SPY vs GLD: Returns, Risk & Volatility (2026)

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

Over the past year, GLD looks like the better investment: it had higher total return (GLD +78.7% vs SPY +19.9%) and a higher Sharpe ratio (GLD 2.26 vs SPY 0.82). On risk, SPY was less volatile (SPY 19.4% vs GLD 25.7%), GLD had a smaller max drawdown (GLD -13.9% vs SPY -16.2%), and SPY had less severe losses on the worst 5% of days (Expected Shortfall of SPY -2.82% vs GLD -3.86%).

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 (+19.9% vs +78.7%) with a Sharpe ratio of 2.26.

Total Return

SPY +19.9%

GLD WIN +78.7%

Sharpe Ratio

SPY 0.82

GLD WIN 2.26

Annualized Volatility

SPY WIN 19.4%

GLD 25.7%

Max Drawdown

SPY -16.2%

GLD WIN -13.9%

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

SPY Total Return

↑ +19.9%

GLD Total Return

↑ +78.7%

Relative Performance of SPY vs GLD (Normalized to 100)

SPY GLD

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: SPY delivered a +19.9% total return, while GLD returned +78.7% over the same period. GLD outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): GLD had a higher Sharpe (2.26 vs 0.82), indicating better risk-adjusted performance.
Volatility (Annualized): GLD was more volatile, with 25.7% annualized volatility, versus 19.4% for SPY.
Maximum Drawdown: GLD's maximum drawdown was -13.9%, while SPY experienced a deeper drawdown of -16.2%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), SPY's VaR was -1.67% and its Expected Shortfall (CVaR) was -2.82%; GLD's were -2.13% and -3.86%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: SPY 1.10 vs GLD -1.43. Excess kurtosis: SPY 20.99 vs GLD 9.38. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): SPY 6/3, GLD 6/5. Worst day: SPY -5.85% (2025-04-04) vs GLD -10.27% (2026-01-30). Best day: SPY +10.50% (2025-04-09) vs GLD +6.36% (2026-02-03).
Risk ratios: Sortino - SPY: 1.24 vs. GLD: 3.22 , Calmar - SPY: 1.24 vs. GLD: 5.72 , Sterling - SPY: 0.98 vs. GLD: 6.26 , Treynor - SPY: 0.16 vs. GLD: 19.44 , Ulcer Index - SPY: 3.51% vs. GLD: 3.92%

S&P 500 vs Gold ETF Correlation

-0.03 Average Correlation

S&P 500 and Gold ETF are negatively correlated over the past year. With a negative correlation of -0.03, these assets tend to move in opposite directions, potentially offering strong diversification benefits.

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

Metric	Value
Current (30-day)	0.08
Average (full period)	-0.03
Minimum	-0.69
Maximum	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.

Investment Comparison

If you invested $10,000 in each asset on February 27, 2025:

SPY $11,986.43 +19.9%

GLD $17,869.63 +78.7%

Difference: $5,883.2 (GLD ahead)

S&P 500 and Gold ETF: Risk Analysis

S&P 500 experienced its maximum drawdown of -16.2% from 2025-02-28 to 2025-04-08. It took 38 days to recover.

Gold ETF experienced its maximum drawdown of -13.9% from 2026-01-29 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 SPY and GLD

SPY Sharpe Ratio

↑ 0.82

GLD Sharpe Ratio

↑ 2.26

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. GLD had a higher Sharpe (2.26 vs 0.82), 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

SPY Sortino Ratio

↑ 1.24

GLD Sortino Ratio

↑ 3.22

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). GLD 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 12.9% vs GLD 18.0%. 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

SPY Calmar Ratio

↑ 1.24

GLD Calmar Ratio

↑ 5.72

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

SPY Sterling Ratio

↑ 0.98

GLD Sterling Ratio

↑ 6.26

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

SPY Treynor Ratio

↑ 0.16

GLD Treynor Ratio

↑ 19.44

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

SPY Ulcer Index

3.51%

GLD Ulcer Index

3.92%

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.

Metric (1-Year)	SPY	GLD
5% VaR (daily log return)	-1.67%	-2.13%
5% Expected Shortfall (CVaR)	-2.82% (worst 13 days)	-3.86% (worst 13 days)
Skew	1.10	-1.43
Excess kurtosis	20.99	9.38
2σ tail days (down / up)	6 / 3	6 / 5
Worst day	-5.85% (2025-04-04)	-10.27% (2026-01-30)
Best day	+10.50% (2025-04-09)	+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.

When GLD has a big down day, SPY also does

0.0%

0 / 6 days

When SPY has a big down day, GLD also does

0.0%

0 / 6 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 SPY and GLD had a big down day (2σ)

None in this window.

Days when SPY had a big down day

Date (interval)	SPY	GLD
2025-03-07 → 2025-03-10	-2.66%	-0.88%
2025-04-03	-4.93%	-0.60%
2025-04-04	-5.85%	-2.34%
2025-04-10	-4.38%	+2.44%
2025-04-17 → 2025-04-21	-2.38%	+3.09%
2025-10-10	-2.70%	+1.01%

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%
2026-02-13 → 2026-02-17	+0.16%	-3.12%

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.

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

SPY Volatility

19.4%

±1.22% daily

GLD Volatility

25.7%

±1.62% daily

Typical daily swing

SPY

±1.22%

GLD

±1.62%

S&P 500's annualized volatility of 19.4% means it typically moves ±1.22% on any given day.

Gold ETF's annualized volatility of 25.7% means it typically moves ±1.62% on any given day.

GLD's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while SPY'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.

S&P 500 vs Gold ETF Performance Over Time

Metric	SPY	GLD
30 Days	0.1%	1.9%
90 Days	2.3%	23.6%
180 Days	8.1%	48.8%
1 Year	19.9%	78.7%

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

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

Metric	SPY	GLD
Total Return	+19.9%	+78.7%
Annualized Volatility	19.4%	25.7%
Sharpe Ratio	0.82	2.26
Sortino Ratio	1.24	3.22
Calmar Ratio	1.24	5.72
Sterling Ratio	0.98	6.26
Treynor Ratio	0.16	19.44
Ulcer Index	3.51%	3.92%
Max Drawdown	-16.2%	-13.9%
Avg Correlation to S&P 500	1.00	-0.04
5% VaR (daily log return)	-1.67%	-2.13%
5% Expected Shortfall (CVaR)	-2.82%	-3.86%
Skew	1.10	-1.43
Excess kurtosis	20.99	9.38
2σ tail days (down / up)	6 / 3	6 / 5

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

GLD: 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.

SPY: ≈ -1.9%/yr

GLD: ≈ -3.3%/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 25.7% annualized, compared to 19.4% 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 negatively correlated over the past year, with an average correlation of -0.03. This negative correlation suggests strong diversification benefits through offsetting movements.

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

Over the past year, SPY's 5% VaR was -1.67% and its 5% Expected Shortfall was -2.82% (worst 13 days). GLD's were -2.13% and -3.86% (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 0.0% (0/6 days). In the other direction, when SPY has one, GLD also does 0.0% (0/6 days).

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

GLD showed better risk-adjusted performance with a Sharpe ratio of 2.26 versus SPY's 0.82 Over the past year.

Can SPY and GLD be combined in a portfolio?

Yes, though allocation sizing matters. Their negative correlation could significantly reduce portfolio variance through offsetting movements. GLD's higher volatility (25.7%) means even small allocations can materially impact overall portfolio risk.