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XAUUSD=X vs. GLD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between XAUUSD=X and GLD is 0.05, 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

XAUUSD=X vs. GLD - Performance Comparison

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

450.00%500.00%550.00%600.00%650.00%NovemberDecember2025FebruaryMarchApril
651.09%
596.42%
XAUUSD=X
GLD

Key characteristics

Sharpe Ratio

XAUUSD=X:

2.72

GLD:

2.62

Sortino Ratio

XAUUSD=X:

3.70

GLD:

3.44

Omega Ratio

XAUUSD=X:

1.53

GLD:

1.45

Calmar Ratio

XAUUSD=X:

5.00

GLD:

5.42

Martin Ratio

XAUUSD=X:

13.81

GLD:

14.77

Ulcer Index

XAUUSD=X:

2.92%

GLD:

2.98%

Daily Std Dev

XAUUSD=X:

15.03%

GLD:

16.87%

Max Drawdown

XAUUSD=X:

-69.75%

GLD:

-45.56%

Current Drawdown

XAUUSD=X:

-2.81%

GLD:

-2.07%

Returns By Period

The year-to-date returns for both investments are quite close, with XAUUSD=X having a 26.85% return and GLD slightly higher at 27.65%. Both investments have delivered pretty close results over the past 10 years, with XAUUSD=X having a 10.34% annualized return and GLD not far ahead at 10.61%.


XAUUSD=X

YTD

26.85%

1M

7.92%

6M

21.38%

1Y

42.47%

5Y*

13.11%

10Y*

10.34%

GLD

YTD

27.65%

1M

8.80%

6M

22.00%

1Y

42.68%

5Y*

13.89%

10Y*

10.61%

*Annualized

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Risk-Adjusted Performance

XAUUSD=X vs. GLD — 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 9898
Overall Rank
The Sharpe Ratio Rank of XAUUSD=X is 100100
Sharpe Ratio Rank
The Sortino Ratio Rank of XAUUSD=X is 9797
Sortino Ratio Rank
The Omega Ratio Rank of XAUUSD=X is 9595
Omega Ratio Rank
The Calmar Ratio Rank of XAUUSD=X is 100100
Calmar Ratio Rank
The Martin Ratio Rank of XAUUSD=X is 9696
Martin Ratio Rank

GLD
The Risk-Adjusted Performance Rank of GLD is 9696
Overall Rank
The Sharpe Ratio Rank of GLD is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of GLD is 9696
Sortino Ratio Rank
The Omega Ratio Rank of GLD is 9595
Omega Ratio Rank
The Calmar Ratio Rank of GLD is 9898
Calmar Ratio Rank
The Martin Ratio Rank of GLD is 9696
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. GLD - Risk-Adjusted Performance Comparison

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


The chart of Sharpe ratio for XAUUSD=X, currently valued at 2.72, compared to the broader market-1.000.001.002.00
XAUUSD=X: 2.72
GLD: 2.72
The chart of Sortino ratio for XAUUSD=X, currently valued at 3.70, compared to the broader market-1.000.001.002.003.004.00
XAUUSD=X: 3.70
GLD: 3.79
The chart of Omega ratio for XAUUSD=X, currently valued at 1.53, compared to the broader market1.001.502.002.50
XAUUSD=X: 1.53
GLD: 1.55
The chart of Calmar ratio for XAUUSD=X, currently valued at 5.00, compared to the broader market0.001.002.003.004.00
XAUUSD=X: 5.00
GLD: 5.04
The chart of Martin ratio for XAUUSD=X, currently valued at 13.81, compared to the broader market0.005.0010.0015.0020.0025.00
XAUUSD=X: 13.81
GLD: 13.71

The current XAUUSD=X Sharpe Ratio is 2.72, which is comparable to the GLD Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of XAUUSD=X and GLD, 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 Ratio1.001.502.002.503.00NovemberDecember2025FebruaryMarchApril
2.72
2.72
XAUUSD=X
GLD

Drawdowns

XAUUSD=X vs. GLD - Drawdown Comparison

The maximum XAUUSD=X drawdown since its inception was -69.75%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for XAUUSD=X and GLD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-2.81%
-2.07%
XAUUSD=X
GLD

Volatility

XAUUSD=X vs. GLD - Volatility Comparison

Gold Spot US Dollar (XAUUSD=X) and SPDR Gold Trust (GLD) have volatilities of 8.10% and 8.20%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%NovemberDecember2025FebruaryMarchApril
8.10%
8.20%
XAUUSD=X
GLD