^GVZ vs. XAUUSD=X

Last updated Jun 10, 2026

^GVZ (CBOE Gold Volatility Index) is an index, while XAUUSD=X (Gold Spot Price US Dollar) is a currency. Over the past 10 years, ^GVZ returned 3.17%/yr vs 12.71%/yr for XAUUSD=X. At a 0.07 correlation, their price movements are largely independent.

Performance

^GVZ vs. XAUUSD=X - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE Gold Volatility Index (^GVZ) and Gold Spot Price US Dollar (XAUUSD=X). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^GVZ achieves a 17.22% return, which is significantly higher than XAUUSD=X's -2.54% return. Over the past 10 years, ^GVZ has underperformed XAUUSD=X with an annualized return of 3.17%, while XAUUSD=X has yielded a comparatively higher 12.71% annualized return.

^GVZ

• 1D: 3.20%
• 1M: 5.89%
• YTD: 17.22%
• 6M: 37.79%
• 1Y: 44.16%
• 3Y*: 27.00%
• 5Y*: 12.59%
• 10Y*: 3.17%

XAUUSD=X

• 1D: -2.70%
• 1M: -10.00%
• YTD: -2.54%
• 6M: 0.12%
• 1Y: 26.67%
• 3Y*: 29.04%
• 5Y*: 17.29%
• 10Y*: 12.71%

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

^GVZ vs. XAUUSD=X - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^GVZ CBOE Gold Volatility Index	17.22%	63.61%	-7.76%	-2.46%	11.23%	-29.73%	64.61%	-6.31%	22.99%	-32.47%
XAUUSD=X Gold Spot Price US Dollar	-2.54%	64.75%	27.24%	13.14%	-0.25%	-3.50%	24.55%	18.77%	-1.71%	13.14%

Correlation

The correlation between ^GVZ and XAUUSD=X is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.22
Correlation (3Y) Calculated over the trailing 3-year period	0.32
Correlation (5Y) Calculated over the trailing 5-year period	0.21
Correlation (10Y) Calculated over the trailing 10-year period	0.20
Correlation (All Time) Calculated using the full available price history since Jun 3, 2008	0.07

The correlation between ^GVZ and XAUUSD=X shifts across timeframes, from 0.07 (all time) to 0.32 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

^GVZ vs. XAUUSD=X — Risk / Return Rank

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

^GVZ

^GVZ Risk / Return Rank: 34
^GVZ Sharpe Ratio Rank: 30
^GVZ Sortino Ratio Rank: 40
^GVZ Omega Ratio Rank: 35
^GVZ Calmar Ratio Rank: 33
^GVZ Martin Ratio Rank: 30

XAUUSD=X

XAUUSD=X Risk / Return Rank: 79
XAUUSD=X Sharpe Ratio Rank: 81
XAUUSD=X Sortino Ratio Rank: 80
XAUUSD=X Omega Ratio Rank: 83
XAUUSD=X Calmar Ratio Rank: 75
XAUUSD=X Martin Ratio Rank: 75

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. XAUUSD=X - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE Gold Volatility Index (^GVZ) and Gold Spot Price US Dollar (XAUUSD=X). 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	XAUUSD=X	Difference
Sharpe ratio: Return per unit of total volatility	0.49	0.91	-0.43
Sortino ratio: Return per unit of downside risk	1.47	1.27	+0.20
Omega ratio: Gain probability vs. loss probability	1.15	1.19	-0.04
Calmar ratio: Return relative to maximum drawdown	0.92	0.95	-0.02
Martin ratio: Return relative to average drawdown	1.61	2.56	-0.94
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. XAUUSD=X - Sharpe Ratio Comparison

The current ^GVZ Sharpe Ratio is 0.49, which is lower than the XAUUSD=X Sharpe Ratio of 0.91. The chart below compares the historical Sharpe Ratios of ^GVZ and XAUUSD=X, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^GVZ	XAUUSD=X	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.49	0.91	-0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.16	0.93	-0.77
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.04	0.78	-0.75
Sharpe Ratio (All Time) Calculated using the full available price history	0.01	0.57	-0.56

Drawdowns

^GVZ vs. XAUUSD=X - Drawdown Comparison

The maximum ^GVZ drawdown since its inception was -86.24%, which is greater than XAUUSD=X's maximum drawdown of -44.69%. Use the drawdown chart below to compare losses from any high point for ^GVZ and XAUUSD=X.

Drawdown Indicators

	^GVZ	XAUUSD=X	Difference
Max Drawdown Largest peak-to-trough decline	-86.24%	-44.69%	-41.55%
Max Drawdown (1Y) Largest decline over 1 year	-48.15%	-22.25%	-25.90%
Max Drawdown (3Y) Largest decline over 3 years	-48.15%	-22.25%	-25.90%
Max Drawdown (5Y) Largest decline over 5 years	-67.76%	-22.25%	-45.51%
Max Drawdown (10Y) Largest decline over 10 years	-79.13%	-22.25%	-56.88%
Current Drawdown Current decline from peak	-56.55%	-22.25%	-34.30%
Average Drawdown Average peak-to-trough decline	-69.90%	-16.43%	-53.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	27.43%	9.06%	+18.37%

Volatility

^GVZ vs. XAUUSD=X - Volatility Comparison

CBOE Gold Volatility Index (^GVZ) has a higher volatility of 23.74% compared to Gold Spot Price US Dollar (XAUUSD=X) at 5.77%. This indicates that ^GVZ's price experiences larger fluctuations and is considered to be riskier than XAUUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^GVZ	XAUUSD=X	Difference
Volatility (1M) Calculated over the trailing 1-month period	23.74%	5.77%	+17.97%
Volatility (6M) Calculated over the trailing 6-month period	70.22%	21.78%	+48.44%
Volatility (1Y) Calculated over the trailing 1-year period	91.10%	23.00%	+68.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	78.83%	16.62%	+62.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	83.46%	15.13%	+68.33%

Frequently Asked Questions

Can I hold both ^GVZ and XAUUSD=X in my portfolio?

^GVZ and XAUUSD=X have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^GVZ or XAUUSD=X?

^GVZ has higher volatility (23.74%) compared to XAUUSD=X (5.77%). In terms of maximum drawdown, ^GVZ dropped -86.24% vs XAUUSD=X's -44.69%.

Which has better risk-adjusted returns?

XAUUSD=X currently has the higher Sharpe Ratio (0.91 vs 0.49), 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.