XPT vs XAU: Commodity Returns, Risk & Volatility (2026)

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

Over the past year, it depends: XPT led on total return (XPT +141.0% vs XAU +79.5%), but XAU had the higher Sharpe ratio (XAU 2.26 vs XPT 2.03). On risk, XAU was less volatile (XAU 25.1% vs XPT 46.2%), XAU had a smaller max drawdown (XAU -13.9% vs XPT -28.3%), and XAU had less severe losses on the worst 5% of days (Expected Shortfall of XAU -3.79% vs XPT -8.16%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: XPT or XAU?

Over the past year, results are mixed (+141.0% vs +79.5%).

Total Return

XPT WIN +141.0%

XAU +79.5%

Sharpe Ratio

XPT 2.03

XAU WIN 2.26

Annualized Volatility

XPT 46.2%

XAU WIN 25.1%

Max Drawdown

XPT -28.3%

XAU WIN -13.9%

Analysis period: 2025-02-27 to 2026-02-25

XPT Total Return

↑ +141.0%

XAU Total Return

↑ +79.5%

Relative Performance of XPT vs XAU (Normalized to 100)

XPT XAU

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: XPT delivered a +141.0% total return, while XAU returned +79.5% over the same period. XPT outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): XAU had a higher Sharpe (2.26 vs 2.03), indicating better risk-adjusted performance.
Volatility (Annualized): XPT was more volatile, with 46.2% annualized volatility, versus 25.1% for XAU.
Maximum Drawdown: XAU's maximum drawdown was -13.9%, while XPT experienced a deeper drawdown of -28.3%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), XPT's VaR was -4.55% and its Expected Shortfall (CVaR) was -8.16%; XAU's were -2.26% and -3.79%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: XPT -1.96 vs XAU -1.21. Excess kurtosis: XPT 11.13 vs XAU 8.24. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): XPT 11/4, XAU 6/4. Worst day: XPT -18.36% (2026-01-30) vs XAU -9.87% (2026-01-30). Best day: XPT +7.88% (2025-12-22) vs XAU +6.13% (2026-02-03).
Risk ratios: Sortino - XPT: 2.77 vs. XAU: 3.28 , Calmar - XPT: 5.02 vs. XAU: 5.76 , Sterling - XPT: 8.28 vs. XAU: 5.46 , Treynor - XPT: 2.56 vs. XAU: 16.48 , Ulcer Index - XPT: 8.18% vs. XAU: 3.85%

Platinum vs Gold Correlation

0.55 Average Correlation

Platinum and Gold are moderately correlated over the past year. With a correlation of 0.55, these assets show moderate co-movement, offering some diversification when held together.

For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.

Metric	Value
Current (30-day)	0.82
Average (full period)	0.55
Minimum	0.08
Maximum	0.86

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 February 27, 2025:

XPT $24,100.45 +141.0%

XAU $17,952.38 +79.5%

Difference: $6,148.07 (XPT ahead)

Platinum and Gold: Risk Analysis

Platinum experienced its maximum drawdown of -28.3% from 2026-01-23 to 2026-02-05. It has not yet recovered to its previous peak.

Gold experienced its maximum drawdown of -13.9% from 2026-01-28 to 2026-02-02. 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 XPT and XAU

XPT Sharpe Ratio

↑ 2.03

XAU Sharpe Ratio

↑ 2.26

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. XAU had a higher Sharpe (2.26 vs 2.03), 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 XPT and XAU

XPT Sortino Ratio

↑ 2.77

XAU Sortino Ratio

↑ 3.28

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: XPT 33.7% vs XAU 17.2%. 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 XPT and XAU

XPT Calmar Ratio

↑ 5.02

XAU Calmar Ratio

↑ 5.76

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. XAU 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 XPT and XAU

XPT Sterling Ratio

↑ 8.28

XAU Sterling Ratio

↑ 5.46

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). XPT 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 XPT and XAU

XPT Treynor Ratio

↑ 2.56

XAU Treynor Ratio

↑ 16.48

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 XPT and XAU

XPT Ulcer Index

8.18%

XAU Ulcer Index

3.85%

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): Platinum vs. Gold

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 (1-Year)	XPT	XAU
5% VaR (daily log return)	-4.55%	-2.26%
5% Expected Shortfall (CVaR)	-8.16% (worst 13 days)	-3.79% (worst 13 days)
Skew	-1.96	-1.21
Excess kurtosis	11.13	8.24
2σ tail days (down / up)	11 / 4	6 / 4
Worst day	-18.36% (2026-01-30)	-9.87% (2026-01-30)
Best day	+7.88% (2025-12-22)	+6.13% (2026-02-03)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=256). 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 XAU has a big down day, XPT also does

66.7%

4 / 6 days

When XPT has a big down day, XAU also does

36.4%

4 / 11 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 XPT and XAU had a big down day (2σ)

Date (interval)	XPT	XAU
2025-12-26 → 2025-12-29	-12.97%	-4.40%
2026-01-30	-18.36%	-9.87%
2026-02-05	-11.08%	-3.73%
2026-02-12	-6.13%	-3.20%

Days when XPT had a big down day

Date (interval)	XPT	XAU
2025-06-13	-5.46%	+1.38%
2025-06-27	-5.83%	-1.71%
2025-07-30	-5.86%	-1.54%
2025-10-17	-6.01%	-2.37%
2025-12-26 → 2025-12-29	-12.97%	-4.40%
2025-12-31	-6.06%	-0.46%
2026-01-07	-6.17%	-0.86%
2026-01-23 → 2026-01-26	-7.14%	+0.58%
2026-01-30	-18.36%	-9.87%
2026-02-05	-11.08%	-3.73%
2026-02-12	-6.13%	-3.20%

Days when XAU had a big down day

Date (interval)	XPT	XAU
2025-10-21	-5.26%	-5.31%
2025-12-26 → 2025-12-29	-12.97%	-4.40%
2026-01-30	-18.36%	-9.87%
2026-01-30 → 2026-02-02	-1.36%	-3.85%
2026-02-05	-11.08%	-3.73%
2026-02-12	-6.13%	-3.20%

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.

Platinum vs Gold Volatility (XPT vs XAU)

XPT Volatility

46.2%

±2.91% daily

XAU Volatility

25.1%

±1.58% daily

Typical daily swing

XPT

±2.91%

XAU

±1.58%

Platinum's annualized volatility of 46.2% means it typically moves ±2.91% on any given day.

Gold's annualized volatility of 25.1% means it typically moves ±1.58% on any given day.

XPT's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while XAU's smoother profile may better suit long-term allocators seeking steadier growth.

For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.

Platinum vs Gold Performance Over Time

Metric	XPT	XAU
30 Days	-11.2%	3.1%
90 Days	42.3%	24.2%
180 Days	66.5%	49.6%
1 Year	141%	79.5%

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

Full Comparison of Platinum vs. Gold (1-Year)

Metric	XPT	XAU
Total Return	+141.0%	+79.5%
Annualized Volatility	46.2%	25.1%
Sharpe Ratio	2.03	2.26
Sortino Ratio	2.77	3.28
Calmar Ratio	5.02	5.76
Sterling Ratio	8.28	5.46
Treynor Ratio	2.56	16.48
Ulcer Index	8.18%	3.85%
Max Drawdown	-28.3%	-13.9%
Avg Correlation to S&P 500	0.11	-0.06
5% VaR (daily log return)	-4.55%	-2.26%
5% Expected Shortfall (CVaR)	-8.16%	-3.79%
Skew	-1.96	-1.21
Excess kurtosis	11.13	8.24
2σ tail days (down / up)	11 / 4	6 / 4

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-27 → 2026-02-25 (last shared close).
Rolling correlation sample (shared closes): 227 rolling 30-day values (from 256 shared daily returns).
Annualization (days/year): XPT: 252 days/year; XAU: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

XPT: 4.20% over 2025-02-27 → 2026-02-25.

XAU: 4.20% over 2025-02-27 → 2026-02-25.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

XPT: ≈ -10.7%/yr

XAU: ≈ -3.2%/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.

Platinum vs Gold: Frequently Asked Questions

Which has higher volatility: XPT or XAU?

XPT showed higher volatility at 46.2% annualized, compared to 25.1% for XAU Over the past year. Higher volatility means larger price swings in both directions.

Does XPT provide diversification when held with XAU?

XPT and XAU are moderately correlated over the past year, with an average correlation of 0.55. This offers some diversification benefit, though they still tend to move together during major market moves.

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

Over the past year, XPT's 5% VaR was -4.55% and its 5% Expected Shortfall was -8.16% (worst 13 days). XAU's were -2.26% and -3.79% (worst 13 days).

Do XPT and XAU crash together on bad days?

On shared dates (n=256), when XAU has a 2σ down day, XPT also does 66.7% (4/6 days). In the other direction, when XPT has one, XAU also does 36.4% (4/11 days).

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

XAU showed better risk-adjusted performance with a Sharpe ratio of 2.26 versus XPT's 2.03 Over the past year.

Can XPT and XAU be combined in a portfolio?

Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. XPT's higher volatility (46.2%) means even small allocations can materially impact overall portfolio risk.