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GLD vs. GDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GLD and GDX is 0.06, 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.


Performance

GLD vs. GDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Gold Trust (GLD) and VanEck Vectors Gold Miners ETF (GDX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

GLD:

1.90

GDX:

0.92

Sortino Ratio

GLD:

2.66

GDX:

1.41

Omega Ratio

GLD:

1.34

GDX:

1.18

Calmar Ratio

GLD:

4.30

GDX:

0.73

Martin Ratio

GLD:

11.04

GDX:

3.43

Ulcer Index

GLD:

3.16%

GDX:

9.44%

Daily Std Dev

GLD:

17.84%

GDX:

34.58%

Max Drawdown

GLD:

-45.56%

GDX:

-80.57%

Current Drawdown

GLD:

-6.77%

GDX:

-20.96%

Returns By Period

In the year-to-date period, GLD achieves a 21.52% return, which is significantly lower than GDX's 36.63% return. Both investments have delivered pretty close results over the past 10 years, with GLD having a 9.78% annualized return and GDX not far ahead at 9.83%.


GLD

YTD

21.52%

1M

-3.88%

6M

24.37%

1Y

31.56%

5Y*

12.62%

10Y*

9.78%

GDX

YTD

36.63%

1M

-9.01%

6M

32.00%

1Y

27.13%

5Y*

6.66%

10Y*

9.83%

*Annualized

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GLD vs. GDX - Expense Ratio Comparison

GLD has a 0.40% expense ratio, which is lower than GDX's 0.53% expense ratio.


Risk-Adjusted Performance

GLD vs. GDX — Risk-Adjusted Performance Rank

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

GLD
The Risk-Adjusted Performance Rank of GLD is 9595
Overall Rank
The Sharpe Ratio Rank of GLD is 9595
Sharpe Ratio Rank
The Sortino Ratio Rank of GLD is 9494
Sortino Ratio Rank
The Omega Ratio Rank of GLD is 9292
Omega Ratio Rank
The Calmar Ratio Rank of GLD is 9797
Calmar Ratio Rank
The Martin Ratio Rank of GLD is 9595
Martin Ratio Rank

GDX
The Risk-Adjusted Performance Rank of GDX is 7575
Overall Rank
The Sharpe Ratio Rank of GDX is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of GDX is 7979
Sortino Ratio Rank
The Omega Ratio Rank of GDX is 7474
Omega Ratio Rank
The Calmar Ratio Rank of GDX is 6868
Calmar Ratio Rank
The Martin Ratio Rank of GDX is 7676
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.

GLD vs. GDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Gold Trust (GLD) and VanEck Vectors Gold Miners ETF (GDX). 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.


The current GLD Sharpe Ratio is 1.90, which is higher than the GDX Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of GLD and GDX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

GLD vs. GDX - Dividend Comparison

GLD has not paid dividends to shareholders, while GDX's dividend yield for the trailing twelve months is around 0.87%.


TTM20242023202220212020201920182017201620152014
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GDX
VanEck Vectors Gold Miners ETF
0.87%1.19%1.61%1.66%1.67%0.53%0.65%0.50%0.76%0.26%0.85%0.66%

Drawdowns

GLD vs. GDX - Drawdown Comparison

The maximum GLD drawdown since its inception was -45.56%, smaller than the maximum GDX drawdown of -80.57%. Use the drawdown chart below to compare losses from any high point for GLD and GDX. For additional features, visit the drawdowns tool.


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Volatility

GLD vs. GDX - Volatility Comparison

The current volatility for SPDR Gold Trust (GLD) is 8.43%, while VanEck Vectors Gold Miners ETF (GDX) has a volatility of 12.95%. This indicates that GLD experiences smaller price fluctuations and is considered to be less risky than GDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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