Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GC=F Gold Futures | 100% |
Find the right asset allocation for Золото
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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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 Every month.
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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | -0.93% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio Золото | — | — | — | — | — | — | — | — |
| Portfolio components: | ||||||||
GC=F Gold Futures | — | — | — | — | — | — | — | — |
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | -0.07% | 6.09% | 1.87% | -2.00% | 5.84% |
Expense Ratio
Золото has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Золото and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | 1.86 | — |
| Sortino ratioReturn per unit of downside risk | — | 2.53 | — |
| Omega ratioGain probability vs. loss probability | — | 1.34 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 2.53 | — |
| Martin ratioReturn relative to average drawdown | — | 11.37 | — |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
GC=F Gold Futures | — | — | — | — | — | — |
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Dividends
Dividend yield
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.
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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 8.04%, occurring on Apr 27, 2022. The portfolio has not yet recovered.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -8.04%Apr 2022 | 1mo 19d | — | 4y 3moMar 2022 - now |
Bear market2022 | -1.20%Feb 2022 | 1d | 4d | 5dFeb 2022 - Mar 2022 |
Bear market2022 | -1.04%Feb 2022 | 0s | 2d | 2dFeb 2022 - Feb 2022 |
Bear market2022 | -0.58%Mar 2022 | 0s | 2d | 2dMar 2022 - Mar 2022 |
Bear market2022 | -0.39%Feb 2022 | 0s | 1d | 1dFeb 2022 - Feb 2022 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 1 assets, with an effective number of assets of 1.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
All Time | |
|---|---|
Diversification Ratio | 1.00 |
The portfolio has a diversification ratio of 1.00, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Золото correlation to the S&P 500 Index
Find what Золото is missing
See which holdings overlap, where Золото is concentrated, and which low-correlation assets could fill the gaps.
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