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Gold (GC=F)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Popular comparisons: GC=F vs. PHYS, GC=F vs. UUP, GC=F vs. BZ=F, GC=F vs. ^GSPC, GC=F vs. HG=F, GC=F vs. FXA, GC=F vs. DUST, GC=F vs. GLL, GC=F vs. JNUG, GC=F vs. AUD=X

Performance

Performance Chart

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


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
9.32%
12.73%
GC=F (Gold)
Benchmark (^GSPC)

Returns By Period

Gold had a return of 26.62% year-to-date (YTD) and 34.23% in the last 12 months. Over the past 10 years, Gold had an annualized return of 7.25%, while the S&P 500 had an annualized return of 11.39%, indicating that Gold did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date26.62%25.45%
1 month-1.74%2.91%
6 months10.96%14.05%
1 year34.23%35.64%
5 years (annualized)10.77%14.13%
10 years (annualized)7.25%11.39%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.68%-0.13%8.39%3.34%1.37%0.21%4.24%2.77%5.71%3.89%26.62%
20236.03%-5.21%8.60%-0.14%-0.27%-2.46%0.59%-0.05%-3.80%6.04%3.00%1.19%13.34%
2022-1.78%5.82%1.04%-0.39%-3.58%-2.41%-1.66%-4.09%-1.45%-1.61%6.14%4.22%-0.43%
2021-2.42%-6.45%-0.09%2.39%7.65%-6.67%2.33%-0.23%-3.09%2.17%-1.20%3.04%-3.47%
20204.17%-1.19%0.90%7.37%2.56%2.04%12.00%-0.89%-3.04%-1.49%-5.54%6.61%24.59%
20193.24%-0.52%-1.86%-0.54%2.32%5.68%2.55%7.64%-3.10%1.75%-2.81%3.68%18.87%
20182.50%-1.76%0.90%-1.77%-0.69%-3.11%-2.92%-0.92%-1.62%4.12%-1.28%4.76%-2.14%
20175.10%3.64%-0.11%0.17%1.09%-1.95%2.44%4.08%-3.00%-0.83%-0.07%2.60%13.59%
20165.29%10.52%-0.95%5.59%-6.09%10.30%1.10%-2.90%0.37%-2.33%-8.99%-1.78%8.46%
20157.99%-5.15%-0.37%-2.78%1.17%-1.62%-6.32%3.98%-2.15%2.44%-6.62%-0.52%-10.44%
20143.18%6.56%-3.16%0.27%-2.89%6.45%-2.47%-0.48%-5.65%-3.54%0.31%0.74%-1.50%
2013-0.85%-4.99%1.41%-9.61%-3.69%-9.84%4.39%6.49%-7.89%2.11%-4.76%-3.89%-28.24%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of GC=F is 99, placing it in the top 1% of futures on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of GC=F is 9999
Combined Rank
The Sharpe Ratio Rank of GC=F is 100100Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 100100Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 100100Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 9494Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 100100Martin 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

The charts below present risk-adjusted performance metrics for Gold (GC=F) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


GC=F
Sharpe ratio
The chart of Sharpe ratio for GC=F, currently valued at 2.27, compared to the broader market-0.500.000.501.001.502.002.27
Sortino ratio
The chart of Sortino ratio for GC=F, currently valued at 2.90, compared to the broader market-0.500.000.501.001.502.002.502.90
Omega ratio
The chart of Omega ratio for GC=F, currently valued at 1.42, compared to the broader market1.001.101.201.301.401.42
Calmar ratio
The chart of Calmar ratio for GC=F, currently valued at 4.74, compared to the broader market0.001.002.003.004.004.74
Martin ratio
The chart of Martin ratio for GC=F, currently valued at 12.87, compared to the broader market0.002.004.006.008.0010.0012.0012.87
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market-0.500.000.501.001.502.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-0.500.000.501.001.502.002.503.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market1.001.101.201.301.401.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.001.002.003.004.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.002.004.006.008.0010.0012.0018.72

Sharpe Ratio

The current Gold Sharpe ratio is 2.27. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Gold 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.27
2.90
GC=F (Gold)
Benchmark (^GSPC)

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%JuneJulyAugustSeptemberOctoberNovember
-6.35%
-0.29%
GC=F (Gold)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Gold. 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 Gold was 44.36%, occurring on Dec 17, 2015. Recovery took 1314 trading sessions.

The current Gold drawdown is 6.35%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.36%Aug 22, 20111237Dec 17, 20151314Jul 22, 20202551
-29.73%Mar 18, 2008168Nov 13, 2008227Sep 10, 2009395
-21.92%May 11, 2006103Oct 3, 2006245Sep 18, 2007348
-20.87%Aug 6, 2020613Sep 25, 2022339Dec 1, 2023952
-15.17%Feb 5, 200344Apr 6, 2003111Sep 8, 2003155

Volatility

Volatility Chart

The current Gold volatility is 5.17%, 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%JuneJulyAugustSeptemberOctoberNovember
5.17%
3.86%
GC=F (Gold)
Benchmark (^GSPC)