How risky is gold compared to other assets? For most of the of the United States' history gold's price was set by the government (given that the value of the US dollar was often pegged to gold). In this graphic, I have taken the annual price change of gold back to 1928 and compared it to the returns on stock, bonds and t-bills.
Since the early 1970s when the US completely abandoned the gold standard, gold's price changes has made it very volatile and if we look at the annualized compound return from 1976-2012 (gold 6.6%; stocks 10.9%; 10-year bonds 8.1%; 3-month t-bills 5.1%). Gold returns was just little better than 3-month t-bills. However if we look at the annualized return for 1928-2012: gold's return of 5.3% beats t-bills at 3.6% and bonds at 5.1% but still underpreforms stock's return of 9.3%.
Gold Data from MeasuringWorth.org. Stock and treasury bonds data from Damodaran Online | Updated Data | Historical Returns on Stock Bonds and Bills - United States. CPI from Measuring Worth.