GLD vs. ^GVZ

Last updated Apr 4, 2026

Compare and contrast key facts about SPDR Gold Shares (GLD) and CBOE Gold Volatility Index (^GVZ).

GLD is a passively managed fund by State Street that tracks the performance of the LBMA Gold Price PM. It was launched on Nov 18, 2004.

Performance

GLD vs. ^GVZ - Performance Comparison

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

GLD vs. ^GVZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GLD SPDR Gold Shares	8.35%	63.68%	26.66%	12.69%	-0.77%	-4.15%	24.81%	17.86%	-1.94%	12.81%
^GVZ CBOE Gold Volatility Index	58.24%	63.61%	-7.76%	-2.46%	11.23%	-29.73%	64.61%	-6.31%	22.99%	-32.47%

Returns By Period

In the year-to-date period, GLD achieves a 8.35% return, which is significantly lower than ^GVZ's 58.24% return. Over the past 10 years, GLD has outperformed ^GVZ with an annualized return of 13.97%, while ^GVZ has yielded a comparatively lower 7.75% annualized return.

GLD

• 1D: -1.92%
• 1M: -8.98%
• YTD: 8.35%
• 6M: 20.07%
• 1Y: 49.92%
• 3Y*: 32.51%
• 5Y*: 21.53%
• 10Y*: 13.97%

^GVZ

• 1D: 4.82%
• 1M: 3.76%
• YTD: 58.24%
• 6M: 114.33%
• 1Y: 106.15%
• 3Y*: 27.53%
• 5Y*: 17.72%
• 10Y*: 7.75%

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

Return for Risk

GLD vs. ^GVZ — Risk / Return Rank

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

GLD

GLD Risk / Return Rank: 78
GLD Sharpe Ratio Rank: 85
GLD Sortino Ratio Rank: 81
GLD Omega Ratio Rank: 80
GLD Calmar Ratio Rank: 74
GLD Martin Ratio Rank: 71

^GVZ

^GVZ Risk / Return Rank: 72
^GVZ Sharpe Ratio Rank: 77
^GVZ Sortino Ratio Rank: 88
^GVZ Omega Ratio Rank: 77
^GVZ Calmar Ratio Rank: 80
^GVZ Martin Ratio Rank: 39

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.

GLD vs. ^GVZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Gold Shares (GLD) and CBOE Gold Volatility Index (^GVZ). 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.

	GLD	^GVZ	Difference
Sharpe ratio Return per unit of total volatility	1.77	1.10	+0.66
Sortino ratio Return per unit of downside risk	2.19	2.19	+0.01
Omega ratio Gain probability vs. loss probability	1.32	1.23	+0.09
Calmar ratio Return relative to maximum drawdown	2.57	2.31	+0.25
Martin ratio Return relative to average drawdown	9.28	3.64	+5.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GLD vs. ^GVZ - Sharpe Ratio Comparison

The current GLD Sharpe Ratio is 1.77, which is higher than the ^GVZ Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of GLD and ^GVZ, 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

	GLD	^GVZ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.77	1.10	+0.66
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.22	0.23	+0.99
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.88	0.09	+0.79
Sharpe Ratio (All Time) Calculated using the full available price history	0.62	0.03	+0.59

Correlation

The correlation between GLD and ^GVZ is 0.09, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Drawdowns

GLD vs. ^GVZ - Drawdown Comparison

The maximum GLD drawdown since its inception was -45.56%, smaller than the maximum ^GVZ drawdown of -86.24%. Use the drawdown chart below to compare losses from any high point for GLD and ^GVZ.

Drawdown Indicators

	GLD	^GVZ	Difference
Max Drawdown Largest peak-to-trough decline	-45.56%	-86.24%	+40.68%
Max Drawdown (1Y) Largest decline over 1 year	-19.21%	-47.89%	+28.68%
Max Drawdown (5Y) Largest decline over 5 years	-21.03%	-67.76%	+46.73%
Max Drawdown (10Y) Largest decline over 10 years	-22.00%	-79.13%	+57.13%
Current Drawdown Current decline from peak	-13.41%	-41.35%	+27.94%
Average Drawdown Average peak-to-trough decline	-16.17%	-70.05%	+53.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.32%	30.43%	-25.11%

Volatility

GLD vs. ^GVZ - Volatility Comparison

The current volatility for SPDR Gold Shares (GLD) is 10.54%, while CBOE Gold Volatility Index (^GVZ) has a volatility of 37.67%. This indicates that GLD experiences smaller price fluctuations and is considered to be less risky than ^GVZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GLD	^GVZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.54%	37.67%	-27.13%
Volatility (6M) Calculated over the trailing 6-month period	24.43%	73.71%	-49.28%
Volatility (1Y) Calculated over the trailing 1-year period	27.89%	101.39%	-73.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.76%	78.00%	-60.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.89%	83.33%	-67.44%