DGZ vs. GLD
DGZ (DB Gold Short Exchange Traded Notes) and GLD (SPDR Gold Shares) are both exchange-traded funds - DGZ is a Inverse Commodities fund tracking the Deutsche Bank Liquid Commodity Index - Optimum Yield Gold Excess Return (-100%), while GLD is a Gold fund tracking the LBMA Gold Price PM. Both are passively managed. Over the past 10 years, DGZ returned -7.63%/yr vs 11.21%/yr for GLD. At a correlation of -0.83, they often move in opposite directions. DGZ charges 0.75%/yr vs 0.40%/yr for GLD.
Performance
DGZ vs. GLD - Performance Comparison
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Returns By Period
In the year-to-date period, DGZ achieves a 7.37% return, which is significantly higher than GLD's -7.36% return. Over the past 10 years, DGZ has underperformed GLD with an annualized return of -7.63%, while GLD has yielded a comparatively higher 11.21% annualized return.
DGZ
- 1D
- 1.32%
- 1M
- 6.28%
- 6M
- 12.88%
- YTD
- 7.37%
- 1Y
- -11.14%
- 3Y*
- -15.55%
- 5Y*
- -9.77%
- 10Y*
- -7.63%
GLD
- 1D
- -2.62%
- 1M
- -5.02%
- 6M
- -13.05%
- YTD
- -7.36%
- 1Y
- 18.76%
- 3Y*
- 26.48%
- 5Y*
- 16.50%
- 10Y*
- 11.21%
DGZ vs. GLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DGZ DB Gold Short Exchange Traded Notes | 7.37% | -32.55% | -16.46% | -4.75% | 4.93% | 1.53% | -20.80% | -13.42% | 4.88% | -11.36% |
GLD SPDR Gold Shares | -7.36% | 63.68% | 26.66% | 12.69% | -0.77% | -4.15% | 24.81% | 17.86% | -1.94% | 12.81% |
Correlation
The correlation between DGZ and GLD is -0.36, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.43 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.56 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.68 |
Correlation (All Time) Calculated using the full available price history since Feb 29, 2008 | -0.83 |
Over the past year, the inverse relationship between DGZ and GLD has weakened: their correlation has moved from -0.83 to -0.36, meaning they move in opposite directions less often than they have historically.
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Return for Risk
DGZ vs. GLD — Risk / Return Rank
DGZ
GLD
DGZ vs. GLD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DB Gold Short Exchange Traded Notes (DGZ) 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.
| DGZ | GLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.83 | ||
| Sortino ratioReturn per unit of downside risk | -0.74 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.15 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | -0.31 | 0.72 | -1.03 |
| Martin ratioReturn relative to average drawdown | -0.55 | 1.76 | -2.31 |
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Drawdowns
DGZ vs. GLD - Drawdown Comparison
The maximum DGZ drawdown since its inception was -86.32%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for DGZ and GLD.
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Drawdown Indicators
| DGZ | GLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -86.32% | -45.56% | -40.76% |
Max Drawdown (1Y)Largest decline over 1 year | -36.14% | -26.21% | -9.93% |
Max Drawdown (3Y)Largest decline over 3 years | -59.54% | -26.21% | -33.33% |
Max Drawdown (5Y)Largest decline over 5 years | -61.54% | -26.21% | -35.33% |
Max Drawdown (10Y)Largest decline over 10 years | -71.49% | -26.21% | -45.28% |
Current DrawdownCurrent decline from peak | -81.61% | -25.97% | -55.64% |
Average DrawdownAverage peak-to-trough decline | -57.86% | -16.19% | -41.67% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.16% | 10.69% | +9.47% |
Volatility
DGZ vs. GLD - Volatility Comparison
DB Gold Short Exchange Traded Notes (DGZ) has a higher volatility of 24.11% compared to SPDR Gold Shares (GLD) at 7.58%. This indicates that DGZ'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
| DGZ | GLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 24.11% | 7.58% | +16.53% |
Volatility (6M)Calculated over the trailing 6-month period | 58.97% | 24.18% | +34.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 70.25% | 27.96% | +42.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.88% | 18.39% | +18.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.40% | 16.10% | +12.30% |
DGZ vs. GLD - Expense Ratio Comparison
DGZ has a 0.75% expense ratio, which is higher than GLD's 0.40% expense ratio.
Dividends
DGZ vs. GLD - Dividend Comparison
Neither DGZ nor GLD has paid dividends to shareholders.
Frequently Asked Questions
DGZ and GLD have a correlation of -0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DGZ has higher volatility (24.11%) compared to GLD (7.58%). In terms of maximum drawdown, DGZ dropped -86.32% vs GLD's -45.56%.
On 10-year performance, GLD leads with 11.21% vs -7.63% for DGZ. On fees, GLD is cheaper at 0.40% per year. On volatility, GLD has been the lower-risk option at 7.58%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GLD has performed better with a 11.21% return vs -7.63%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GLD is cheaper with a 0.40% expense ratio, compared with 0.75% for DGZ.
DGZ and GLD have nearly identical dividend yields, around 0.00%.
DGZ is categorized as Inverse Commodities, while GLD is Gold. DGZ tracks Deutsche Bank Liquid Commodity Index - Optimum Yield Gold Excess Return (-100%), while GLD tracks LBMA Gold Price PM. They also come from different issuers: Deutsche Bank and State Street. Their fees differ too: 0.75% for DGZ and 0.40% for GLD.
GLD currently has the higher Sharpe Ratio (0.68 vs -0.16), 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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