^GVZ vs. GLD

Last updated Apr 1, 2026

Compare and contrast key facts about CBOE Gold Volatility Index (^GVZ) and SPDR Gold Shares (GLD).

GLD is a passively managed fund by State Street that tracks the performance of the LBMA Gold Price PM. It was launched on Nov 18, 2004.

Performance

^GVZ vs. GLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE Gold Volatility Index (^GVZ) and SPDR Gold Shares (GLD). The values are adjusted to include any dividend payments, if applicable.

^GVZ vs. GLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^GVZ CBOE Gold Volatility Index	62.58%	63.61%	-7.76%	-2.46%	11.23%	-29.73%	64.61%	-6.31%	22.99%	-32.47%
GLD SPDR Gold Shares	8.57%	63.68%	26.66%	12.69%	-0.77%	-4.15%	24.81%	17.86%	-1.94%	12.81%

Returns By Period

In the year-to-date period, ^GVZ achieves a 62.58% return, which is significantly higher than GLD's 8.57% return. Over the past 10 years, ^GVZ has underperformed GLD with an annualized return of 7.98%, while GLD has yielded a comparatively higher 13.92% annualized return.

^GVZ

• 1D: -8.94%
• 1M: 17.03%
• YTD: 62.58%
• 6M: 94.94%
• 1Y: 117.99%
• 3Y*: 30.97%
• 5Y*: 18.36%
• 10Y*: 7.98%

GLD

• 1D: 3.79%
• 1M: -11.05%
• YTD: 8.57%
• 6M: 21.05%
• 1Y: 49.33%
• 3Y*: 32.92%
• 5Y*: 21.58%
• 10Y*: 13.92%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^GVZ vs. GLD — Risk / Return Rank

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

^GVZ

^GVZ Risk / Return Rank: 82
^GVZ Sharpe Ratio Rank: 81
^GVZ Sortino Ratio Rank: 92
^GVZ Omega Ratio Rank: 81
^GVZ Calmar Ratio Rank: 91
^GVZ Martin Ratio Rank: 64

GLD

GLD Risk / Return Rank: 87
GLD Sharpe Ratio Rank: 88
GLD Sortino Ratio Rank: 86
GLD Omega Ratio Rank: 86
GLD Calmar Ratio Rank: 89
GLD Martin Ratio Rank: 87

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^GVZ vs. GLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE Gold Volatility Index (^GVZ) and SPDR Gold Shares (GLD). 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.

	^GVZ	GLD	Difference
Sharpe ratio Return per unit of total volatility	1.17	1.79	-0.61
Sortino ratio Return per unit of downside risk	2.25	2.21	+0.04
Omega ratio Gain probability vs. loss probability	1.24	1.33	-0.09
Calmar ratio Return relative to maximum drawdown	2.85	2.68	+0.17
Martin ratio Return relative to average drawdown	4.49	9.90	-5.42
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^GVZ vs. GLD - Sharpe Ratio Comparison

The current ^GVZ Sharpe Ratio is 1.17, which is lower than the GLD Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of ^GVZ and GLD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^GVZ	GLD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.17	1.79	-0.61
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.24	1.22	-0.99
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.10	0.88	-0.78
Sharpe Ratio (All Time) Calculated using the full available price history	0.03	0.62	-0.59

Correlation

The correlation between ^GVZ and GLD is 0.09, 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.

Drawdowns

^GVZ vs. GLD - Drawdown Comparison

The maximum ^GVZ drawdown since its inception was -86.24%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for ^GVZ and GLD.

Drawdown Indicators

	^GVZ	GLD	Difference
Max Drawdown Largest peak-to-trough decline	-86.24%	-45.56%	-40.68%
Max Drawdown (1Y) Largest decline over 1 year	-47.89%	-19.21%	-28.68%
Max Drawdown (5Y) Largest decline over 5 years	-67.76%	-21.03%	-46.73%
Max Drawdown (10Y) Largest decline over 10 years	-79.13%	-22.00%	-57.13%
Current Drawdown Current decline from peak	-39.73%	-13.23%	-26.50%
Average Drawdown Average peak-to-trough decline	-70.06%	-16.17%	-53.89%
Ulcer Index Depth and duration of drawdowns from previous peaks	30.38%	5.20%	+25.18%

Volatility

^GVZ vs. GLD - Volatility Comparison

CBOE Gold Volatility Index (^GVZ) has a higher volatility of 38.63% compared to SPDR Gold Shares (GLD) at 11.06%. This indicates that ^GVZ's price experiences larger fluctuations and is considered to be riskier than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^GVZ	GLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	38.63%	11.06%	+27.57%
Volatility (6M) Calculated over the trailing 6-month period	73.41%	24.30%	+49.11%
Volatility (1Y) Calculated over the trailing 1-year period	101.32%	27.80%	+73.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	77.94%	17.74%	+60.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	83.32%	15.87%	+67.45%