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

Correlation

The correlation between XAUUSD=X and SPY is -0.02. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.0

Performance

XAUUSD=X vs. SPY - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%SeptemberOctoberNovemberDecember2025February
18.60%
10.91%
XAUUSD=X
SPY

Key characteristics

Sharpe Ratio

XAUUSD=X:

2.04

SPY:

1.87

Sortino Ratio

XAUUSD=X:

2.66

SPY:

2.52

Omega Ratio

XAUUSD=X:

1.39

SPY:

1.35

Calmar Ratio

XAUUSD=X:

3.52

SPY:

2.81

Martin Ratio

XAUUSD=X:

8.87

SPY:

11.69

Ulcer Index

XAUUSD=X:

3.20%

SPY:

2.02%

Daily Std Dev

XAUUSD=X:

13.98%

SPY:

12.65%

Max Drawdown

XAUUSD=X:

-69.75%

SPY:

-55.19%

Current Drawdown

XAUUSD=X:

0.00%

SPY:

0.00%

Returns By Period

In the year-to-date period, XAUUSD=X achieves a 12.25% return, which is significantly higher than SPY's 4.58% return. Over the past 10 years, XAUUSD=X has underperformed SPY with an annualized return of 8.89%, while SPY has yielded a comparatively higher 13.23% annualized return.


XAUUSD=X

YTD

12.25%

1M

8.75%

6M

17.24%

1Y

45.54%

5Y*

11.50%

10Y*

8.89%

SPY

YTD

4.58%

1M

2.57%

6M

10.04%

1Y

24.97%

5Y*

14.73%

10Y*

13.23%

*Annualized

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Risk-Adjusted Performance

XAUUSD=X vs. SPY — 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 9393
Overall Rank
The Sharpe Ratio Rank of XAUUSD=X is 9494
Sharpe Ratio Rank
The Sortino Ratio Rank of XAUUSD=X is 9292
Sortino Ratio Rank
The Omega Ratio Rank of XAUUSD=X is 9393
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

SPY
The Risk-Adjusted Performance Rank of SPY is 7777
Overall Rank
The Sharpe Ratio Rank of SPY is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 7474
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 7777
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7878
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 8181
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. SPY - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for XAUUSD=X, currently valued at 2.04, compared to the broader market0.002.004.006.008.002.041.85
The chart of Sortino ratio for XAUUSD=X, currently valued at 2.66, compared to the broader market0.0010.0020.0030.002.662.48
The chart of Omega ratio for XAUUSD=X, currently valued at 1.39, compared to the broader market2.004.006.008.001.391.40
The chart of Calmar ratio for XAUUSD=X, currently valued at 3.52, compared to the broader market0.0020.0040.0060.003.522.50
The chart of Martin ratio for XAUUSD=X, currently valued at 8.87, compared to the broader market0.00100.00200.00300.00400.00500.008.8710.51
XAUUSD=X
SPY

The current XAUUSD=X Sharpe Ratio is 2.04, which is comparable to the SPY Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of XAUUSD=X 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 Ratio1.001.502.002.503.00SeptemberOctoberNovemberDecember2025February
2.04
1.85
XAUUSD=X
SPY

Drawdowns

XAUUSD=X vs. SPY - Drawdown Comparison

The maximum XAUUSD=X drawdown since its inception was -69.75%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for XAUUSD=X and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February00
XAUUSD=X
SPY

Volatility

XAUUSD=X vs. SPY - Volatility Comparison

Gold Spot US Dollar (XAUUSD=X) has a higher volatility of 3.22% compared to SPDR S&P 500 ETF (SPY) at 2.32%. This indicates that XAUUSD=X's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%SeptemberOctoberNovemberDecember2025February
3.22%
2.32%
XAUUSD=X
SPY
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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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