XAU vs XAG: Commodity Returns, Risk & Volatility (2022)

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Analysis period: 2022-01-01 to 2022-12-31

XAU Total Return

↑ +1.2%

XAG Total Return

↑ +4.5%

Relative Performance of XAU vs XAG (Normalized to 100)

XAU XAG

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: XAU delivered a +1.2% total return, while XAG returned +4.5% over the same period. XAG outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): XAU had a negative Sharpe (-0.15) while XAG was positive (0.14), indicating XAG had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): XAG was more volatile, with 29.3% annualized volatility, versus 14.8% for XAU.
Maximum Drawdown: XAU's maximum drawdown was -20.8%, while XAG experienced a deeper drawdown of -32.6%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), XAU's VaR was -1.61% and its Expected Shortfall (CVaR) was -1.98%; XAG's were -2.69% and -3.46%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: XAU 0.04 vs XAG 0.58. Excess kurtosis: XAU 0.78 vs XAG 1.95. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): XAU 5/9, XAG 6/8. Worst day: XAU -2.83% (2022-03-09) vs XAG -4.12% (2022-05-12). Best day: XAU +3.13% (2022-11-04) vs XAG +8.89% (2022-10-03).
Risk ratios: Sortino - XAU: -0.21 vs. XAG: 0.21 , Calmar - XAU: N/A vs. XAG: N/A , Sterling - XAU: N/A vs. XAG: N/A , Treynor - XAU: N/A vs. XAG: N/A , Ulcer Index - XAU: N/A vs. XAG: N/A

Gold vs Silver Correlation

0.81 Average Correlation

Gold and Silver were strongly correlated in 2022. With a correlation of 0.81, 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	Value
Current (30-day)	0.85
Average (full period)	0.81
Minimum	0.70
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, 2022:

XAU $10,123.021 +1.2%

XAG $10,452.65 +4.5%

Difference: $329.629 (XAG ahead)

Gold and Silver: Risk Analysis

Gold experienced its maximum drawdown of -20.8% from 2022-03-08 to 2022-09-26. It has not yet recovered to its previous peak.

Silver experienced its maximum drawdown of -32.6% from 2022-03-08 to 2022-09-01. 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

XAU Sharpe Ratio

↓ -0.15

XAG Sharpe Ratio

↑ 0.14

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. XAU had a negative Sharpe (-0.15) while XAG was positive (0.14), indicating XAG had meaningfully better risk-adjusted performance in this period.

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

XAU Sortino Ratio

↓ -0.21

XAG Sortino Ratio

↑ 0.21

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). XAG 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 10.5% vs XAG 19.3%. 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).

Tail Risk & Distribution Shape (2022): Gold vs. Silver

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 (2022)	XAU	XAG
5% VaR (daily log return)	-1.61%	-2.69%
5% Expected Shortfall (CVaR)	-1.98% (worst 13 days)	-3.46% (worst 13 days)
Skew	0.04	0.58
Excess kurtosis	0.78	1.95
2σ tail days (down / up)	5 / 9	6 / 8
Worst day	-2.83% (2022-03-09)	-4.12% (2022-05-12)
Best day	+3.13% (2022-11-04)	+8.89% (2022-10-03)

Downside co-moves (2σ) — 2022

Computed on shared dates only (n=257). 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 XAG has a big down day, XAU also does

33.3%

2 / 6 days

When XAU has a big down day, XAG also does

40.0%

2 / 5 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 XAU and XAG had a big down day (2σ)

Date (interval)	XAU	XAG
2022-06-10 → 2022-06-13	-2.80%	-3.58%
2022-07-05	-2.39%	-3.72%

Days when XAU had a big down day

Date (interval)	XAU	XAG
2022-03-09	-2.83%	-2.39%
2022-03-15	-1.92%	-0.87%
2022-06-10 → 2022-06-13	-2.80%	-3.58%
2022-07-05	-2.39%	-3.72%
2022-09-15	-1.94%	-2.34%

Days when XAG had a big down day

Date (interval)	XAU	XAG
2022-05-12	-1.66%	-4.12%
2022-06-10 → 2022-06-13	-2.80%	-3.58%
2022-07-05	-2.39%	-3.72%
2022-07-14	-1.48%	-4.11%
2022-09-23	-1.69%	-3.95%
2022-12-02 → 2022-12-05	-1.60%	-3.83%

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. Silver (2022)

Metric	XAU	XAG
Total Return	+1.2%	+4.5%
Annualized Volatility	14.8%	29.3%
Sharpe Ratio	-0.15	0.14
Sortino Ratio	-0.21	0.21
Calmar Ratio	N/A	N/A
Sterling Ratio	N/A	N/A
Treynor Ratio	N/A	N/A
Ulcer Index	N/A	N/A
Max Drawdown	-20.8%	-32.6%
Avg Correlation to S&P 500	N/A	N/A
5% VaR (daily log return)	-1.61%	-2.69%
5% Expected Shortfall (CVaR)	-1.98%	-3.46%
Skew	0.04	0.58
Excess kurtosis	0.78	1.95
2σ tail days (down / up)	5 / 9	6 / 8

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2022-01-01 → 2022-12-31 (last shared close).
Rolling correlation sample (shared closes): N/A
Annualization (days/year): XAU: 252 days/year; XAG: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

XAU: 4.50%.

XAG: 4.50%.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

XAU: ≈ -1.1%/yr

XAG: ≈ -4.3%/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.

Gold vs Silver: Frequently Asked Questions

Which had higher volatility: XAU or XAG?

XAG showed higher volatility at 29.3% annualized, compared to 14.8% for XAU During 2022. Higher volatility meant larger price swings in both directions.

Did XAU provide diversification when held with XAG?

XAU and XAG were strongly correlated in 2022, with an average correlation of 0.81. This strong correlation limited diversification benefits.

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

During 2022, XAU's 5% VaR was -1.61% and its 5% Expected Shortfall was -1.98% (worst 13 days). XAG's were -2.69% and -3.46% (worst 13 days).

Do XAU and XAG crash together on bad days?

On shared dates (n=257), when XAG has a 2σ down day, XAU also does 33.3% (2/6 days). In the other direction, when XAU has one, XAG also does 40.0% (2/5 days).

Which had better risk-adjusted returns: XAU or XAG?

XAU had a negative Sharpe (-0.15) while XAG was positive (0.14) During 2022, indicating XAG had meaningfully better risk-adjusted performance.

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 (29.3%) meant even small allocations can materially impact overall portfolio risk.

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