FNMA vs. GLD
FNMA (Federal National Mortgage Association) is a stock, while GLD (SPDR Gold Shares) is Gold fund tracking the LBMA Gold Price PM. Over the past 10 years, FNMA returned 12.27%/yr vs 12.15%/yr for GLD. At a 0.01 correlation, their price movements are largely independent.
Performance
FNMA vs. GLD - Performance Comparison
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Returns By Period
In the year-to-date period, FNMA achieves a -39.52% return, which is significantly lower than GLD's -2.47% return. Both investments have delivered pretty close results over the past 10 years, with FNMA having a 12.27% annualized return and GLD not far behind at 12.15%.
FNMA
- 1D
- 2.72%
- 1M
- -16.90%
- YTD
- -39.52%
- 6M
- -39.35%
- 1Y
- -32.56%
- 3Y*
- 145.80%
- 5Y*
- 22.01%
- 10Y*
- 12.27%
GLD
- 1D
- 0.06%
- 1M
- -7.37%
- YTD
- -2.47%
- 6M
- -2.25%
- 1Y
- 22.21%
- 3Y*
- 28.89%
- 5Y*
- 17.08%
- 10Y*
- 12.15%
FNMA vs. GLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FNMA Federal National Mortgage Association | -39.52% | 227.13% | 206.54% | 202.77% | -56.90% | -65.69% | -23.40% | 194.34% | -60.00% | -32.05% |
GLD SPDR Gold Shares | -2.47% | 63.68% | 26.66% | 12.69% | -0.77% | -4.15% | 24.81% | 17.86% | -1.94% | 12.81% |
Correlation
The correlation between FNMA and GLD is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.01 |
Correlation (All Time) Calculated using the full available price history since Nov 18, 2004 | 0.01 |
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Return for Risk
FNMA vs. GLD — Risk / Return Rank
FNMA
GLD
FNMA vs. GLD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Federal National Mortgage Association (FNMA) 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.
| FNMA | GLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.24 | ||
| Sortino ratioReturn per unit of downside risk | -1.28 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.18 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | -0.49 | 0.98 | -1.47 |
| Martin ratioReturn relative to average drawdown | -0.91 | 2.81 | -3.72 |
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Drawdowns
FNMA vs. GLD - Drawdown Comparison
The maximum FNMA drawdown since its inception was -99.74%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for FNMA and GLD.
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Drawdown Indicators
| FNMA | GLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.74% | -45.56% | -54.18% |
Max Drawdown (1Y)Largest decline over 1 year | -69.76% | -24.46% | -45.30% |
Max Drawdown (3Y)Largest decline over 3 years | -69.76% | -24.46% | -45.30% |
Max Drawdown (5Y)Largest decline over 5 years | -84.50% | -24.46% | -60.04% |
Max Drawdown (10Y)Largest decline over 10 years | -92.13% | -24.46% | -67.67% |
Current DrawdownCurrent decline from peak | -91.14% | -22.05% | -69.09% |
Average DrawdownAverage peak-to-trough decline | -46.18% | -16.16% | -30.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 37.56% | 8.49% | +29.07% |
Volatility
FNMA vs. GLD - Volatility Comparison
Federal National Mortgage Association (FNMA) has a higher volatility of 18.31% compared to SPDR Gold Shares (GLD) at 7.79%. This indicates that FNMA'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
| FNMA | GLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 18.31% | 7.79% | +10.52% |
Volatility (6M)Calculated over the trailing 6-month period | 66.11% | 24.10% | +42.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 93.38% | 27.37% | +66.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 91.93% | 18.22% | +73.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 81.90% | 16.08% | +65.82% |
Dividends
FNMA vs. GLD - Dividend Comparison
Neither FNMA nor GLD has paid dividends to shareholders.
Frequently Asked Questions
FNMA and GLD have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FNMA has higher volatility (18.31%) compared to GLD (7.79%). In terms of maximum drawdown, FNMA dropped -99.74% vs GLD's -45.56%.
GLD currently has the higher Sharpe Ratio (0.87 vs -0.37), 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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