GDXJ vs GLD: returns, Sharpe ratio and drawdown
Performance
GDXJ+3.56%GLD-5.24%
Summary
GDXJ vs GLD
Over the past year, GDXJ returned +3.56% against -5.24% for GLD. Over five years, GDXJ averaged +20.64% a year, compared with +18.18% for GLD. GDXJ had the higher Sharpe ratio over the past year (0.27 vs -0.19), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.40% for GLD and -41.32% for GDXJ.
Current Drawdown
GDXJ-29.63%GLD-22.97%
Rolling Volatility
GDXJ+2.85%GLD+1.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GDXJGLD
Alpha
GDXJ
-5.99%
GLD
-13.07%
Beta
GDXJ
2.25x
GLD
0.80x
Sharpe
GDXJ
0.27
GLD
-0.19
Sortino
GDXJ
0.37
GLD
-0.25
Omega
GDXJ
1.04
GLD
0.97
Calmar
GDXJ
0.09
GLD
-0.20
Martin
GDXJ
0.67
GLD
-0.37
Comparisons