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

Correlation

The correlation between ^GSPC and GC=F is -0.00. 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.


Performance

^GSPC vs. GC=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 (^GSPC) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^GSPC:

0.62

GC=F:

2.33

Sortino Ratio

^GSPC:

0.94

GC=F:

2.97

Omega Ratio

^GSPC:

1.14

GC=F:

1.40

Calmar Ratio

^GSPC:

0.61

GC=F:

5.33

Martin Ratio

^GSPC:

2.29

GC=F:

14.57

Ulcer Index

^GSPC:

5.01%

GC=F:

2.92%

Daily Std Dev

^GSPC:

19.79%

GC=F:

18.22%

Max Drawdown

^GSPC:

-56.78%

GC=F:

-44.36%

Current Drawdown

^GSPC:

-3.78%

GC=F:

-2.10%

Returns By Period

In the year-to-date period, ^GSPC achieves a 0.52% return, which is significantly lower than GC=F's 27.03% return. Both investments have delivered pretty close results over the past 10 years, with ^GSPC having a 10.84% annualized return and GC=F not far ahead at 10.89%.


^GSPC

YTD

0.52%

1M

6.32%

6M

-1.44%

1Y

12.25%

3Y*

12.45%

5Y*

14.20%

10Y*

10.84%

GC=F

YTD

27.03%

1M

0.63%

6M

26.51%

1Y

42.71%

3Y*

21.73%

5Y*

13.97%

10Y*

10.89%

*Annualized

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S&P 500

Gold

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

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

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

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6666
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6060
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6565
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6464
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7070
Martin Ratio Rank

GC=F
The Risk-Adjusted Performance Rank of GC=F is 100100
Overall Rank
The Sharpe Ratio Rank of GC=F is 100100
Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 100100
Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 100100
Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 100100
Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 100100
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.

^GSPC vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Gold (GC=F). 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 current ^GSPC Sharpe Ratio is 0.62, which is lower than the GC=F Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of ^GSPC and GC=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

^GSPC vs. GC=F - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for ^GSPC and GC=F.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

^GSPC vs. GC=F - Volatility Comparison

The current volatility for S&P 500 (^GSPC) is 4.76%, while Gold (GC=F) has a volatility of 7.39%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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