GDX is 30.8% below its February 27, 2026 high, and the ratio fell 4.7% this week.
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 23, 2026
| Metric | GLD
Physical gold | GDX
Gold miners |
|---|
| Total return |
| 1 week | −4.0% | −8.6% |
| 1 month | −6.4% | −13.2% |
| 3 months | −2.1% | +5.9% |
| 1 year | −2.8% | +10.7% |
| 3 years annualized | +26.1% | +41.3% |
| 5 years annualized | +17.3% | +21.7% |
| Full period annualized, since 2006 | +8.8% | +4.7% |
| Risk (trailing 3Y) |
| Volatility annualized, Yang–Zhang | 21.1% | 39.9% |
| Max drawdown | −26.4% | −38.9% |
| Sharpe ratio | 1.00 | 0.91 |
| Sortino ratio | 1.38 | 1.30 |
| Calmar ratio | 0.99 | 1.06 |
| 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 | 0.420% | 0.500% |
| Dividend yield TTM | 0.0% | 0.7% |
| Assets under management | $141B | $26B |
| Relationship |
| Correlation to each other daily, 3Y | 0.84 |
| GDX beta to GLD | 1.56 |
| Correlation to SPY daily, 3Y | 0.19 | 0.33 |
How to read this. Over the trailing three years, GLD and GDX posted a correlation of 0.84. The snapshot table shows 21.1% volatility for GLD and 39.9% for GDX.
This week
GLD fell 4.0% this week and GDX 8.6%. Both trade below their regime and intermediate trends. GDX relative to GLD fell 4.7% and sits in the middle of its 12-month range. GLD is 26.1% below its January 29, 2026 high; GDX is 30.8% below its February 27, 2026 high.
GDX/GLD ratio
0.219
12-mo range 0.187 to 0.247
Ratio, 1 week
−4.7%
week over week
GLD from high
−26.1%
from its January 29, 2026 high
GDX from high
−30.8%
from its February 27, 2026 high
Stock exposure
GLD holds only the physical metal. GDX has 60.6% in its top 10 holdings, with the top names leaning to Basic Materials.
Top 10 Holdings & Weights
Share of fund assets in each of the ten largest positions
GDX top 10
Top 10 = 60.6% of the fund
NEM12.01%
AEM11.25%
ABX8.24%
WPM5.60%
FNV5.03%
AU4.73%
GFI3.97%
K3.96%
NST3.10%
PAAS2.67%
Growth of $100
Since May 22, 2006, GLD compounded at 8.8% a year and GDX at 4.7%.
GDX / GLD Ratio
The relative-strength ratio tracks GDX relative to GLD, and a rising line means GDX is leading GLD. The ratio sits above its 10-month moving average and below its 13-week moving average, and the near-term trend favors neither leg clearly, the two trend filters disagree.
Where the ratio stands
Full-range percentile
66th
GDX/GLD full history
5-year percentile
94th
within last 5 years
Z-score
−0.21
vs full-history mean
The ratio stands in the 66th percentile for full history and the 94th percentile for the last 5 years. Its z-score is -0.21.
Rolling Volatility
At the latest 126-day reading, GLD shows 24.3% volatility and GDX 48.0%.
WEEKLY · 5Y · 126D WINDOW
Rolling Correlation (GDX vs GLD)
The latest 126-day correlation between GLD and GDX is 0.91. A higher reading means the two funds move more tightly together.
WEEKLY · 5Y · 126D WINDOW
Rolling Correlation to Equities
At the latest 126-day reading, GLD shows 0.54 correlation to the S&P 500 and GDX 0.58. That gap leaves GLD on the more separate path from the index.
WEEKLY · 5Y · 126D WINDOW
Drawdown
Over the trailing three years, GLD posted a max drawdown of 26.4% and GDX 38.9%.
Time underwater
GLD longest underwater
106 mo
2011 to 2020
GDX longest underwater
167 mo
2011 to 2025
GLD stayed below its prior peak for 106 months (2011 to 2020) and GDX for 167 months (2011 to 2025).
Upside / Downside Capture
Since May 22, 2006, GDX captured 173% of GLD's up months and 206% of its down months. The capture ratio is 0.84.
Upside capture
173%
GDX vs GLD, up months, since May 2006
Downside capture
206%
GDX vs GLD, down months, since May 2006
Capture ratio
0.84
up ÷ down, since May 2006
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 0.7% yield. Cost. GLD's 0.420% expense ratio sits below GDX's 0.500%.
The Bottom Line
GLD gives direct gold exposure through the metal, and GDX routes that exposure through gold miners. The pair has moved together through much of the sample, but GDX has carried the equity-market linkage and the larger swings.
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.
.png)
