As there are number of investment alternates available in the market gold is also one of them. We are testing the risk return relationship of gold in comparison with risk free securities. For this the data of daily gold prices is taken from MCX for the period 2005 till 2018. To analyze the data descriptive statistics is used to check the normality of the data. The risk return comparison is dome with the help of Sharpe ratio analysis. The results concluded that the gold gives higher returns over the period of time but sometimes it becomes risky to invest in such volatile investment alternate.