S&P 500 vs Gold ETF (SPY vs GLD) 2026: Returns, Risk & Volatility

Q: Which is a better investment: SPY or GLD?

Over the past year, it depends: GLD led on total return (GLD +41.4% vs SPY +29.8%), but SPY had the higher Sharpe ratio (SPY 1.84 vs GLD 1.27). On risk, SPY was less volatile (SPY 12.5% vs GLD 27.3%), SPY had a smaller max drawdown (SPY -9.1% vs GLD -19.2%), and SPY had less severe losses on the worst 5% of days (Expected Shortfall of SPY -1.70% vs GLD -4.41%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: SPY or GLD?

Over the past year, GLD outperformed SPY. GLD returned +41.4% compared with SPY’s +29.8%. SPY had the better risk-adjusted return, with a Sharpe ratio of 1.84 versus GLD’s 1.27. SPY was less volatile than GLD, and SPY had a smaller max drawdown than GLD.

Total Return

SPY +29.8%

GLD +41.4%

Sharpe Ratio

SPY 1.84

GLD 1.27

Annualized Volatility

SPY 12.5%

GLD 27.3%

Max Drawdown

SPY -9.1%

GLD -19.2%

Metric winners: Total Return: GLD; Sharpe Ratio: SPY; Annualized Volatility: SPY (less volatile); Max Drawdown: SPY (smaller drawdown).

SPY Total Return

↑ +29.8%

GLD Total Return

↑ +41.4%

Relative Performance of SPY vs GLD (Normalized to 100)

SPY GLD

Normalized to 100 at start date for comparison

Trade SPY or GLD

Access these assets on trusted platforms.

Hyperliquid

Trade perpetual futures exposure where supportedSPYGLDTrade on Hyperliquid

Binance

Trade futures exposure on a global exchange where supportedSPYGLDTrade on Binance

Affiliate disclosure

Key Takeaways

Total Return: SPY delivered a +29.8% total return, while GLD returned +41.4% over the same period. GLD outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): SPY had a higher Sharpe (1.84 vs 1.27), indicating better risk-adjusted performance.
Volatility (Annualized): GLD was more volatile, with 27.3% annualized volatility, versus 12.5% for SPY.
Maximum Drawdown: SPY's maximum drawdown was -9.1%, while GLD experienced a deeper drawdown of -19.2%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), SPY's VaR was -1.32% and its Expected Shortfall (CVaR) was -1.70%; GLD's were -2.86% and -4.41%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: SPY 0.03 vs GLD -1.31. Excess kurtosis: SPY 1.96 vs GLD 7.11. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): SPY 10/5, GLD 8/4. Worst day: SPY -2.70% (2025-10-10) vs GLD -10.27% (2026-01-30). Best day: SPY +3.30% (2025-05-12) vs GLD +6.36% (2026-02-03).
Risk ratios: Sortino - SPY: 2.82 vs. GLD: 1.73 , Calmar - SPY: 3.28 vs. GLD: 2.17 , Sterling - SPY: No 10% drawdown vs. GLD: 2.56 , Treynor - SPY: 0.23 vs. GLD: 2.03 , Ulcer Index - SPY: 1.98% vs. GLD: 5.99%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

SPY $12,977.57 +29.8%

GLD $14,144.98 +41.4%

Difference: $1,167.41 (GLD ahead)

S&P 500 vs Gold ETF Performance Over Time

Metric	SPY	GLD
30 Days	8.5%	6.7%
90 Days	2.8%	-5.9%
180 Days	4.9%	14.2%
1 Year	29.8%	41.4%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

S&P 500 vs Gold ETF Correlation

Average Correlation

weakly correlated

0.03

Current (30-day) 0.53

30-day rolling range -0.60 to +0.54

S&P 500 and Gold ETF are weakly correlated over the past year. With a correlation of 0.03, these assets show meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining SPY and GLD could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	0.53
Average (full period)	0.03
Minimum (30-day rolling)	-0.60
Maximum (30-day rolling)	0.54

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

SPY

-9.1%

GLD

-19.2%

S&P 500 experienced its maximum drawdown of -9.1% from 2026-01-27 to 2026-03-30. It took 16 days to recover.

Gold ETF experienced its maximum drawdown of -19.2% from 2026-01-29 to 2026-03-26. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

S&P 500 vs Gold ETF Volatility (SPY vs GLD)

SPY Volatility

12.5%

±0.79% 1-day vol

GLD Volatility

27.3%

±1.72% 1-day vol

1-day volatility (1σ)

SPY

±0.79%

GLD

±1.72%

S&P 500's 12.5% annualized volatility translates to about ±0.79% one-standard-deviation daily volatility.

Gold ETF's 27.3% annualized volatility translates to about ±1.72% one-standard-deviation daily volatility.

GLD had the wider volatility profile over this window. That means its day-to-day return distribution was broader; SPY was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of SPY and GLD

Sharpe Ratio: SPY vs. GLD

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SPY had a higher Sharpe (1.84 vs 1.27), indicating better risk-adjusted performance.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of SPY and GLD

Sortino Ratio: SPY vs. GLD

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). SPY had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: SPY 8.1% vs GLD 20.0%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of SPY and GLD

Calmar Ratio: SPY vs. GLD

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. SPY posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of SPY and GLD

Sterling Ratio: SPY vs. GLD

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). SPY had no 10% drawdown in this lookback, so Sterling is not calculated.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of SPY and GLD

Treynor Ratio: SPY vs. GLD

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. GLD posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of SPY and GLD

Ulcer Index: SPY vs. GLD

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. SPY had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): S&P 500 vs. Gold ETF

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: SPY vs. GLD (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	SPY	GLD
5% VaR (daily log return)	-1.32%	-2.86%
5% Expected Shortfall (CVaR)	-1.70% (worst 13 days)	-4.41% (worst 13 days)
Skew	0.03	-1.31
Excess kurtosis	1.96	7.11
2σ tail days (down / up)	10 / 5	8 / 4
Worst day	-2.70% (2025-10-10)	-10.27% (2026-01-30)
Best day	+3.30% (2025-05-12)	+6.36% (2026-02-03)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: SPY vs. GLD (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both SPY and GLD crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both SPY and GLD had a big down day (2σ)

Date (interval)	SPY	GLD
2026-02-12	-1.54%	-3.47%
2026-03-26	-1.79%	-3.76%

Days when SPY had a big down day

Date (interval)	SPY	GLD
2025-05-21	-1.69%	+0.74%
2025-08-01	-1.64%	+2.03%
2025-10-10	-2.70%	+1.01%
2025-11-13	-1.66%	-0.81%
2025-11-20	-1.52%	-0.03%
2026-01-16 → 2026-01-20	-2.04%	+3.78%
2026-02-12	-1.54%	-3.47%
2026-03-12	-1.52%	-1.97%
2026-03-26	-1.79%	-3.76%
2026-03-27	-1.71%	+3.51%

Days when GLD had a big down day

Date (interval)	SPY	GLD
2025-10-21	0.00%	-6.43%
2025-12-26 → 2025-12-29	-0.36%	-4.35%
2026-01-30	-0.30%	-10.27%
2026-01-30 → 2026-02-02	+0.50%	-4.00%
2026-02-12	-1.54%	-3.47%
2026-03-03	-0.88%	-4.46%
2026-03-19	-0.25%	-4.12%
2026-03-26	-1.79%	-3.76%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of S&P 500 vs. Gold ETF (1-Year)

Metric	SPY	GLD
Total Return	+29.8%	+41.4%
Annualized Volatility	12.5%	27.3%
Sharpe Ratio	1.84	1.27
Sortino Ratio	2.82	1.73
Calmar Ratio	3.28	2.17
Sterling Ratio	No 10% drawdown	2.56
Treynor Ratio	0.23	2.03
Ulcer Index	1.98%	5.99%
Max Drawdown	-9.1%	-19.2%
Avg Correlation to S&P 500	1.00	0.05
5% VaR (daily log return)	-1.32%	-2.86%
5% Expected Shortfall (CVaR)	-1.70%	-4.41%
Skew	0.03	-1.31
Excess kurtosis	1.96	7.11
2σ tail days (down / up)	10 / 5	8 / 4

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): SPY: 252 days/year; GLD: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

SPY: 4.17% over 2025-04-25 → 2026-04-23.

GLD: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

SPY: ≈ -0.8%/yr

GLD: ≈ -3.7%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

S&P 500 vs Gold ETF: Frequently Asked Questions

Which has higher volatility: SPY or GLD?

GLD showed higher volatility at 27.3% annualized, compared to 12.5% for SPY Over the past year. Higher volatility means larger price swings in both directions.

Does SPY provide diversification when held with GLD?

SPY and GLD are weakly correlated over the past year, with an average correlation of 0.03. This weak correlation suggests meaningful diversification benefits when held together.

How bad are the worst 5% days for SPY vs GLD?

Over the past year, SPY's 5% VaR was -1.32% and its 5% Expected Shortfall was -1.70% (worst 13 days). GLD's were -2.86% and -4.41% (worst 13 days).

Do SPY and GLD crash together on bad days?

On shared dates (n=249), when GLD has a 2σ down day, SPY also does 25.0% (2/8 days). In the other direction, when SPY has one, GLD also does 20.0% (2/10 days).

Which has better risk-adjusted returns: SPY or GLD?

SPY showed better risk-adjusted performance with a Sharpe ratio of 1.84 versus GLD's 1.27 Over the past year.

Can SPY and GLD be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. GLD's higher volatility (27.3%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: SPY or GLD?

Share This Comparison of SPY vs GLD

Relative Performance of SPY vs GLD (Normalized to 100)

Trade SPY or GLD

Key Takeaways

Investment Comparison

S&P 500 vs Gold ETF Performance Over Time

S&P 500 vs Gold ETF Correlation

Drawdown

S&P 500 vs Gold ETF Volatility (SPY vs GLD)

Risk-adjusted ratios

Sharpe Ratio of SPY and GLD

Sharpe Ratio: SPY vs. GLD

Sortino Ratio of SPY and GLD

Sortino Ratio: SPY vs. GLD

Calmar Ratio of SPY and GLD

Calmar Ratio: SPY vs. GLD

Sterling Ratio of SPY and GLD

Sterling Ratio: SPY vs. GLD

Treynor Ratio of SPY and GLD

Treynor Ratio: SPY vs. GLD

Ulcer Index of SPY and GLD

Ulcer Index: SPY vs. GLD

Tail Risk & Distribution Shape (1-Year): S&P 500 vs. Gold ETF

Tail Risk & Distribution Shape: SPY vs. GLD (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: SPY vs. GLD (2σ)

Days when both SPY and GLD had a big down day (2σ)

Days when SPY had a big down day

Days when GLD had a big down day

Full Comparison of S&P 500 vs. Gold ETF (1-Year)

Inputs & conventions

Formulas

S&P 500 vs Gold ETF: Frequently Asked Questions

Which has higher volatility: SPY or GLD?

Does SPY provide diversification when held with GLD?

How bad are the worst 5% days for SPY vs GLD?

Do SPY and GLD crash together on bad days?

Which has better risk-adjusted returns: SPY or GLD?

Can SPY and GLD be combined in a portfolio?