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

Correlation

The correlation between GLD and SPY 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.


-0.50.00.51.0
Correlation: 0.1

Performance

GLD vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Gold Trust (GLD) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

450.00%500.00%550.00%600.00%650.00%December2025FebruaryMarchAprilMay
571.43%
600.85%
GLD
SPY

Key characteristics

Sharpe Ratio

GLD:

2.41

SPY:

0.72

Sortino Ratio

GLD:

3.21

SPY:

1.13

Omega Ratio

GLD:

1.41

SPY:

1.17

Calmar Ratio

GLD:

5.01

SPY:

0.76

Martin Ratio

GLD:

13.43

SPY:

3.04

Ulcer Index

GLD:

3.03%

SPY:

4.72%

Daily Std Dev

GLD:

16.89%

SPY:

20.06%

Max Drawdown

GLD:

-45.56%

SPY:

-55.19%

Current Drawdown

GLD:

-5.58%

SPY:

-7.25%

Returns By Period

In the year-to-date period, GLD achieves a 23.07% return, which is significantly higher than SPY's -3.01% return. Over the past 10 years, GLD has underperformed SPY with an annualized return of 10.08%, while SPY has yielded a comparatively higher 12.50% annualized return.


GLD

YTD

23.07%

1M

4.04%

6M

18.03%

1Y

39.92%

5Y*

13.24%

10Y*

10.08%

SPY

YTD

-3.01%

1M

5.60%

6M

-0.12%

1Y

12.26%

5Y*

16.60%

10Y*

12.50%

*Annualized

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GLD vs. SPY - Expense Ratio Comparison

GLD has a 0.40% expense ratio, which is higher than SPY's 0.09% expense ratio.


Expense ratio chart for GLD: current value is 0.40%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
GLD: 0.40%
Expense ratio chart for SPY: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPY: 0.09%

Risk-Adjusted Performance

GLD vs. SPY — 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 9696
Overall Rank
The Sharpe Ratio Rank of GLD is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of GLD is 9696
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

SPY
The Risk-Adjusted Performance Rank of SPY is 6767
Overall Rank
The Sharpe Ratio Rank of SPY is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6565
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6868
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7070
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6868
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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Gold Trust (GLD) and SPDR S&P 500 ETF (SPY). 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 chart of Sharpe ratio for GLD, currently valued at 2.41, compared to the broader market-1.000.001.002.003.004.00
GLD: 2.41
SPY: 0.72
The chart of Sortino ratio for GLD, currently valued at 3.21, compared to the broader market-2.000.002.004.006.008.00
GLD: 3.21
SPY: 1.13
The chart of Omega ratio for GLD, currently valued at 1.41, compared to the broader market0.501.001.502.002.50
GLD: 1.41
SPY: 1.17
The chart of Calmar ratio for GLD, currently valued at 5.00, compared to the broader market0.002.004.006.008.0010.0012.00
GLD: 5.01
SPY: 0.76
The chart of Martin ratio for GLD, currently valued at 13.43, compared to the broader market0.0020.0040.0060.00
GLD: 13.43
SPY: 3.04

The current GLD Sharpe Ratio is 2.41, which is higher than the SPY Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of GLD and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
2.41
0.72
GLD
SPY

Dividends

GLD vs. SPY - Dividend Comparison

GLD has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.26%.


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%
SPY
SPDR S&P 500 ETF
1.26%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

GLD vs. SPY - Drawdown Comparison

The maximum GLD drawdown since its inception was -45.56%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GLD and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-5.58%
-7.25%
GLD
SPY

Volatility

GLD vs. SPY - Volatility Comparison

The current volatility for SPDR Gold Trust (GLD) is 8.73%, while SPDR S&P 500 ETF (SPY) has a volatility of 15.07%. This indicates that GLD experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%December2025FebruaryMarchAprilMay
8.73%
15.07%
GLD
SPY