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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.


-0.50.00.51.0
Correlation: 0.0

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.

200.00%400.00%600.00%800.00%1,000.00%1,200.00%NovemberDecember2025FebruaryMarchApril
1,115.85%
265.95%
GC=F
^GSPC

Key characteristics

Sharpe Ratio

GC=F:

2.27

^GSPC:

0.46

Sortino Ratio

GC=F:

2.92

^GSPC:

0.77

Omega Ratio

GC=F:

1.41

^GSPC:

1.11

Calmar Ratio

GC=F:

4.76

^GSPC:

0.47

Martin Ratio

GC=F:

12.08

^GSPC:

1.94

Ulcer Index

GC=F:

3.15%

^GSPC:

4.61%

Daily Std Dev

GC=F:

16.53%

^GSPC:

19.44%

Max Drawdown

GC=F:

-44.36%

^GSPC:

-56.78%

Current Drawdown

GC=F:

-2.23%

^GSPC:

-10.07%

Returns By Period

In the year-to-date period, GC=F achieves a 26.66% return, which is significantly higher than ^GSPC's -6.06% return. Over the past 10 years, GC=F has underperformed ^GSPC with an annualized return of 9.39%, while ^GSPC has yielded a comparatively higher 10.11% annualized return.


GC=F

YTD

26.66%

1M

10.24%

6M

21.50%

1Y

42.94%

5Y*

12.61%

10Y*

9.39%

^GSPC

YTD

-6.06%

1M

-3.27%

6M

-4.87%

1Y

9.44%

5Y*

14.30%

10Y*

10.11%

*Annualized

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Risk-Adjusted Performance

GC=F vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

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

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6868
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6363
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7070
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7373
Martin 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.

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.


The chart of Sharpe ratio for GC=F, currently valued at 2.27, compared to the broader market-0.500.000.501.001.502.00
GC=F: 2.27
^GSPC: 0.22
The chart of Sortino ratio for GC=F, currently valued at 2.92, compared to the broader market-0.500.000.501.001.502.002.50
GC=F: 2.92
^GSPC: 0.44
The chart of Omega ratio for GC=F, currently valued at 1.41, compared to the broader market1.001.101.201.30
GC=F: 1.41
^GSPC: 1.07
The chart of Calmar ratio for GC=F, currently valued at 4.76, compared to the broader market0.001.002.003.004.00
GC=F: 4.76
^GSPC: 0.22
The chart of Martin ratio for GC=F, currently valued at 12.08, compared to the broader market0.002.004.006.008.0010.00
GC=F: 12.08
^GSPC: 0.91

The current GC=F Sharpe Ratio is 2.27, which is higher than the ^GSPC Sharpe Ratio of 0.46. 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 Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2025FebruaryMarchApril
2.27
0.22
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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-2.23%
-10.07%
GC=F
^GSPC

Volatility

GC=F vs. ^GSPC - Volatility Comparison

The current volatility for Gold (GC=F) is 8.80%, while S&P 500 (^GSPC) has a volatility of 14.23%. This indicates that GC=F experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
8.80%
14.23%
GC=F
^GSPC