SDG vs. GLD
SDG (iShares MSCI Global Sustainable Development Goals ETF) and GLD (SPDR Gold Shares) are both exchange-traded funds - SDG is a Global Equities fund tracking the MSCI ACWI Sustainable Development Index, while GLD is a Gold fund tracking the LBMA Gold Price PM. Both are passively managed. Over the past 10 years, SDG returned 8.63%/yr vs 13.12%/yr for GLD. At a 0.18 correlation, their price movements are largely independent. SDG charges 0.50%/yr vs 0.40%/yr for GLD.
Performance
SDG vs. GLD - Performance Comparison
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Returns By Period
In the year-to-date period, SDG achieves a 9.89% return, which is significantly higher than GLD's 2.92% return. Over the past 10 years, SDG has underperformed GLD with an annualized return of 8.63%, while GLD has yielded a comparatively higher 13.12% annualized return.
SDG
- 1D
- -0.33%
- 1M
- 4.20%
- YTD
- 9.89%
- 6M
- 9.62%
- 1Y
- 25.55%
- 3Y*
- 7.55%
- 5Y*
- 0.66%
- 10Y*
- 8.63%
GLD
- 1D
- -0.99%
- 1M
- -1.65%
- YTD
- 2.92%
- 6M
- 5.43%
- 1Y
- 32.04%
- 3Y*
- 31.09%
- 5Y*
- 18.15%
- 10Y*
- 13.12%
SDG vs. GLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SDG iShares MSCI Global Sustainable Development Goals ETF | 9.89% | 20.19% | -10.09% | 4.59% | -11.51% | -1.20% | 44.36% | 25.38% | -8.32% | 27.28% |
GLD SPDR Gold Shares | 2.92% | 63.68% | 26.66% | 12.69% | -0.77% | -4.15% | 24.81% | 17.86% | -1.94% | 12.81% |
Correlation
The correlation between SDG and GLD is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.30 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.28 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Apr 25, 2016 | 0.18 |
The correlation between SDG and GLD shifts across timeframes, from 0.18 (all time) to 0.35 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SDG vs. GLD — Risk / Return Rank
SDG
GLD
SDG vs. GLD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Global Sustainable Development Goals ETF (SDG) 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.
| SDG | GLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.57 | ||
| Sortino ratioReturn per unit of downside risk | +0.88 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.24 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.96 | 1.68 | +1.28 |
| Martin ratioReturn relative to average drawdown | 10.84 | 4.15 | +6.69 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SDG | GLD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.78 | 1.21 | +0.57 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.04 | 1.01 | -0.97 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.52 | 0.83 | -0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 0.60 | -0.09 |
Drawdowns
SDG vs. GLD - Drawdown Comparison
The maximum SDG drawdown since its inception was -30.35%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for SDG and GLD.
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Drawdown Indicators
| SDG | GLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.35% | -45.56% | +15.21% |
Max Drawdown (1Y)Largest decline over 1 year | -8.68% | -19.21% | +10.53% |
Max Drawdown (3Y)Largest decline over 3 years | -22.92% | -19.21% | -3.71% |
Max Drawdown (5Y)Largest decline over 5 years | -30.35% | -21.03% | -9.32% |
Max Drawdown (10Y)Largest decline over 10 years | -30.35% | -22.00% | -8.35% |
Current DrawdownCurrent decline from peak | -0.33% | -17.75% | +17.42% |
Average DrawdownAverage peak-to-trough decline | -9.66% | -16.16% | +6.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.36% | 7.73% | -5.37% |
Volatility
SDG vs. GLD - Volatility Comparison
iShares MSCI Global Sustainable Development Goals ETF (SDG) and SPDR Gold Shares (GLD) have volatilities of 5.28% and 5.51%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SDG | GLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.28% | 5.51% | -0.23% |
Volatility (6M)Calculated over the trailing 6-month period | 11.07% | 23.16% | -12.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.41% | 26.61% | -12.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.63% | 18.00% | -2.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.68% | 15.95% | +0.73% |
SDG vs. GLD - Expense Ratio Comparison
SDG has a 0.50% expense ratio, which is higher than GLD's 0.40% expense ratio.
Dividends
SDG vs. GLD - Dividend Comparison
SDG's dividend yield for the trailing twelve months is around 1.82%, while GLD has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
GLD SPDR Gold Shares | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SDG iShares MSCI Global Sustainable Development Goals ETF | 1.82% | 2.00% | 1.95% | 1.77% | 1.82% | 1.66% | 0.97% | 1.39% | 2.47% | 2.54% | 1.34% |
Frequently Asked Questions
SDG and GLD have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GLD has higher volatility (5.51%) compared to SDG (5.28%). In terms of maximum drawdown, SDG dropped -30.35% vs GLD's -45.56%.
On 10-year performance, GLD leads with 13.12% vs 8.63% for SDG. On fees, GLD is cheaper at 0.40% per year. On volatility, SDG has been the lower-risk option at 5.28%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GLD has performed better with a 13.12% return vs 8.63%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GLD is cheaper with a 0.40% expense ratio, compared with 0.50% for SDG.
SDG has the higher dividend yield at 1.82%, compared with 0.00% for GLD.
SDG is categorized as Global Equities, while GLD is Gold. SDG tracks MSCI ACWI Sustainable Development Index, while GLD tracks LBMA Gold Price PM. They also come from different issuers: iShares and State Street. Their fees differ too: 0.50% for SDG and 0.40% for GLD.
SDG currently has the higher Sharpe Ratio (1.78 vs 1.21), 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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