^GVZ vs. GLD
^GVZ (CBOE Gold Volatility Index) is an index, while GLD (SPDR Gold Shares) is Gold fund tracking the LBMA Gold Price PM. Over the past 10 years, ^GVZ returned 3.97%/yr vs 11.11%/yr for GLD. At a 0.08 correlation, their price movements are largely independent.
Performance
^GVZ vs. GLD - Performance Comparison
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Returns By Period
In the year-to-date period, ^GVZ achieves a 13.71% return, which is significantly higher than GLD's -7.05% return. Over the past 10 years, ^GVZ has underperformed GLD with an annualized return of 3.97%, while GLD has yielded a comparatively higher 11.11% annualized return.
^GVZ
- 1D
- -1.81%
- 1M
- 9.19%
- YTD
- 13.71%
- 6M
- 9.54%
- 1Y
- 57.13%
- 3Y*
- 31.21%
- 5Y*
- 11.48%
- 10Y*
- 3.97%
GLD
- 1D
- -0.05%
- 1M
- -11.68%
- YTD
- -7.05%
- 6M
- -7.65%
- 1Y
- 20.85%
- 3Y*
- 27.37%
- 5Y*
- 17.26%
- 10Y*
- 11.11%
^GVZ vs. GLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GVZ CBOE Gold Volatility Index | 13.71% | 63.61% | -7.76% | -2.46% | 11.23% | -29.73% | 64.61% | -6.31% | 22.99% | -32.47% |
GLD SPDR Gold Shares | -7.05% | 63.68% | 26.66% | 12.69% | -0.77% | -4.15% | 24.81% | 17.86% | -1.94% | 12.81% |
Correlation
The correlation between ^GVZ and GLD is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.33 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.23 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.21 |
Correlation (All Time) Calculated using the full available price history since Jun 3, 2008 | 0.08 |
The correlation between ^GVZ and GLD shifts across timeframes, from 0.08 (all time) to 0.33 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
^GVZ vs. GLD — Risk / Return Rank
^GVZ
GLD
^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^GVZ | GLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.54 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.16 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.19 | 0.80 | +0.39 |
| Martin ratioReturn relative to average drawdown | 2.08 | 2.14 | -0.06 |
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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.
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Drawdown Indicators
| ^GVZ | GLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -86.24% | -45.56% | -40.68% |
Max Drawdown (1Y)Largest decline over 1 year | -48.15% | -26.21% | -21.94% |
Max Drawdown (3Y)Largest decline over 3 years | -48.15% | -26.21% | -21.94% |
Max Drawdown (5Y)Largest decline over 5 years | -67.76% | -26.21% | -41.55% |
Max Drawdown (10Y)Largest decline over 10 years | -79.13% | -26.21% | -52.92% |
Current DrawdownCurrent decline from peak | -57.85% | -25.71% | -32.14% |
Average DrawdownAverage peak-to-trough decline | -69.86% | -16.17% | -53.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 27.56% | 9.78% | +17.78% |
Volatility
^GVZ vs. GLD - Volatility Comparison
CBOE Gold Volatility Index (^GVZ) has a higher volatility of 38.28% compared to SPDR Gold Shares (GLD) at 8.57%. 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.
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Volatility by Period
| ^GVZ | GLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 38.28% | 8.57% | +29.71% |
Volatility (6M)Calculated over the trailing 6-month period | 74.32% | 24.46% | +49.86% |
Volatility (1Y)Calculated over the trailing 1-year period | 95.36% | 27.70% | +67.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 79.87% | 18.31% | +61.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 83.77% | 16.07% | +67.70% |
Frequently Asked Questions
^GVZ and GLD have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GVZ has higher volatility (38.28%) compared to GLD (8.57%). In terms of maximum drawdown, ^GVZ dropped -86.24% vs GLD's -45.56%.
GLD currently has the higher Sharpe Ratio (0.76 vs 0.60), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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