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

Key characteristics


GC=F^GSPC
YTD Return24.50%25.48%
1Y Return30.88%33.14%
3Y Return (Ann)9.98%8.55%
5Y Return (Ann)10.49%13.96%
10Y Return (Ann)7.09%11.39%
Sharpe Ratio2.112.91
Sortino Ratio2.723.88
Omega Ratio1.391.55
Calmar Ratio3.764.20
Martin Ratio11.7018.80
Ulcer Index2.55%1.90%
Daily Std Dev14.18%12.27%
Max Drawdown-44.36%-56.78%
Current Drawdown-7.92%-0.27%

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.

Performance

GC=F vs. ^GSPC - Performance Comparison

The year-to-date returns for both investments are quite close, with GC=F having a 24.50% return and ^GSPC slightly higher at 25.48%. Over the past 10 years, GC=F has underperformed ^GSPC with an annualized return of 7.09%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
7.49%
12.76%
GC=F
^GSPC

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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.


GC=F
Sharpe ratio
The chart of Sharpe ratio for GC=F, currently valued at 2.11, compared to the broader market-0.500.000.501.001.502.002.11
Sortino ratio
The chart of Sortino ratio for GC=F, currently valued at 2.72, compared to the broader market-0.500.000.501.001.502.002.502.72
Omega ratio
The chart of Omega ratio for GC=F, currently valued at 1.39, compared to the broader market1.001.101.201.301.39
Calmar ratio
The chart of Calmar ratio for GC=F, currently valued at 3.76, compared to the broader market0.001.002.003.003.76
Martin ratio
The chart of Martin ratio for GC=F, currently valued at 11.70, compared to the broader market0.002.004.006.008.0010.0011.70
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.40, compared to the broader market-0.500.000.501.001.502.002.40
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.25, compared to the broader market-0.500.000.501.001.502.002.503.25
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.47, compared to the broader market1.001.101.201.301.47
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.41, compared to the broader market0.001.002.003.003.41
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 15.09, compared to the broader market0.002.004.006.008.0010.0015.09

GC=F vs. ^GSPC - Sharpe Ratio Comparison

The current GC=F Sharpe Ratio is 2.11, which is comparable to the ^GSPC Sharpe Ratio of 2.91. 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
2.11
2.40
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
-7.92%
-0.27%
GC=F
^GSPC

Volatility

GC=F vs. ^GSPC - Volatility Comparison

Gold (GC=F) has a higher volatility of 5.11% compared to S&P 500 (^GSPC) at 3.74%. 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
5.11%
3.74%
GC=F
^GSPC