Performance

RGLD+22.63%WPM+27.27%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
RGLD	+2.17%	+7.66%	+22.63%	+19.31%	-38.43%	0.60
WPM	+0.77%	+13.84%	+27.27%	+27.33%	-37.58%	0.65

Summary

RGLD vs WPM

Over the past year, WPM returned +27.27% against +22.63% for RGLD. Over five years, WPM averaged +27.33% a year, compared with +19.31% for RGLD. WPM had the higher Sharpe ratio over the past year (0.65 vs 0.60), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -37.58% for WPM and -38.43% for RGLD.

Current Drawdown

RGLD-21.77%WPM-19.03%

Rolling Volatility

RGLD+2.09%WPM+2.49%

METRICS

Correlation Matrix

	RGLD	WPM
RGLD	1.00	0.90
WPM	0.90	1.00

Metrics

Risk Indicators

RGLDWPM

Alpha

11.47%

15.88%

Beta

1.41x

1.83x

Sharpe

0.60

0.65

Sortino

0.86

0.90

Omega

1.10

1.11

Calmar

0.59

0.73

Martin

1.24

1.82

Comparisons

More RGLD comparisons

RGLD vs XLB
RGLD vs SPY
RGLD vs AEM
RGLD vs NEM
RGLD vs AU

More WPM comparisons

WPM vs XLB
WPM vs SPY
WPM vs AEM
WPM vs B
WPM vs AU

RGLD vs WPM: returns, Sharpe ratio and drawdown

RGLD vs WPM

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