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

Correlation

The correlation between GC=F and DUST is -0.31. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.3

Performance

GC=F vs. DUST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Gold (GC=F) and Direxion Daily Gold Miners Bear 2X Shares (DUST). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
13.48%
0
GC=F
DUST

Key characteristics

Sharpe Ratio

GC=F:

2.06

DUST:

-0.54

Sortino Ratio

GC=F:

2.59

DUST:

-0.50

Omega Ratio

GC=F:

1.37

DUST:

0.95

Calmar Ratio

GC=F:

3.78

DUST:

-0.34

Martin Ratio

GC=F:

10.45

DUST:

-0.72

Ulcer Index

GC=F:

2.89%

DUST:

47.53%

Daily Std Dev

GC=F:

14.53%

DUST:

62.99%

Max Drawdown

GC=F:

-44.36%

DUST:

-100.00%

Current Drawdown

GC=F:

-5.73%

DUST:

-99.99%

Returns By Period

In the year-to-date period, GC=F achieves a 27.46% return, which is significantly higher than DUST's -32.92% return. Over the past 10 years, GC=F has outperformed DUST with an annualized return of 7.37%, while DUST has yielded a comparatively lower -57.70% annualized return.


GC=F

YTD

27.46%

1M

-0.74%

6M

13.48%

1Y

28.91%

5Y*

10.83%

10Y*

7.37%

DUST

YTD

-32.92%

1M

15.89%

6M

-12.71%

1Y

-31.65%

5Y*

-48.07%

10Y*

-57.70%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

GC=F vs. DUST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Gold (GC=F) and Direxion Daily Gold Miners Bear 2X Shares (DUST). 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 market00.000.501.001.502.002.06
The chart of Sortino ratio for GC=F, currently valued at 2.59, compared to the broader market00.000.501.001.502.002.502.59
The chart of Omega ratio for GC=F, currently valued at 1.37, compared to the broader market01.001.101.201.301.37
The chart of Calmar ratio for GC=F, currently valued at 3.78, compared to the broader market00.001.002.003.003.78
The chart of Martin ratio for GC=F, currently valued at 10.45, compared to the broader market00.002.004.006.008.0010.0010.45
GC=F
DUST

The current GC=F Sharpe Ratio is 2.06, which is higher than the DUST Sharpe Ratio of -0.54. The chart below compares the historical Sharpe Ratios of GC=F and DUST, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
2.06
-0.77
GC=F
DUST

Drawdowns

GC=F vs. DUST - Drawdown Comparison

The maximum GC=F drawdown since its inception was -44.36%, smaller than the maximum DUST drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for GC=F and DUST. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.73%
-99.99%
GC=F
DUST

Volatility

GC=F vs. DUST - Volatility Comparison

The current volatility for Gold (GC=F) is 5.48%, while Direxion Daily Gold Miners Bear 2X Shares (DUST) has a volatility of 18.87%. This indicates that GC=F experiences smaller price fluctuations and is considered to be less risky than DUST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
5.48%
18.87%
GC=F
DUST
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab