Gold has been used for several millennia throughout the world for trade and commerce but more importantly as a store of value in a changing world. Major currencies pre-1971 were pegged to gold for a reason, as it established trust in that currency. From a portfolio management and risk management point of view, gold has always had a place for diversification. Its risks are different from traditional asset classes. The supply of new gold grows at a much slower pace than fiat currencies.
Bitcoin is relatively super new, but its promise is to have gold-like properties in the digital world. Most specifically, there will only ever be a fixed number of units of Bitcoin, which makes it scarce similar to gold. Bitcoin has also found itself as an asset that is valuable for portfolio diversification and risk management in a world where many fiat currencies experience high inflation. It is a monetary and geopolitical hedge in certain situations, similar to gold, but with very different return and risk characteristics.
Cite This Comparison
"Bitcoin vs Gold (BTC vs XAU): Returns, Risk & Volatility (2026)." Gale Finance, January 9, 2026. https://www.gale.finance/compare/btc-vs-xau Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2025-01-10 to 2026-01-09
Relative Performance of BTC vs XAU (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: BTC delivered a -1.3% total return, while XAU returned +66.4% over the same period. XAU outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): XAU had a higher Sharpe (2.45 vs 0.07), indicating better risk-adjusted performance.
- Volatility (Annualized): BTC was more volatile, with 41.4% annualized volatility, versus 19.5% for XAU.
- Maximum Drawdown: XAU's maximum drawdown was -9.7%, while BTC experienced a deeper drawdown of -32.1%.
- Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), BTC's VaR was -3.38% and its Expected Shortfall (CVaR) was -4.97%; XAU's were -1.75% and -2.69%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
- Skew & Kurtosis: Skew: BTC -0.01 vs XAU -0.43. Excess kurtosis: BTC 2.41 vs XAU 2.19. Negative skew leans downside; higher excess kurtosis means fatter tails.
- Tail Days & Extremes: 2σ tail days (down/up): BTC 10/9, XAU 8/10. Worst day: BTC -9.03% (2025-03-04) vs XAU -5.45% (2025-10-21). Best day: BTC +9.17% (2025-03-03) vs XAU +3.44% (2025-04-16).
Bitcoin vs Gold Correlation
Bitcoin and Gold are weakly correlated over the past year. With a correlation of 0.13, these assets show meaningful independence, offering diversification benefits when held together.
For portfolio construction, this weak correlation suggests that combining BTC and XAU could reduce overall portfolio variance. However, correlations can increase during market stress.
| Metric | Metric | Value |
|---|---|---|
| Current (30-day) | 0.05 | |
| Average (full period) | 0.13 | |
| Minimum | -0.18 | |
| Maximum | 0.49 |
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 10, 2025:
Difference: $6,777.71 (XAU ahead)
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Bitcoin and Gold: Risk Analysis
Bitcoin experienced its maximum drawdown of -32.1% from 2025-10-07 to 2025-11-23. It has not yet recovered to its previous peak.
Gold experienced its maximum drawdown of -9.7% from 2025-10-20 to 2025-11-04. It took 48 days to recover.
Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.
Sharpe Ratio of BTC and XAU
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. XAU had a higher Sharpe (2.45 vs 0.07), 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 BTC and XAU
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. XAU had better downside-adjusted returns.
A higher Sortino is better. It's particularly useful for assets with asymmetric volatility (big gains, smaller losses). Downside volatility: BTC 28.5% vs XAU 13.9%. 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).
Tail Risk & Distribution Shape: Bitcoin vs. Gold
This section looks at the shape of daily returns, not just the average. We use daily log returns so multi-day moves add cleanly.
| Metric (1y) | BTC | XAU |
|---|---|---|
| 5% VaR (daily log return) | -3.38% | -1.75% |
| 5% Expected Shortfall (CVaR) | -4.97% (worst 19 days) | -2.69% (worst 13 days) |
| Skew | -0.01 | -0.43 |
| Excess kurtosis | 2.41 | 2.19 |
| 2σ tail days (down / up) | 10 / 9 | 8 / 10 |
| Worst day | -9.03% (2025-03-04) | -5.45% (2025-10-21) |
| Best day | +9.17% (2025-03-03) | +3.44% (2025-04-16) |
Downside co-moves (2σ)
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.
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 BTC and XAU had a big down day (2σ)
None in this window.
Days when BTC had a big down day
| Date (interval) | BTC | XAU |
|---|---|---|
| 2025-02-21 → 2025-02-24 | -4.93% | +0.61% |
| 2025-02-26 | -5.47% | +0.05% |
| 2025-03-07 → 2025-03-10 | -9.21% | -0.84% |
| 2025-04-04 → 2025-04-07 | -5.57% | -1.75% |
| 2025-08-22 → 2025-08-25 | -5.69% | -0.22% |
| 2025-10-10 | -6.98% | +0.85% |
| 2025-11-14 | -5.29% | -2.02% |
| 2025-11-20 | -5.16% | -0.02% |
| 2025-11-28 → 2025-12-01 | -5.13% | -0.48% |
Days when XAU had a big down day
| Date (interval) | BTC | XAU |
|---|---|---|
| 2025-04-04 | +0.83% | -2.52% |
| 2025-04-23 | +0.03% | -2.75% |
| 2025-05-09 → 2025-05-12 | -0.08% | -2.79% |
| 2025-05-14 | -0.57% | -2.24% |
| 2025-10-17 | -1.51% | -2.37% |
| 2025-10-21 | -1.92% | -5.31% |
| 2025-10-24 → 2025-10-27 | +2.87% | -2.78% |
| 2025-12-26 → 2025-12-29 | -0.17% | -4.40% |
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.
Bitcoin vs Gold Volatility (BTC vs XAU)
Bitcoin's annualized volatility of 41.4% means it typically moves ±2.17% on any given day.
Gold's annualized volatility of 19.5% means it typically moves ±1.23% on any given day.
BTC'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.
Bitcoin vs Gold Performance Over Time
| Metric | BTC | XAU |
|---|---|---|
| 30 Days | 0.6% | 6.4% |
| 90 Days | -25.1% | 11.7% |
| 180 Days | -22.5% | 33.4% |
| 1 Year | -1.3% | 66.4% |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison of Bitcoin vs. Gold (1-Year)
| Metric | BTC | XAU |
|---|---|---|
| Total Return | -1.3% | +66.4% |
| Annualized Volatility | 41.4% | 19.5% |
| Sharpe Ratio | 0.07 | 2.45 |
| Sortino Ratio | 0.10 | 3.45 |
| Max Drawdown | -32.1% | -9.7% |
| Avg Correlation to S&P 500 | 0.46 | -0.09 |
| 5% VaR (daily log return) | -3.38% | -1.75% |
| 5% Expected Shortfall (CVaR) | -4.97% | -2.69% |
| Skew | -0.01 | -0.43 |
| Excess kurtosis | 2.41 | 2.19 |
| 2σ tail days (down / up) | 10 / 9 | 8 / 10 |
Bitcoin vs Gold: Frequently Asked Questions
Which has higher volatility: BTC or XAU?
BTC showed higher volatility at 41.4% annualized, compared to 19.5% for XAU Over the past year. Higher volatility means larger price swings in both directions.
Does BTC provide diversification when held with XAU?
BTC and XAU are weakly correlated over the past year, with an average correlation of 0.13. This weak correlation suggests meaningful diversification benefits when held together.
How bad are the worst 5% days for BTC vs XAU?
Over the past year, BTC's 5% VaR was -3.38% and its 5% Expected Shortfall was -4.97% (worst 19 days). XAU's were -1.75% and -2.69% (worst 13 days).
Do BTC and XAU crash together on bad days?
On shared dates (n=256), when XAU has a 2σ down day, BTC also does 0.0% (0/8 days). In the other direction, when BTC has one, XAU also does 0.0% (0/9 days).
Which has better risk-adjusted returns: BTC or XAU?
XAU showed better risk-adjusted performance with a Sharpe ratio of 2.45 versus BTC's 0.07 Over the past year.
Can BTC and XAU be combined in a portfolio?
Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. BTC's higher volatility (41.4%) means even small allocations can materially impact overall portfolio risk.