GDX relative to GLD sits at the 96th percentile of its last five years, and the ratio is above its intermediate trend.
SPDR Gold Shares (GLD) is backed by physical gold and follows the price of bullion; the VanEck Gold Miners ETF (GDX) tracks an index of gold mining companies. This page compares their price, risk and relative strength, refreshed weekly.
Performance & Risk Snapshot
GLD vs GDX · adjusted close data, as of October 2, 2026
| Metric | GLD
Physical gold | GDX
Gold miners |
|---|
| Total return |
| 1 week | −3.4% | −5.5% |
| 1 month | −5.6% | −10.1% |
| 3 months | −0.5% | +11.5% |
| 1 year | +6.8% | +14.6% |
| 3 years annualized | +30.0% | +49.9% |
| 5 years annualized | +18.4% | +26.0% |
| Full period annualized, since 2006 | +9.1% | +5.2% |
| Risk (trailing 3Y) |
| Volatility annualized, Yang–Zhang | 21.1% | 39.7% |
| Max drawdown | −26.4% | −38.9% |
| Sharpe ratio | 1.18 | 1.13 |
| Sortino ratio | 1.65 | 1.62 |
| Calmar ratio | 1.14 | 1.28 |
| Trend (price vs its own SMA) |
| Price vs 10-month SMA regime | Below | Below |
| Price vs 13-week SMA intermediate | Below | Below |
| Cost & income |
| Expense ratio | 0.400% | 0.510% |
| Dividend yield TTM | 0.0% | 0.6% |
| Assets under management | $142B | $26B |
| Relationship |
| Correlation to each other daily, 3Y | 0.83 |
| GDX beta to GLD | 1.55 |
| Correlation to SPY daily, 3Y | 0.18 | 0.32 |
How to read this. Over the trailing three years, GLD and GDX posted a correlation of 0.83. Three-year volatility was 21.1% for GLD and 39.7% for GDX, with max drawdowns of 26.4% and 38.9%.
This week
GLD fell 3.4% and trades below its regime trend and below its intermediate trend. GDX fell 5.5% and trades below its regime trend and below its intermediate trend. GDX relative to GLD fell 2.2%, saw no cross this week, and sits in the upper half of its 12-month range. GLD is 23.3% below its January 29, 2026 high. GDX is 24.2% below its February 27, 2026 high.
GDX/GLD ratio
0.231
12-mo range 0.187 to 0.247
Ratio, 1 week
−2.2%
week over week
GLD from high
−23.3%
from its January 29, 2026 high
GDX from high
−24.2%
from its February 27, 2026 high
Stock exposure
GLD holds only the physical metal. GDX has 58.9% in its top 10 holdings, led by Basic Materials.
Top 10 Holdings & Weights
Share of fund assets in each of the ten largest positions
GDX top 10
Top 10 = 58.9% of the fund
NEM11.14%
AEM10.96%
ABX7.91%
WPM5.59%
FNV5.10%
AU4.98%
K3.89%
GFI3.80%
NST2.81%
PAAS2.70%
Growth of $100
Over the trailing three years, GLD compounded at +30.0% a year and GDX at +49.9% a year. Over the full period, GLD compounded at +9.1% a year and GDX at +5.2% a year.
Max historyMONTHLY · MAX HISTORY
GDX / GLD Ratio
The ratio tracks GDX relative to GLD, and a rising line means GDX is leading GLD. It stands above its 10-month moving average and above its 13-week moving average, and the near-term trend favors GDX.
Max historyMONTHLY · 10M SMA
Last 5 yearsWEEKLY · 13W SMA
Where the ratio stands
Full-range percentile
66th
GDX/GLD full history
5-year percentile
96th
within last 5 years
Z-score
−0.11
vs full-history mean
GDX relative to GLD sits at the 66th percentile of full history and the 96th percentile of the last five years. Its z-score is -0.11.
Rolling Volatility
The latest 126-day volatility is 24.4% for GLD and 48.4% for GDX.
Annualized realized volatility (Yang–Zhang)WEEKLY · 5Y · 126D WINDOW
Rolling Correlation (GDX vs GLD)
The latest 126-day correlation between GLD and GDX is 0.90. A lower reading would mean their paths move less tightly together.
GDX – GLD daily-return correlationWEEKLY · 5Y · 126D WINDOW
Rolling Correlation to Equities
The latest 126-day correlation to the S&P 500 is 0.53 for GLD and 0.57 for GDX. Those readings leave both tied more to gold-linked drivers than to the S&P 500.
Correlation to the S&P 500 (SPY)WEEKLY · 5Y · 126D WINDOW
Drawdown
Over the trailing three years, GLD posted a max drawdown of 26.4% and GDX 38.9%.
Drawdown from prior peak (dashed lines mark the 3Y and 5Y max drawdown)DAILY · 5Y
Time underwater
GLD longest underwater
106 mo
2011 to 2020
GDX longest underwater
167 mo
2011 to 2025
GLD spent 106 months (2011 to 2020) below its prior peak, and GDX 167 months (2011 to 2025).
Upside / Downside Capture
Across full common history, monthly returns, GDX captured 173% of GLD’s up moves and 205% of GLD’s down moves. The capture ratio is 0.84.
Upside capture
173%
GDX vs GLD, up months, full period
Downside capture
205%
GDX vs GLD, down months, full period
Capture ratio
0.84
up ÷ down, full period
Beyond the price
Tax treatment. GLD is a grantor trust holding bullion, so long-term gains are taxed at the collectibles rate (up to 28%), not the lower rate on equity gains. GDX holds equities and is taxed as a normal position. Income. Bullion pays nothing, while GDX carries a 0.6% yield. Cost. GLD's 0.400% expense ratio sits below GDX's 0.510%.
The Bottom Line
GLD gives direct gold exposure, and GDX adds operating leverage to the same metal backdrop. That mix has produced faster three-year compounding for GDX and longer, rougher recoveries.
Where these fit at Quantlake
Quantlake's model portfolios use direct bullion exposure (GLD or IAU) rather than miners, for its lower equity correlation and volatility. Gold appears in the All Weather-Inspired, Bogle+, and Growth & Stability models, each sizing it differently against the rest of the book.
Related
Definitions
Returns and risk
Total return: price change plus reinvested dividends, using adjusted-close prices.
Annualized volatility (Yang–Zhang): spread of returns scaled to one year; the Yang–Zhang estimator uses the open, high, low, and close of each bar, so it is more efficient than a close-to-close estimate.
Maximum drawdown: the largest peak-to-trough decline over the period.
Risk-adjusted ratios
Sharpe ratio: annualized return above T-bills (BIL) per unit of total volatility.
Sortino ratio: like Sharpe, but divides by the volatility of returns below the T-bill rate.
Calmar ratio: annualized return divided by the worst drawdown.
Trend and relationship
Trend filters (regime / intermediate / tactical): moving-average timeframes in the Quantlake taxonomy: the 10-month average marks the regime (long-term) trend, the 13-week the intermediate trend, and the 20-day the tactical trend. A price or ratio above its average is an uptrend on that horizon, below it a downtrend.
Correlation: co-movement between two return streams, from −1 to +1.
Beta: sensitivity to a reference; a beta of 2 moves about twice a given reference move.
Relative-strength ratio: one fund's price divided by another; a rising ratio means the numerator is outperforming.
Upside / downside capture: the share of the benchmark's up (down) moves the fund reproduces; a capture ratio above 1 means it kept more of the up moves than of the down moves.
Romain Gandon
CEO, Quantlake
Disclaimer: This article is for informational and educational purposes only and does not constitute investment advice. Past performance is not indicative of future results.
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