Gold vs VanEck Gold Miners ETF (XAU vs GDX) 2026: Returns, Risk & Volatility

Q: Which is a better investment: XAU or GDX?

Over the past year, GDX looks like the better investment: it had higher total return (GDX +90.2% vs XAU +42.0%) and a higher Sharpe ratio (GDX 1.59 vs XAU 1.30). On risk, XAU was less volatile (XAU 26.0% vs GDX 44.8%), XAU had a smaller max drawdown (XAU -19.0% vs GDX -30.8%), and XAU had less severe losses on the worst 5% of days (Expected Shortfall of XAU -4.24% vs GDX -7.50%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: XAU or GDX?

Over the past year, GDX outperformed XAU. GDX returned +90.2% compared with XAU’s +42.0%. GDX had the better risk-adjusted return, with a Sharpe ratio of 1.59 versus XAU’s 1.30. XAU was less volatile than GDX, and XAU had a smaller max drawdown than GDX.

Total Return

XAU +42.0%

GDX +90.2%

Sharpe Ratio

XAU 1.30

GDX 1.59

Annualized Volatility

XAU 26.0%

GDX 44.8%

Max Drawdown

XAU -19.0%

GDX -30.8%

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

XAU Total Return

↑ +42.0%

GDX Total Return

↑ +90.2%

Relative Performance of XAU vs GDX (Normalized to 100)

XAU GDX

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: XAU delivered a +42.0% total return, while GDX returned +90.2% over the same period. GDX outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): GDX had a higher Sharpe (1.59 vs 1.30), indicating better risk-adjusted performance.
Volatility (Annualized): GDX was more volatile, with 44.8% annualized volatility, versus 26.0% for XAU.
Maximum Drawdown: XAU's maximum drawdown was -19.0%, while GDX experienced a deeper drawdown of -30.8%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), XAU's VaR was -2.82% and its Expected Shortfall (CVaR) was -4.24%; GDX's were -4.66% and -7.50%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: XAU -1.20 vs GDX -1.07. Excess kurtosis: XAU 6.87 vs GDX 2.84. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): XAU 10/3, GDX 12/2. Worst day: XAU -9.87% (2026-01-30) vs GDX -12.76% (2026-01-30). Best day: XAU +6.13% (2026-02-03) vs GDX +6.97% (2026-03-31).
Risk ratios: Sortino - XAU: 1.78 vs. GDX: 2.18 , Calmar - XAU: 2.23 vs. GDX: 2.95 , Sterling - XAU: 2.01 vs. GDX: 4.46 , Treynor - XAU: 2.27 vs. GDX: 0.94 , Ulcer Index - XAU: 6.00% vs. GDX: 9.31%

Investment Comparison

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

XAU $14,204.71 +42.0%

GDX $19,020.12 +90.2%

Difference: $4,815.41 (GDX ahead)

Gold vs VanEck Gold Miners ETF Performance Over Time

Metric	XAU	GDX
30 Days	5%	10.4%
90 Days	-5.8%	-13.9%
180 Days	14.4%	27.5%
1 Year	42%	90.2%

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

Gold vs VanEck Gold Miners ETF Correlation

Average Correlation

strongly correlated

0.79

Current (30-day) 0.82

30-day rolling range +0.56 to +0.91

Gold and VanEck Gold Miners ETF are strongly correlated over the past year. With a correlation of 0.79, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both XAU and GDX provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.82
Average (full period)	0.79
Minimum (30-day rolling)	0.56
Maximum (30-day rolling)	0.91

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

XAU

-19.0%

GDX

-30.8%

Gold experienced its maximum drawdown of -19% from 2026-01-28 to 2026-03-26. It has not yet recovered to its previous peak.

VanEck Gold Miners ETF experienced its maximum drawdown of -30.8% from 2026-02-27 to 2026-03-20. It has not yet recovered to its previous peak.

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

Gold vs VanEck Gold Miners ETF Volatility (XAU vs GDX)

XAU Volatility

26.0%

±1.64% 1-day vol

GDX Volatility

44.8%

±2.82% 1-day vol

1-day volatility (1σ)

XAU

±1.64%

GDX

±2.82%

Gold's 26.0% annualized volatility translates to about ±1.64% one-standard-deviation daily volatility.

VanEck Gold Miners ETF's 44.8% annualized volatility translates to about ±2.82% one-standard-deviation daily volatility.

GDX had the wider volatility profile over this window. That means its day-to-day return distribution was broader; XAU 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 XAU and GDX

Sharpe Ratio: XAU vs. GDX

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. GDX had a higher Sharpe (1.59 vs 1.30), 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 XAU and GDX

Sortino Ratio: XAU vs. GDX

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). GDX 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: XAU 18.9% vs GDX 32.7%. 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 XAU and GDX

Calmar Ratio: XAU vs. GDX

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. GDX 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 XAU and GDX

Sterling Ratio: XAU vs. GDX

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%). GDX posted the higher Sterling ratio.

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

Treynor Ratio of XAU and GDX

Treynor Ratio: XAU vs. GDX

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. XAU 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 XAU and GDX

Ulcer Index: XAU vs. GDX

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. XAU 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): Gold vs. VanEck Gold Miners 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: XAU vs. GDX (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)	XAU	GDX
5% VaR (daily log return)	-2.82%	-4.66%
5% Expected Shortfall (CVaR)	-4.24% (worst 13 days)	-7.50% (worst 13 days)
Skew	-1.20	-1.07
Excess kurtosis	6.87	2.84
2σ tail days (down / up)	10 / 3	12 / 2
Worst day	-9.87% (2026-01-30)	-12.76% (2026-01-30)
Best day	+6.13% (2026-02-03)	+6.97% (2026-03-31)

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: XAU vs. GDX (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 XAU and GDX 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 XAU and GDX had a big down day (2σ)

Date (interval)	XAU	GDX
2025-10-21	-5.31%	-9.42%
2025-12-26 → 2025-12-29	-4.40%	-5.96%
2026-01-30	-9.87%	-12.76%
2026-02-05	-3.73%	-6.34%
2026-02-12	-3.20%	-7.26%
2026-03-03	-4.39%	-8.76%
2026-03-18	-3.32%	-6.23%
2026-03-19	-3.75%	-5.91%

Days when XAU had a big down day

Date (interval)	XAU	GDX
2025-10-21	-5.31%	-9.42%
2025-12-26 → 2025-12-29	-4.40%	-5.96%
2026-01-30	-9.87%	-12.76%
2026-01-30 → 2026-02-02	-3.85%	-0.01%
2026-02-05	-3.73%	-6.34%
2026-02-12	-3.20%	-7.26%
2026-03-03	-4.39%	-8.76%
2026-03-18	-3.32%	-6.23%
2026-03-19	-3.75%	-5.91%
2026-03-20	-3.47%	-3.35%

Days when GDX had a big down day

Date (interval)	XAU	GDX
2025-05-09 → 2025-05-12	-2.79%	-7.44%
2025-10-17	-2.37%	-6.76%
2025-10-21	-5.31%	-9.42%
2025-12-26 → 2025-12-29	-4.40%	-5.96%
2026-01-30	-9.87%	-12.76%
2026-02-05	-3.73%	-6.34%
2026-02-12	-3.20%	-7.26%
2026-03-03	-4.39%	-8.76%
2026-03-13	-1.15%	-6.08%
2026-03-18	-3.32%	-6.23%
2026-03-19	-3.75%	-5.91%
2026-04-21	-2.08%	-6.19%

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 Gold vs. VanEck Gold Miners ETF (1-Year)

Metric	XAU	GDX
Total Return	+42.0%	+90.2%
Annualized Volatility	26.0%	44.8%
Sharpe Ratio	1.30	1.59
Sortino Ratio	1.78	2.18
Calmar Ratio	2.23	2.95
Sterling Ratio	2.01	4.46
Treynor Ratio	2.27	0.94
Ulcer Index	6.00%	9.31%
Max Drawdown	-19.0%	-30.8%
Avg Correlation to S&P 500	0.05	0.23
5% VaR (daily log return)	-2.82%	-4.66%
5% Expected Shortfall (CVaR)	-4.24%	-7.50%
Skew	-1.20	-1.07
Excess kurtosis	6.87	2.84
2σ tail days (down / up)	10 / 3	12 / 2

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): XAU: 252 days/year; GDX: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

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

GDX: 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.

XAU: ≈ -3.4%/yr

GDX: ≈ -10.0%/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.

Gold vs VanEck Gold Miners ETF: Frequently Asked Questions

Which has higher volatility: XAU or GDX?

GDX showed higher volatility at 44.8% annualized, compared to 26.0% for XAU Over the past year. Higher volatility means larger price swings in both directions.

Does XAU provide diversification when held with GDX?

XAU and GDX are strongly correlated over the past year, with an average correlation of 0.79. This strong correlation limits diversification benefits.

How bad are the worst 5% days for XAU vs GDX?

Over the past year, XAU's 5% VaR was -2.82% and its 5% Expected Shortfall was -4.24% (worst 13 days). GDX's were -4.66% and -7.50% (worst 13 days).

Do XAU and GDX crash together on bad days?

On shared dates (n=249), when GDX has a 2σ down day, XAU also does 66.7% (8/12 days). In the other direction, when XAU has one, GDX also does 80.0% (8/10 days).

Which has better risk-adjusted returns: XAU or GDX?

GDX showed better risk-adjusted performance with a Sharpe ratio of 1.59 versus XAU's 1.30 Over the past year.

Can XAU and GDX be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. GDX's higher volatility (44.8%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: XAU or GDX?

Share This Comparison of XAU vs GDX

Relative Performance of XAU vs GDX (Normalized to 100)

Trade XAU or GDX

Key Takeaways

Investment Comparison

Gold vs VanEck Gold Miners ETF Performance Over Time

Gold vs VanEck Gold Miners ETF Correlation

Drawdown

Gold vs VanEck Gold Miners ETF Volatility (XAU vs GDX)

Risk-adjusted ratios

Sharpe Ratio of XAU and GDX

Sharpe Ratio: XAU vs. GDX

Sortino Ratio of XAU and GDX

Sortino Ratio: XAU vs. GDX

Calmar Ratio of XAU and GDX

Calmar Ratio: XAU vs. GDX

Sterling Ratio of XAU and GDX

Sterling Ratio: XAU vs. GDX

Treynor Ratio of XAU and GDX

Treynor Ratio: XAU vs. GDX

Ulcer Index of XAU and GDX

Ulcer Index: XAU vs. GDX

Tail Risk & Distribution Shape (1-Year): Gold vs. VanEck Gold Miners ETF

Tail Risk & Distribution Shape: XAU vs. GDX (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: XAU vs. GDX (2σ)

Days when both XAU and GDX had a big down day (2σ)

Days when XAU had a big down day

Days when GDX had a big down day

Full Comparison of Gold vs. VanEck Gold Miners ETF (1-Year)

Inputs & conventions

Formulas

Gold vs VanEck Gold Miners ETF: Frequently Asked Questions

Which has higher volatility: XAU or GDX?

Does XAU provide diversification when held with GDX?

How bad are the worst 5% days for XAU vs GDX?

Do XAU and GDX crash together on bad days?

Which has better risk-adjusted returns: XAU or GDX?

Can XAU and GDX be combined in a portfolio?