drawdown Comparison

The maximum WPM drawdown since its inception was -86.74%, which is greater than IAU's maximum drawdown of -45.14%. Use the drawdown chart below to compare losses from any high point for WPM and IAU. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.67%
-5.53%
WPM
IAU

Volatility

WPM vs. IAU - Volatility Comparison

Wheaton Precious Metals Corp. (WPM) has a higher volatility of 10.97% compared to iShares Gold Trust (IAU) at 5.76%. This indicates that WPM's price experiences larger fluctuations and is considered to be riskier than IAU 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%JuneJulyAugustSeptemberOctoberNovember
10.97%
5.76%
WPM
IAU