Abstract:

This study assesses the relationship between gold and Gold Exchange Traded Fund (ETF) performance in India using various statistical models such as the Sharpe index, Treynor ratio, Jensen ratio, and Fama measures. Covering a decade from 2009 to 2019 and drawing data from the Bombay Stock Exchange Database, the study aims to determine the strength of the link between gold ETFs and gold. Analysis reveals that Gold ETFs delivered higher returns compared to physical gold during this period, supported by statistical metrics. Invesco GETF emerged as the top performer among the studied Gold ETFs. These insights benefit both investment researchers and investors by highlighting superior returns of Gold ETFs and identifying Invesco GETF as a standout choice for informed investment decisions within the gold ETF market.

Description:

Gold, Gold ETFs, Sharpe’s Index, Treynor’s Index, Jensen’s Index, Fama’s Measure, Correlation