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GC=F vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between GC=F and ^GSPC is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.0

Performance

GC=F vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Gold (GC=F) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
13.48%
8.53%
GC=F
^GSPC

Key characteristics

Sharpe Ratio

GC=F:

2.06

^GSPC:

2.10

Sortino Ratio

GC=F:

2.59

^GSPC:

2.80

Omega Ratio

GC=F:

1.37

^GSPC:

1.39

Calmar Ratio

GC=F:

3.78

^GSPC:

3.09

Martin Ratio

GC=F:

10.45

^GSPC:

13.49

Ulcer Index

GC=F:

2.89%

^GSPC:

1.94%

Daily Std Dev

GC=F:

14.53%

^GSPC:

12.52%

Max Drawdown

GC=F:

-44.36%

^GSPC:

-56.78%

Current Drawdown

GC=F:

-5.73%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, GC=F achieves a 27.46% return, which is significantly higher than ^GSPC's 24.34% return. Over the past 10 years, GC=F has underperformed ^GSPC with an annualized return of 7.37%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


GC=F

YTD

27.46%

1M

-0.74%

6M

13.48%

1Y

28.91%

5Y*

10.83%

10Y*

7.37%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

GC=F vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Gold (GC=F) and S&P 500 (^GSPC). 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.


Sharpe ratio
The chart of Sharpe ratio for GC=F, currently valued at 2.06, compared to the broader market0.000.501.001.502.002.061.96
The chart of Sortino ratio for GC=F, currently valued at 2.59, compared to the broader market0.000.501.001.502.002.502.592.62
The chart of Omega ratio for GC=F, currently valued at 1.37, compared to the broader market1.001.101.201.301.371.38
The chart of Calmar ratio for GC=F, currently valued at 3.78, compared to the broader market0.001.002.003.003.782.83
The chart of Martin ratio for GC=F, currently valued at 10.45, compared to the broader market0.002.004.006.008.0010.0010.4512.33
GC=F
^GSPC

The current GC=F Sharpe Ratio is 2.06, which is comparable to the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of GC=F and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.06
1.96
GC=F
^GSPC

Drawdowns

GC=F vs. ^GSPC - Drawdown Comparison

The maximum GC=F drawdown since its inception was -44.36%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for GC=F and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.73%
-2.62%
GC=F
^GSPC

Volatility

GC=F vs. ^GSPC - Volatility Comparison

Gold (GC=F) has a higher volatility of 5.48% compared to S&P 500 (^GSPC) at 3.73%. This indicates that GC=F's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.48%
3.73%
GC=F
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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