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GC=F vs. PHYS
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

GC=F vs. PHYS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Gold (GC=F) and Sprott Physical Gold Trust (PHYS). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
8.97%
7.60%
GC=F
PHYS

Returns By Period

The year-to-date returns for both stocks are quite close, with GC=F having a 27.95% return and PHYS slightly lower at 27.12%. Both investments have delivered pretty close results over the past 10 years, with GC=F having a 7.25% annualized return and PHYS not far ahead at 7.43%.


GC=F

YTD

27.95%

1M

-2.76%

6M

8.97%

1Y

33.43%

5Y (annualized)

11.09%

10Y (annualized)

7.25%

PHYS

YTD

27.12%

1M

-4.16%

6M

7.60%

1Y

30.90%

5Y (annualized)

11.46%

10Y (annualized)

7.43%

Key characteristics


GC=FPHYS
Sharpe Ratio2.152.07
Sortino Ratio2.762.70
Omega Ratio1.391.36
Calmar Ratio3.783.32
Martin Ratio11.3011.65
Ulcer Index2.68%2.63%
Daily Std Dev14.23%14.83%
Max Drawdown-44.36%-48.16%
Current Drawdown-5.36%-6.51%

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Correlation

-0.50.00.51.00.3

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.


Sharpe ratio
The chart of Sharpe ratio for GC=F, currently valued at 2.15, compared to the broader market0.000.501.001.502.002.152.01
The chart of Sortino ratio for GC=F, currently valued at 2.76, compared to the broader market0.000.501.001.502.002.502.762.64
The chart of Omega ratio for GC=F, currently valued at 1.39, compared to the broader market1.001.101.201.301.391.37
The chart of Calmar ratio for GC=F, currently valued at 3.78, compared to the broader market0.001.002.003.003.783.09
The chart of Martin ratio for GC=F, currently valued at 11.30, compared to the broader market0.002.004.006.008.0010.0011.3010.60
GC=F
PHYS

The current GC=F Sharpe Ratio is 2.15, which is comparable to the PHYS Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of GC=F and PHYS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.15
2.01
GC=F
PHYS

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.36%
-6.51%
GC=F
PHYS

Volatility

GC=F vs. PHYS - Volatility Comparison

The current volatility for Gold (GC=F) is 5.28%, while Sprott Physical Gold Trust (PHYS) has a volatility of 5.76%. 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.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
5.28%
5.76%
GC=F
PHYS