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XAUUSD=X vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between XAUUSD=X and GC=F is 0.36, 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.


-0.50.00.51.00.4

Performance

XAUUSD=X vs. GC=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Gold Spot US Dollar (XAUUSD=X) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%SeptemberOctoberNovemberDecember2025February
18.08%
18.67%
XAUUSD=X
GC=F

Key characteristics

Sharpe Ratio

XAUUSD=X:

1.88

GC=F:

2.32

Sortino Ratio

XAUUSD=X:

2.47

GC=F:

2.88

Omega Ratio

XAUUSD=X:

1.36

GC=F:

1.41

Calmar Ratio

XAUUSD=X:

3.23

GC=F:

4.35

Martin Ratio

XAUUSD=X:

8.15

GC=F:

10.95

Ulcer Index

XAUUSD=X:

3.20%

GC=F:

3.18%

Daily Std Dev

XAUUSD=X:

13.99%

GC=F:

14.76%

Max Drawdown

XAUUSD=X:

-69.75%

GC=F:

-44.36%

Current Drawdown

XAUUSD=X:

-0.32%

GC=F:

0.00%

Returns By Period

The year-to-date returns for both investments are quite close, with XAUUSD=X having a 11.75% return and GC=F slightly higher at 11.89%. Over the past 10 years, XAUUSD=X has outperformed GC=F with an annualized return of 8.84%, while GC=F has yielded a comparatively lower 8.25% annualized return.


XAUUSD=X

YTD

11.75%

1M

6.84%

6M

18.07%

1Y

44.80%

5Y*

11.40%

10Y*

8.84%

GC=F

YTD

11.89%

1M

6.78%

6M

18.67%

1Y

45.46%

5Y*

10.87%

10Y*

8.25%

*Annualized

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Risk-Adjusted Performance

XAUUSD=X vs. GC=F — Risk-Adjusted Performance Rank

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

XAUUSD=X
The Risk-Adjusted Performance Rank of XAUUSD=X is 9292
Overall Rank
The Sharpe Ratio Rank of XAUUSD=X is 9292
Sharpe Ratio Rank
The Sortino Ratio Rank of XAUUSD=X is 9191
Sortino Ratio Rank
The Omega Ratio Rank of XAUUSD=X is 9292
Omega Ratio Rank
The Calmar Ratio Rank of XAUUSD=X is 9494
Calmar Ratio Rank
The Martin Ratio Rank of XAUUSD=X is 9191
Martin Ratio Rank

GC=F
The Risk-Adjusted Performance Rank of GC=F is 9393
Overall Rank
The Sharpe Ratio Rank of GC=F is 9393
Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 9393
Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 9393
Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 9393
Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 9393
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.

XAUUSD=X vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Gold Spot US Dollar (XAUUSD=X) and Gold (GC=F). 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.


Sharpe ratio
The chart of Sharpe ratio for XAUUSD=X, currently valued at 1.88, compared to the broader market0.002.004.006.008.001.881.91
The chart of Sortino ratio for XAUUSD=X, currently valued at 2.47, compared to the broader market0.0010.0020.0030.002.472.46
The chart of Omega ratio for XAUUSD=X, currently valued at 1.36, compared to the broader market2.004.006.008.001.361.37
The chart of Calmar ratio for XAUUSD=X, currently valued at 3.23, compared to the broader market0.0020.0040.0060.003.233.34
The chart of Martin ratio for XAUUSD=X, currently valued at 8.15, compared to the broader market0.00100.00200.00300.00400.00500.008.158.19
XAUUSD=X
GC=F

The current XAUUSD=X Sharpe Ratio is 1.88, which is comparable to the GC=F Sharpe Ratio of 2.32. The chart below compares the historical Sharpe Ratios of XAUUSD=X and GC=F, 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 Ratio1.001.502.002.503.00SeptemberOctoberNovemberDecember2025February
1.88
1.91
XAUUSD=X
GC=F

Drawdowns

XAUUSD=X vs. GC=F - Drawdown Comparison

The maximum XAUUSD=X drawdown since its inception was -69.75%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for XAUUSD=X and GC=F. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February
-0.32%
0
XAUUSD=X
GC=F

Volatility

XAUUSD=X vs. GC=F - Volatility Comparison

The current volatility for Gold Spot US Dollar (XAUUSD=X) is 3.26%, while Gold (GC=F) has a volatility of 3.49%. This indicates that XAUUSD=X experiences smaller price fluctuations and is considered to be less risky than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%SeptemberOctoberNovemberDecember2025February
3.26%
3.49%
XAUUSD=X
GC=F
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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