XAU vs SPY: Returns, Risk & Volatility (2025)

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Analysis period: 2025-01-01 to 2025-12-31

XAU Total Return

↑ +62.5%

SPY Total Return

↑ +18.0%

Relative Performance of XAU vs SPY (Normalized to 100)

XAU SPY

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: XAU delivered a +62.5% total return, while SPY returned +18.0% over the same period. XAU outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): XAU had a higher Sharpe (2.34 vs 0.74), indicating better risk-adjusted performance.
Volatility (Annualized): SPY was more volatile, with 19.5% annualized volatility, versus 19.3% for XAU.
Maximum Drawdown: XAU's maximum drawdown was -9.7%, while SPY experienced a deeper drawdown of -18.8%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), XAU's VaR was -1.75% and its Expected Shortfall (CVaR) was -2.69%; SPY's were -1.67% and -2.80%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: XAU -0.45 vs SPY 1.09. Excess kurtosis: XAU 2.31 vs SPY 20.39. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): XAU 8/9, SPY 6/3. Worst day: XAU -5.31% (2025-10-21) vs SPY -5.85% (2025-04-04). Best day: XAU +3.50% (2025-04-16) vs SPY +10.50% (2025-04-09).
Risk ratios: Sortino - XAU: 3.58 vs. SPY: 1.11 , Calmar - XAU: N/A vs. SPY: N/A , Sterling - XAU: N/A vs. SPY: N/A , Treynor - XAU: N/A vs. SPY: N/A , Ulcer Index - XAU: N/A vs. SPY: N/A

Gold vs S&P 500 Correlation

-0.04 Average Correlation

Gold and S&P 500 were negatively correlated in 2025. With a negative correlation of -0.04, these assets tended to move in opposite directions, potentially offering strong diversification benefits.

For portfolio construction, this negative correlation suggests that combining XAU and SPY could significantly reduce portfolio variance through offsetting movements.

Metric	Value
Current (30-day)	0.26
Average (full period)	-0.04
Minimum	-0.67
Maximum	0.57

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.

Investment Comparison

If you invested $10,000 in each asset on January 1, 2025:

XAU $16,247.456 +62.5%

SPY $11,800.499 +18.0%

Difference: $4,446.957 (XAU ahead)

Gold and S&P 500: Risk Analysis

Gold experienced its maximum drawdown of -9.7% from 2025-10-20 to 2025-11-04. It has not yet recovered to its previous peak.

S&P 500 experienced its maximum drawdown of -18.8% from 2025-02-19 to 2025-04-08. It has not yet recovered to its previous peak.

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

Sharpe Ratio of XAU and SPY

XAU Sharpe Ratio

↑ 2.34

SPY Sharpe Ratio

↑ 0.74

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. XAU had a higher Sharpe (2.34 vs 0.74), 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 SPY

XAU Sortino Ratio

↑ 3.58

SPY Sortino Ratio

↑ 1.11

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). XAU 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 12.7% vs SPY 13.0%. 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).

Tail Risk & Distribution Shape (2025): Gold vs. S&P 500

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.

Metric (2025)	XAU	SPY
5% VaR (daily log return)	-1.75%	-1.67%
5% Expected Shortfall (CVaR)	-2.69% (worst 13 days)	-2.80% (worst 13 days)
Skew	-0.45	1.09
Excess kurtosis	2.31	20.39
2σ tail days (down / up)	8 / 9	6 / 3
Worst day	-5.31% (2025-10-21)	-5.85% (2025-04-04)
Best day	+3.50% (2025-04-16)	+10.50% (2025-04-09)

Downside co-moves (2σ) — 2025

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.

When SPY has a big down day, XAU also does

16.7%

1 / 6 days

When XAU has a big down day, SPY also does

14.3%

1 / 7 days

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 SPY had a big down day (2σ)

Date (interval)	XAU	SPY
2025-04-04	-2.52%	-5.85%

Days when XAU had a big down day

Date (interval)	XAU	SPY
2025-04-04	-2.52%	-5.85%
2025-04-23	-2.75%	+1.55%
2025-05-09 → 2025-05-12	-2.79%	+3.30%
2025-10-17	-2.37%	+0.57%
2025-10-21	-5.31%	+0.00%
2025-10-24 → 2025-10-27	-2.78%	+1.18%
2025-12-26 → 2025-12-29	-4.40%	-0.36%

Days when SPY had a big down day

Date (interval)	XAU	SPY
2025-03-07 → 2025-03-10	-0.84%	-2.66%
2025-04-03	-0.66%	-4.93%
2025-04-04	-2.52%	-5.85%
2025-04-10	+3.01%	-4.38%
2025-04-17 → 2025-04-21	+2.92%	-2.38%
2025-10-10	+0.85%	-2.70%

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. S&P 500 (2025)

Metric	XAU	SPY
Total Return	+62.5%	+18.0%
Annualized Volatility	19.3%	19.5%
Sharpe Ratio	2.34	0.74
Sortino Ratio	3.58	1.11
Calmar Ratio	N/A	N/A
Sterling Ratio	N/A	N/A
Treynor Ratio	N/A	N/A
Ulcer Index	N/A	N/A
Max Drawdown	-9.7%	-18.8%
Avg Correlation to S&P 500	N/A	N/A
5% VaR (daily log return)	-1.75%	-1.67%
5% Expected Shortfall (CVaR)	-2.69%	-2.80%
Skew	-0.45	1.09
Excess kurtosis	2.31	20.39
2σ tail days (down / up)	8 / 9	6 / 3

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-01-01 → 2025-12-31 (last shared close).
Rolling correlation sample (shared closes): N/A
Annualization (days/year): XAU: 252 days/year; SPY: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

XAU: 4.22%.

SPY: 4.22%.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

XAU: ≈ -1.9%/yr

SPY: ≈ -1.9%/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 S&P 500: Frequently Asked Questions

Which had higher volatility: XAU or SPY?

SPY showed higher volatility at 19.5% annualized, compared to 19.3% for XAU During 2025. Higher volatility meant larger price swings in both directions.

Did XAU provide diversification when held with SPY?

XAU and SPY were negatively correlated in 2025, with an average correlation of -0.04. This negative correlation suggested strong diversification benefits through offsetting movements.

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

During 2025, XAU's 5% VaR was -1.75% and its 5% Expected Shortfall was -2.69% (worst 13 days). SPY's were -1.67% and -2.80% (worst 13 days).

Do XAU and SPY crash together on bad days?

On shared dates (n=249), when SPY has a 2σ down day, XAU also does 16.7% (1/6 days). In the other direction, when XAU has one, SPY also does 14.3% (1/7 days).

Which had better risk-adjusted returns: XAU or SPY?

XAU showed better risk-adjusted performance with a Sharpe ratio of 2.34 versus SPY's 0.74 During 2025.

Could XAU and SPY have been combined in a portfolio?

Yes, though allocation sizing mattered. Their negative correlation could have significantly reduced portfolio variance through offsetting movements. SPY's higher volatility (19.5%) meant even small allocations can materially impact overall portfolio risk.

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