XFRM.L vs. SGLP.L
Compare and contrast key facts about WisdomTree Broad Commodities Ex-Agriculture and Livestock (XFRM.L) and Invesco Physical Gold A (SGLP.L).
XFRM.L and SGLP.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XFRM.L is a passively managed fund by WisdomTree that tracks the performance of the Bloomberg Commodity ex-Agriculture and Livestock. It was launched on Nov 21, 2012. SGLP.L is a passively managed fund by Invesco that tracks the performance of the Gold. It was launched on Jun 24, 2009. Both XFRM.L and SGLP.L are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XFRM.L or SGLP.L.
Key characteristics
| XFRM.L | SGLP.L | |
|---|---|---|
| YTD Return | 3.70% | 20.86% |
| 1Y Return | -3.20% | 27.45% |
| 3Y Return (Ann) | 2.07% | 14.45% |
| 5Y Return (Ann) | 4.85% | 10.17% |
| 10Y Return (Ann) | -2.09% | 9.69% |
| Sharpe Ratio | -0.20 | 2.00 |
| Daily Std Dev | 15.30% | 13.07% |
| Max Drawdown | -56.89% | -38.83% |
| Current Drawdown | -27.30% | 0.00% |
Correlation
The correlation between XFRM.L and SGLP.L is 0.32, 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
XFRM.L vs. SGLP.L - Performance Comparison
In the year-to-date period, XFRM.L achieves a 3.70% return, which is significantly lower than SGLP.L's 20.86% return. Over the past 10 years, XFRM.L has underperformed SGLP.L with an annualized return of -2.09%, while SGLP.L has yielded a comparatively higher 9.69% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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XFRM.L vs. SGLP.L - Expense Ratio Comparison
XFRM.L has a 0.49% expense ratio, which is higher than SGLP.L's 0.12% expense ratio.
Risk-Adjusted Performance
XFRM.L vs. SGLP.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Broad Commodities Ex-Agriculture and Livestock (XFRM.L) and Invesco Physical Gold A (SGLP.L). 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.
Dividends
XFRM.L vs. SGLP.L - Dividend Comparison
Neither XFRM.L nor SGLP.L has paid dividends to shareholders.
Drawdowns
XFRM.L vs. SGLP.L - Drawdown Comparison
The maximum XFRM.L drawdown since its inception was -56.89%, which is greater than SGLP.L's maximum drawdown of -38.83%. Use the drawdown chart below to compare losses from any high point for XFRM.L and SGLP.L. For additional features, visit the drawdowns tool.
Volatility
XFRM.L vs. SGLP.L - Volatility Comparison
WisdomTree Broad Commodities Ex-Agriculture and Livestock (XFRM.L) has a higher volatility of 5.17% compared to Invesco Physical Gold A (SGLP.L) at 3.72%. This indicates that XFRM.L's price experiences larger fluctuations and is considered to be riskier than SGLP.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.