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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%JuneJulyAugustSeptemberOctoberNovember
11.45%
11.50%
GC=F
^GSPC

Returns By Period

In the year-to-date period, GC=F achieves a 29.11% return, which is significantly higher than ^GSPC's 24.05% return. Over the past 10 years, GC=F has underperformed ^GSPC with an annualized return of 7.34%, while ^GSPC has yielded a comparatively higher 11.13% annualized return.


GC=F

YTD

29.11%

1M

-2.21%

6M

11.45%

1Y

33.19%

5Y (annualized)

11.27%

10Y (annualized)

7.34%

^GSPC

YTD

24.05%

1M

1.08%

6M

11.50%

1Y

30.38%

5Y (annualized)

13.77%

10Y (annualized)

11.13%

Key characteristics


GC=F^GSPC
Sharpe Ratio2.182.46
Sortino Ratio2.793.31
Omega Ratio1.401.46
Calmar Ratio3.833.55
Martin Ratio11.4015.76
Ulcer Index2.69%1.91%
Daily Std Dev14.22%12.23%
Max Drawdown-44.36%-56.78%
Current Drawdown-4.51%-1.40%

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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 2.18, compared to the broader market0.000.501.001.502.002.182.00
The chart of Sortino ratio for GC=F, currently valued at 2.79, compared to the broader market0.000.501.001.502.002.502.792.74
The chart of Omega ratio for GC=F, currently valued at 1.40, compared to the broader market1.001.101.201.301.401.39
The chart of Calmar ratio for GC=F, currently valued at 3.83, compared to the broader market0.001.002.003.003.832.84
The chart of Martin ratio for GC=F, currently valued at 11.40, compared to the broader market0.002.004.006.008.0010.0011.4012.50
GC=F
^GSPC

The current GC=F Sharpe Ratio is 2.18, which is comparable to the ^GSPC Sharpe Ratio of 2.46. 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.18
2.00
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
-4.51%
-1.40%
GC=F
^GSPC

Volatility

GC=F vs. ^GSPC - Volatility Comparison

Gold (GC=F) has a higher volatility of 5.30% compared to S&P 500 (^GSPC) at 3.94%. 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
5.30%
3.94%
GC=F
^GSPC