GC=F vs. PHYS
Compare and contrast key facts about Gold (GC=F) and Sprott Physical Gold Trust (PHYS).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GC=F or PHYS.
Performance
GC=F vs. PHYS - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with GC=F having a 30.49% return and PHYS slightly lower at 29.13%. Both investments have delivered pretty close results over the past 10 years, with GC=F having a 7.45% annualized return and PHYS not far ahead at 7.62%.
GC=F
30.49%
-1.93%
15.26%
35.15%
11.47%
7.45%
PHYS
29.13%
-3.65%
13.77%
32.11%
11.90%
7.62%
Key characteristics
| GC=F | PHYS | |
|---|---|---|
| Sharpe Ratio | 2.29 | 2.14 |
| Sortino Ratio | 2.92 | 2.78 |
| Omega Ratio | 1.42 | 1.37 |
| Calmar Ratio | 4.04 | 3.43 |
| Martin Ratio | 11.98 | 11.84 |
| Ulcer Index | 2.69% | 2.68% |
| Daily Std Dev | 14.24% | 14.83% |
| Max Drawdown | -44.36% | -48.16% |
| Current Drawdown | -3.49% | -5.03% |
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Correlation
The correlation between GC=F and PHYS is 0.33, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
GC=F vs. PHYS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Gold (GC=F) and Sprott Physical Gold Trust (PHYS). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Drawdowns
GC=F vs. PHYS - Drawdown Comparison
The maximum GC=F drawdown since its inception was -44.36%, smaller than the maximum PHYS drawdown of -48.16%. Use the drawdown chart below to compare losses from any high point for GC=F and PHYS. For additional features, visit the drawdowns tool.
Volatility
GC=F vs. PHYS - Volatility Comparison
The current volatility for Gold (GC=F) is 5.41%, while Sprott Physical Gold Trust (PHYS) has a volatility of 5.84%. This indicates that GC=F experiences smaller price fluctuations and is considered to be less risky than PHYS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.