Gold vs US Real Estate (REITs) (XAU vs VNQ) 2026: Returns, Risk & Volatility

Reviewed by Sid Kalla CFA Charterholder

Returns shown in USD.

Quick answer

Which is a better investment: XAU or VNQ?

From October 14, 2025 to October 13, 2026: VNQ led on total return (+3.7% vs XAU +0.5%). VNQ had the higher Sharpe ratio (0.06 vs XAU 0.03). On observed risk, VNQ had lower annualized volatility (13.7% vs XAU 29.0%); VNQ had a smaller maximum drawdown (-12.1% vs XAU -26.6%).

Total Return

XAU +0.5%

VNQ +3.7%

Sharpe Ratio

XAU 0.03

VNQ 0.06

Annualized Volatility

XAU 29.0%

VNQ 13.7%

Max Drawdown

XAU -26.6%

VNQ -12.1%

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

XAU Total Return

↑ +0.5%

VNQ Total Return

↑ +3.7%

Relative Performance of XAU vs VNQ (Normalized to 100)

XAU VNQ

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: XAU delivered a +0.5% total return, while VNQ returned +3.7% over the same period. VNQ outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): VNQ had a higher Sharpe (0.06 vs 0.03), indicating better risk-adjusted performance.
Volatility (Annualized): XAU was more volatile, with 29.0% annualized volatility, versus 13.7% for VNQ.
Maximum Drawdown: VNQ's maximum drawdown was -12.1%, while XAU experienced a deeper drawdown of -26.6%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), XAU's VaR was -3.25% and its Expected Shortfall (CVaR) was -4.53%; VNQ's were -1.39% and -1.91%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: XAU -0.82 vs VNQ -0.20. Excess kurtosis: XAU 4.05 vs VNQ 0.63. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): XAU 9/5, VNQ 7/5. Worst day: XAU -9.87% (2026-01-30) vs VNQ -3.10% (2026-03-20). Best day: XAU +6.13% (2026-02-03) vs VNQ +2.30% (2026-06-09).
Risk ratios: Sortino - XAU: 0.04 vs. VNQ: 0.09 , Calmar - XAU: 0.02 vs. VNQ: 0.31 , Sterling - XAU: -0.13 vs. VNQ: -0.00 , Treynor - XAU: 0.01 vs. VNQ: 0.03 , Ulcer Index - XAU: 15.31% vs. VNQ: 4.01%

Investment Comparison

If you invested $10,000 in each asset on October 14, 2025:

XAU $10,045.99 +0.5%

VNQ $10,374.57 +3.7%

Difference: $328.58 (VNQ ahead)

Gold vs US Real Estate (REITs) Performance Over Time

Metric	XAU	VNQ
30 Days	-4.3%	-3.9%
90 Days	2.5%	-6.9%
180 Days	-13.1%	-4.2%
1 Year	0.5%	3.7%

Across the available lookbacks in this table, XAU led on total return for 90 Days, while VNQ led for 30 Days, 180 Days, and 1 Year.

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

Gold vs US Real Estate (REITs) Correlation

Average Correlation

weakly correlated

0.19

Current (30-day) 0.40

30-day rolling range -0.35 to +0.65

Gold and US Real Estate (REITs) were weakly correlated from October 14, 2025 to October 13, 2026. The reported average correlation of 0.19 showed weak linear co-movement in the observed sample; this does not establish independence.

Correlation alone does not establish portfolio risk reduction or predict selloff behavior. This comparison does not model a combined portfolio.

Metric	Value
Current (30-day)	0.40
Average (full period)	0.19
Minimum (30-day rolling)	-0.35
Maximum (30-day rolling)	0.65

Correlation measures linear co-movement of returns: near +1 indicates strong positive co-movement, near 0 indicates weak linear co-movement, and negative values indicate inverse co-movement. Near-zero correlation does not establish independence. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

XAU

-26.6%

VNQ

-12.1%

Gold experienced its maximum drawdown of -26.6% from 2026-01-28 to 2026-07-16. It has not yet recovered to its previous peak.

US Real Estate (REITs) experienced its maximum drawdown of -12.1% from 2026-07-28 to 2026-10-07. 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 US Real Estate (REITs) Volatility (XAU vs VNQ)

XAU Volatility

29.0%

±1.83% 1-day vol

VNQ Volatility

13.7%

±0.87% 1-day vol

1-day volatility (1σ)

XAU

±1.83%

VNQ

±0.87%

Gold's 29.0% annualized volatility translates to about ±1.83% one-standard-deviation daily volatility.

US Real Estate (REITs)'s 13.7% annualized volatility translates to about ±0.87% one-standard-deviation daily volatility.

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

Sharpe Ratio: XAU vs. VNQ

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. VNQ had a higher Sharpe (0.06 vs 0.03), 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 XAU and VNQ

Sortino Ratio: XAU vs. VNQ

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). VNQ 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 21.7% vs VNQ 9.8%. 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 VNQ

Calmar Ratio: XAU vs. VNQ

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. VNQ 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 VNQ

Sterling Ratio: XAU vs. VNQ

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%). VNQ 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 VNQ

Treynor Ratio: XAU vs. VNQ

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. VNQ 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 VNQ

Ulcer Index: XAU vs. VNQ

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. VNQ 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. US Real Estate (REITs)

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. VNQ (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	VNQ
5% VaR (daily log return)	-3.25%	-1.39%
5% Expected Shortfall (CVaR)	-4.53% (worst 13 days)	-1.91% (worst 13 days)
Skew	-0.82	-0.20
Excess kurtosis	4.05	0.63
2σ tail days (down / up)	9 / 5	7 / 5
Worst day	-9.87% (2026-01-30)	-3.10% (2026-03-20)
Best day	+6.13% (2026-02-03)	+2.30% (2026-06-09)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=250). 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. VNQ (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 VNQ 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 VNQ had a big down day (2σ)

None in this window.

Days when XAU had a big down day

Date (interval)	XAU	VNQ
2025-10-21	-5.31%	-0.28%
2025-12-26 → 2025-12-29	-4.40%	+0.20%
2026-01-30	-9.87%	+0.10%
2026-01-30 → 2026-02-02	-3.85%	-1.04%
2026-02-05	-3.73%	-0.14%
2026-03-03	-4.39%	-0.53%
2026-03-19	-3.75%	-0.40%
2026-06-10	-4.42%	-0.86%
2026-09-25 → 2026-09-28	-4.11%	-0.44%

Days when VNQ had a big down day

Date (interval)	XAU	VNQ
2025-10-28	-1.38%	-1.96%
2025-10-29	+0.18%	-2.58%
2026-01-16 → 2026-01-20	+3.96%	-1.86%
2026-03-20	-3.47%	-3.10%
2026-04-21	-2.08%	-1.77%
2026-06-17	-1.70%	-2.50%
2026-06-30	-0.23%	-1.75%

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. US Real Estate (REITs) (1-Year)

Metric	XAU	VNQ
Total Return	+0.5%	+3.7%
Annualized Volatility	29.0%	13.7%
Sharpe Ratio	0.03	0.06
Sortino Ratio	0.04	0.09
Calmar Ratio	0.02	0.31
Sterling Ratio	-0.13	-0.00
Treynor Ratio	0.01	0.03
Ulcer Index	15.31%	4.01%
Max Drawdown	-26.6%	-12.1%
Avg Correlation to S&P 500	0.41	0.29
5% VaR (daily log return)	-3.25%	-1.39%
5% Expected Shortfall (CVaR)	-4.53%	-1.91%
Skew	-0.82	-0.20
Excess kurtosis	4.05	0.63
2σ tail days (down / up)	9 / 5	7 / 5

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-10-14 → 2026-10-13 (last shared close).
Rolling correlation sample (shared closes): 221 rolling 30-day values (from 250 shared daily returns).
Annualization (days/year): XAU: 252 days/year; VNQ: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

XAU: 3.81% over 2025-10-14 → 2026-10-13.

VNQ: 3.81% over 2025-10-14 → 2026-10-13.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

XAU: ≈ -4.2%/yr

VNQ: ≈ -0.9%/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 US Real Estate (REITs): Frequently Asked Questions

Which has higher volatility: XAU or VNQ?

XAU showed higher volatility at 29.0% annualized, compared to 13.7% for VNQ Over the past year. Higher volatility means larger price swings in both directions.

Does XAU provide diversification when held with VNQ?

XAU and VNQ were weakly correlated from October 14, 2025 to October 13, 2026, with an average correlation of 0.19. Correlation alone does not establish portfolio risk reduction or predict selloff behavior. This comparison does not model a combined portfolio.

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

Over the past year, XAU's 5% VaR was -3.25% and its 5% Expected Shortfall was -4.53% (worst 13 days). VNQ's were -1.39% and -1.91% (worst 13 days).

Do XAU and VNQ crash together on bad days?

On shared dates (n=250), when VNQ has a 2σ down day, XAU also does 0.0% (0/7 days). In the other direction, when XAU has one, VNQ also does 0.0% (0/9 days).

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

VNQ showed better risk-adjusted performance with a Sharpe ratio of 0.06 versus XAU's 0.03 Over the past year.

Can XAU and VNQ be combined in a portfolio?

This comparison measures the assets individually, not a combined portfolio. Portfolio risk depends on allocation weights and the joint return path; no portfolio result is calculated here. XAU had higher annualized volatility (29.0%) in this sample; the effect of an allocation is not measured here.

Explore our financial glossary

Which is a better investment: XAU or VNQ?

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Relative Performance of XAU vs VNQ (Normalized to 100)

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Key Takeaways

Investment Comparison

Gold vs US Real Estate (REITs) Performance Over Time

Gold vs US Real Estate (REITs) Correlation

Drawdown

Gold vs US Real Estate (REITs) Volatility (XAU vs VNQ)

Risk-adjusted ratios

Sharpe Ratio of XAU and VNQ

Sharpe Ratio: XAU vs. VNQ

Sortino Ratio of XAU and VNQ

Sortino Ratio: XAU vs. VNQ

Calmar Ratio of XAU and VNQ

Calmar Ratio: XAU vs. VNQ

Sterling Ratio of XAU and VNQ

Sterling Ratio: XAU vs. VNQ

Treynor Ratio of XAU and VNQ

Treynor Ratio: XAU vs. VNQ

Ulcer Index of XAU and VNQ

Ulcer Index: XAU vs. VNQ

Tail Risk & Distribution Shape (1-Year): Gold vs. US Real Estate (REITs)

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

Downside co-moves (2σ) — 1-Year

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

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

Days when XAU had a big down day

Days when VNQ had a big down day

Full Comparison of Gold vs. US Real Estate (REITs) (1-Year)

Inputs & conventions

Formulas

Gold vs US Real Estate (REITs): Frequently Asked Questions

Which has higher volatility: XAU or VNQ?

Does XAU provide diversification when held with VNQ?

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

Do XAU and VNQ crash together on bad days?

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

Can XAU and VNQ be combined in a portfolio?