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Gold (GC=F)
Performance
Return for Risk
Drawdowns
Volatility

Share Price Chart


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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.


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S&P 500 Index

Returns By Period

Gold (GC=F) has returned 8.65% so far this year and 50.49% over the past 12 months. Looking at the last ten years, GC=F has achieved an annualized return of 14.42%, outperforming the S&P 500 Index benchmark, which averaged 12.16% per year.


Gold

1D
3.84%
1M
-10.15%
YTD
8.65%
6M
22.36%
1Y
50.49%
3Y*
33.64%
5Y*
22.17%
10Y*
14.42%

Benchmark (S&P 500 Index)

1D
2.91%
1M
-5.09%
YTD
-4.63%
6M
-2.39%
1Y
16.33%
3Y*
16.69%
5Y*
10.18%
10Y*
12.16%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Aug 29, 2000, GC=F's average daily return is +0.05%, while the average monthly return is +1.04%. At this rate, your investment would double in approximately 5.6 years.

Historically, 56% of months were positive and 44% were negative. The best month was Nov 2008 with a return of +13.9%, while the worst month was Oct 2008 at -18.0%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 7 months.

On a daily basis, GC=F closed higher 49% of trading days. The best single day was Sep 17, 2008 with a return of +9.0%, while the worst single day was Jan 30, 2026 at -11.4%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20268.98%10.96%-10.15%8.65%
20256.97%0.86%10.08%5.83%-0.49%0.17%-0.04%5.48%10.57%3.68%2.75%5.71%64.52%
2024-0.68%-0.13%8.39%3.34%1.37%0.21%4.24%2.77%5.71%3.88%-2.97%-1.05%27.48%
20236.03%-5.21%7.66%1.07%-1.32%-2.18%2.57%-1.64%-4.65%7.42%2.66%1.19%13.34%
2022-1.78%5.82%2.62%-2.05%-3.49%-2.09%-2.28%-2.84%-2.94%-1.59%6.73%4.22%-0.43%
2021-2.42%-6.45%-0.83%3.12%7.65%-6.92%2.36%0.13%-3.29%1.58%-0.53%3.04%-3.47%

Benchmark Metrics

Gold has an annualized alpha of 12.59%, beta of 0.02, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since August 30, 2000.

  • This asset captured 27.59% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -23.72%) — a profile typical of hedging or uncorrelated assets.
  • Beta of 0.02 may look defensive, but with R² of 0.00 this asset is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this asset's risk.
  • R² of 0.00 means this asset moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Alpha
12.59%
Beta
0.02
0.00
Upside Capture
27.59%
Downside Capture
-23.72%

Return for Risk

Risk / Return Rank

GC=F ranks 90 for risk / return — in the top 90% of futures on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.


GC=F Risk / Return Rank: 9090
Overall Rank
GC=F Sharpe Ratio Rank: 100100
Sharpe Ratio Rank
GC=F Sortino Ratio Rank: 9494
Sortino Ratio Rank
GC=F Omega Ratio Rank: 8585
Omega Ratio Rank
GC=F Calmar Ratio Rank: 7272
Calmar Ratio Rank
GC=F Martin Ratio Rank: 100100
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below present risk-adjusted performance metrics for Gold (GC=F) and compare them to a chosen benchmark (S&P 500 Index).


GC=FBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

1.75

0.90

+0.86

Sortino ratio

Return per unit of downside risk

2.16

1.39

+0.78

Omega ratio

Gain probability vs. loss probability

1.33

1.21

+0.12

Calmar ratio

Return relative to maximum drawdown

2.76

1.40

+1.36

Martin ratio

Return relative to average drawdown

10.35

6.61

+3.75

Explore GC=F risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

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 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 1156 trading sessions.

The current Gold drawdown is 11.64%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.36%Aug 23, 20111134Dec 17, 20151156Jul 23, 20202290
-29.73%Mar 19, 2008200Nov 13, 2008234Sep 11, 2009434
-21.92%May 12, 2006124Oct 4, 2006277Sep 19, 2007401
-20.87%Aug 7, 2020538Sep 26, 2022299Dec 1, 2023837
-17.73%Jan 30, 202640Mar 26, 2026

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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