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Золото
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


GLD 100%CommodityCommodity
PositionCategory/SectorWeight
GLD
SPDR Gold Trust
Precious Metals, Gold
100%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Золото, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
20.87%
15.83%
Золото
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD

Returns By Period

As of Oct 30, 2024, the Золото returned 33.96% Year-To-Date and 8.58% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Золото33.96%4.52%20.87%38.35%12.49%8.58%
GLD
SPDR Gold Trust
33.96%4.52%20.87%38.35%12.49%8.58%

Monthly Returns

The table below presents the monthly returns of Золото, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.42%0.46%8.67%2.99%1.62%-0.13%5.37%2.09%5.09%33.96%
20235.76%-5.37%7.92%0.86%-1.34%-2.22%2.29%-1.28%-4.76%7.37%2.53%1.28%12.69%
2022-1.68%6.12%1.27%-2.07%-3.26%-1.57%-2.59%-2.94%-2.89%-1.78%8.49%2.93%-0.77%
2021-3.22%-6.26%-1.14%3.56%7.68%-7.15%2.53%-0.08%-3.22%1.48%-0.69%3.30%-4.15%
20204.50%-0.64%-0.22%7.26%2.59%2.74%10.79%-0.32%-4.17%-0.52%-5.41%7.01%24.81%
20192.89%-0.61%-1.60%-0.66%1.76%8.00%0.01%7.91%-3.39%2.56%-3.21%3.66%17.86%
20183.23%-2.08%0.63%-0.95%-1.20%-3.61%-2.24%-2.14%-0.66%2.12%0.34%4.94%-1.94%
20175.42%3.18%-0.43%1.73%-0.12%-2.16%2.31%4.20%-3.37%-0.75%0.36%2.11%12.81%
20165.41%10.93%-0.84%5.11%-6.14%8.97%1.98%-3.26%0.69%-2.94%-8.36%-1.91%8.03%
20158.69%-5.91%-2.15%-0.17%0.56%-1.52%-6.62%3.71%-1.80%2.28%-6.75%-0.45%-10.67%
20143.42%6.27%-3.14%0.49%-3.05%6.32%-3.63%0.38%-6.18%-3.05%-0.49%1.31%-2.19%
2013-0.51%-5.09%0.96%-7.57%-6.20%-11.06%7.43%5.20%-4.78%-0.34%-5.51%-3.79%-28.33%

Expense Ratio

Золото features an expense ratio of 0.40%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Золото is 46, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Золото is 4646
Combined Rank
The Sharpe Ratio Rank of Золото is 3434Sharpe Ratio Rank
The Sortino Ratio Rank of Золото is 3333Sortino Ratio Rank
The Omega Ratio Rank of Золото is 3030Omega Ratio Rank
The Calmar Ratio Rank of Золото is 8888Calmar Ratio Rank
The Martin Ratio Rank of Золото is 4545Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.


Золото
Sharpe ratio
The chart of Sharpe ratio for Золото, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for Золото, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.58
Omega ratio
The chart of Omega ratio for Золото, currently valued at 1.46, compared to the broader market0.801.001.201.401.601.802.001.46
Calmar ratio
The chart of Calmar ratio for Золото, currently valued at 5.07, compared to the broader market0.005.0010.005.07
Martin ratio
The chart of Martin ratio for Золото, currently valued at 17.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0017.22
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GLD
SPDR Gold Trust
2.663.581.465.0717.22

Sharpe Ratio

The current Золото Sharpe ratio is 2.66. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.49 to 3.44, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Золото with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.66
3.43
Золото
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


Золото doesn't pay dividends

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober0
-0.54%
Золото
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Золото. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Золото was 45.56%, occurring on Dec 17, 2015. Recovery took 1160 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-45.56%Aug 23, 20111088Dec 17, 20151160Jul 29, 20202248
-29.41%Mar 18, 2008168Nov 12, 2008211Sep 16, 2009379
-22%Aug 7, 2020538Sep 26, 2022360Mar 4, 2024898
-21.79%May 15, 200622Jun 14, 2006317Sep 18, 2007339
-12.7%Dec 3, 200945Feb 8, 201064May 11, 2010109

Volatility

Volatility Chart

The current Золото volatility is 3.04%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
3.04%
2.71%
Золото
Benchmark (^GSPC)
Portfolio components