PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GC=F vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.38%
12.14%
GC=F
^GSPC

Returns By Period

In the year-to-date period, GC=F achieves a 30.49% return, which is significantly higher than ^GSPC's 24.72% return. Over the past 10 years, GC=F has underperformed ^GSPC with an annualized return of 7.45%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.


GC=F

YTD

30.49%

1M

-1.93%

6M

15.26%

1Y

35.15%

5Y (annualized)

11.47%

10Y (annualized)

7.45%

^GSPC

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Key characteristics


GC=F^GSPC
Sharpe Ratio2.292.54
Sortino Ratio2.923.40
Omega Ratio1.421.47
Calmar Ratio4.043.66
Martin Ratio11.9816.26
Ulcer Index2.69%1.91%
Daily Std Dev14.24%12.23%
Max Drawdown-44.36%-56.78%
Current Drawdown-3.49%-0.88%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Correlation

-0.50.00.51.00.0

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.

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 2.29, compared to the broader market0.000.501.001.502.002.292.22
The chart of Sortino ratio for GC=F, currently valued at 2.92, compared to the broader market0.000.501.001.502.002.502.923.03
The chart of Omega ratio for GC=F, currently valued at 1.42, compared to the broader market1.001.101.201.301.401.421.43
The chart of Calmar ratio for GC=F, currently valued at 4.04, compared to the broader market0.001.002.003.004.043.14
The chart of Martin ratio for GC=F, currently valued at 11.98, compared to the broader market0.002.004.006.008.0010.0012.0011.9813.82
GC=F
^GSPC

The current GC=F Sharpe Ratio is 2.29, which is comparable to the ^GSPC Sharpe Ratio of 2.54. 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.29
2.22
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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.49%
-0.88%
GC=F
^GSPC

Volatility

GC=F vs. ^GSPC - Volatility Comparison

Gold (GC=F) has a higher volatility of 5.41% compared to S&P 500 (^GSPC) at 3.96%. 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%JuneJulyAugustSeptemberOctoberNovember
5.41%
3.96%
GC=F
^GSPC