Cite This Comparison
"Gold vs Silver (XAU vs XAG): Returns, Risk & Volatility (2021)." Gale Finance, December 31, 2021. https://www.gale.finance/compare/xau-vs-xag-2021 Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2021-01-01 to 2021-12-31
Relative Performance of XAU vs XAG (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: XAU delivered a -5.8% total return, while XAG returned -14.6% over the same period. XAU outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (XAG -0.62 vs XAU -0.72), meaning both underperformed the risk-free rate; XAG was less negative.
- Volatility (Annualized): XAG was more volatile, with 26.4% annualized volatility, versus 13.3% for XAU.
- Maximum Drawdown: XAU's maximum drawdown was -13.7%, while XAG experienced a deeper drawdown of -25.8%.
Gold vs Silver Correlation
Gold and Silver were strongly correlated in 2021. With a correlation of 0.77, these assets tended to move together, limiting diversification benefits.
For portfolio construction, this strong correlation means holding both XAU and XAG provides limited risk reduction — they're likely to decline together in downturns.
| Metric | Metric | Value |
|---|---|---|
| Current (30-day) | 0.64 | |
| Average (full period) | 0.77 | |
| Minimum | 0.59 | |
| Maximum | 0.91 |
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, 2021:
Difference: $875.618 (XAU ahead)
Gold and Silver: Risk Analysis
Gold experienced its maximum drawdown of -13.7% from 2021-01-05 to 2021-03-08. It has not yet recovered to its previous peak.
Silver experienced its maximum drawdown of -25.8% from 2021-02-01 to 2021-09-29. 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 XAG
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (XAG -0.62 vs XAU -0.72), meaning both underperformed the risk-free rate; XAG was less negative.
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 XAG
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. XAG 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: XAU 10.4% vs XAG 19.0%. 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).
Full Comparison of Gold vs. Silver (2021)
| Metric | XAU | XAG |
|---|---|---|
| Total Return | -5.8% | -14.6% |
| Annualized Volatility | 13.3% | 26.4% |
| Sharpe Ratio | -0.72 | -0.62 |
| Sortino Ratio | -0.91 | -0.87 |
| Max Drawdown | -13.7% | -25.8% |
| Avg Correlation to S&P 500 | N/A | N/A |
Gold vs Silver: Frequently Asked Questions
Which had higher volatility: XAU or XAG?
XAG showed higher volatility at 26.4% annualized, compared to 13.3% for XAU During 2021. Higher volatility meant larger price swings in both directions.
Did XAU provide diversification when held with XAG?
XAU and XAG were strongly correlated in 2021, with an average correlation of 0.77. This strong correlation limited diversification benefits.
Which had better risk-adjusted returns: XAU or XAG?
Both assets posted negative Sharpe ratios During 2021 (XAG -0.62 vs XAU -0.72), meaning both underperformed the risk-free rate; XAG was less negative.
Could XAU and XAG have been combined in a portfolio?
Yes, though allocation sizing mattered. Their strong correlation provided limited risk reduction since they tended to move together. XAG's higher volatility (26.4%) meant even small allocations can materially impact overall portfolio risk.