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

Correlation

The correlation between GLD and GOLD 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. GOLD - Performance Comparison

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

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Key characteristics

Sharpe Ratio

GLD:

1.98

GOLD:

0.11

Sortino Ratio

GLD:

2.85

GOLD:

0.52

Omega Ratio

GLD:

1.36

GOLD:

1.06

Calmar Ratio

GLD:

4.68

GOLD:

0.10

Martin Ratio

GLD:

11.90

GOLD:

0.53

Ulcer Index

GLD:

3.19%

GOLD:

12.87%

Daily Std Dev

GLD:

17.89%

GOLD:

35.73%

Max Drawdown

GLD:

-45.56%

GOLD:

-88.51%

Current Drawdown

GLD:

-3.81%

GOLD:

-57.90%

Returns By Period

In the year-to-date period, GLD achieves a 25.38% return, which is significantly higher than GOLD's 18.08% return. Over the past 10 years, GLD has outperformed GOLD with an annualized return of 10.14%, while GOLD has yielded a comparatively lower 5.96% annualized return.


GLD

YTD

25.38%

1M

-0.83%

6M

24.80%

1Y

35.19%

3Y*

20.84%

5Y*

13.35%

10Y*

10.14%

GOLD

YTD

18.08%

1M

-9.77%

6M

3.88%

1Y

3.84%

3Y*

-1.53%

5Y*

-5.19%

10Y*

5.96%

*Annualized

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SPDR Gold Trust

Barrick Gold Corporation

Risk-Adjusted Performance

GLD vs. GOLD — 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 9595
Sortino Ratio Rank
The Omega Ratio Rank of GLD is 9494
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

GOLD
The Risk-Adjusted Performance Rank of GOLD is 5555
Overall Rank
The Sharpe Ratio Rank of GOLD is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of GOLD is 5252
Sortino Ratio Rank
The Omega Ratio Rank of GOLD is 5050
Omega Ratio Rank
The Calmar Ratio Rank of GOLD is 5656
Calmar Ratio Rank
The Martin Ratio Rank of GOLD is 5959
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. GOLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Gold Trust (GLD) and Barrick Gold Corporation (GOLD). 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 1.98, which is higher than the GOLD Sharpe Ratio of 0.11. The chart below compares the historical Sharpe Ratios of GLD and GOLD, 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. GOLD - Dividend Comparison

GLD has not paid dividends to shareholders, while GOLD's dividend yield for the trailing twelve months is around 2.20%.


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%
GOLD
Barrick Gold Corporation
2.20%2.58%2.21%3.78%1.89%1.36%0.70%1.40%0.83%0.50%1.90%1.87%

Drawdowns

GLD vs. GOLD - Drawdown Comparison

The maximum GLD drawdown since its inception was -45.56%, smaller than the maximum GOLD drawdown of -88.51%. Use the drawdown chart below to compare losses from any high point for GLD and GOLD. For additional features, visit the drawdowns tool.


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Volatility

GLD vs. GOLD - Volatility Comparison

The current volatility for SPDR Gold Trust (GLD) is 8.16%, while Barrick Gold Corporation (GOLD) has a volatility of 12.12%. This indicates that GLD experiences smaller price fluctuations and is considered to be less risky than GOLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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