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^XAU vs. GLD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^XAU and GLD is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.7

Performance

^XAU vs. GLD - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember2025
-0.37%
13.73%
^XAU
GLD

Key characteristics

Sharpe Ratio

^XAU:

1.06

GLD:

2.33

Sortino Ratio

^XAU:

1.56

GLD:

3.02

Omega Ratio

^XAU:

1.19

GLD:

1.40

Calmar Ratio

^XAU:

0.61

GLD:

4.32

Martin Ratio

^XAU:

3.72

GLD:

11.69

Ulcer Index

^XAU:

8.96%

GLD:

3.00%

Daily Std Dev

^XAU:

31.54%

GLD:

15.12%

Max Drawdown

^XAU:

-83.04%

GLD:

-45.56%

Current Drawdown

^XAU:

-34.41%

GLD:

-1.70%

Returns By Period

In the year-to-date period, ^XAU achieves a 9.46% return, which is significantly higher than GLD's 4.54% return. Over the past 10 years, ^XAU has underperformed GLD with an annualized return of 6.75%, while GLD has yielded a comparatively higher 7.40% annualized return.


^XAU

YTD

9.46%

1M

7.86%

6M

-0.36%

1Y

33.24%

5Y*

7.88%

10Y*

6.75%

GLD

YTD

4.54%

1M

4.56%

6M

13.73%

1Y

35.20%

5Y*

11.51%

10Y*

7.40%

*Annualized

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^XAU vs. GLD — Risk-Adjusted Performance Rank

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

^XAU
The Risk-Adjusted Performance Rank of ^XAU is 5050
Overall Rank
The Sharpe Ratio Rank of ^XAU is 5252
Sharpe Ratio Rank
The Sortino Ratio Rank of ^XAU is 5454
Sortino Ratio Rank
The Omega Ratio Rank of ^XAU is 4949
Omega Ratio Rank
The Calmar Ratio Rank of ^XAU is 4444
Calmar Ratio Rank
The Martin Ratio Rank of ^XAU is 4848
Martin Ratio Rank

GLD
The Risk-Adjusted Performance Rank of GLD is 8484
Overall Rank
The Sharpe Ratio Rank of GLD is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of GLD is 8383
Sortino Ratio Rank
The Omega Ratio Rank of GLD is 8282
Omega Ratio Rank
The Calmar Ratio Rank of GLD is 9292
Calmar Ratio Rank
The Martin Ratio Rank of GLD is 7979
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.

^XAU vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Philadelphia Gold and Silver Index (^XAU) and SPDR Gold Trust (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.


Sharpe ratio
The chart of Sharpe ratio for ^XAU, currently valued at 1.06, compared to the broader market-0.500.000.501.001.502.002.501.062.33
The chart of Sortino ratio for ^XAU, currently valued at 1.56, compared to the broader market0.001.002.003.001.563.02
The chart of Omega ratio for ^XAU, currently valued at 1.19, compared to the broader market1.001.201.401.601.191.40
The chart of Calmar ratio for ^XAU, currently valued at 0.60, compared to the broader market0.001.002.003.004.000.614.32
The chart of Martin ratio for ^XAU, currently valued at 3.72, compared to the broader market0.005.0010.0015.0020.003.7211.69
^XAU
GLD

The current ^XAU Sharpe Ratio is 1.06, which is lower than the GLD Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of ^XAU 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00AugustSeptemberOctoberNovemberDecember2025
1.06
2.33
^XAU
GLD

Drawdowns

^XAU vs. GLD - Drawdown Comparison

The maximum ^XAU drawdown since its inception was -83.04%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for ^XAU and GLD. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-34.41%
-1.70%
^XAU
GLD

Volatility

^XAU vs. GLD - Volatility Comparison

Philadelphia Gold and Silver Index (^XAU) has a higher volatility of 8.72% compared to SPDR Gold Trust (GLD) at 3.94%. This indicates that ^XAU'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.


2.00%4.00%6.00%8.00%10.00%AugustSeptemberOctoberNovemberDecember2025
8.72%
3.94%
^XAU
GLD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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