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.
Key characteristics
| GC=F | PHYS | |
|---|---|---|
| YTD Return | 27.17% | 26.43% |
| 1Y Return | 35.71% | 33.03% |
| 3Y Return (Ann) | 10.71% | 11.15% |
| 5Y Return (Ann) | 10.99% | 10.95% |
| 10Y Return (Ann) | 7.30% | 7.43% |
| Sharpe Ratio | 2.21 | 2.16 |
| Sortino Ratio | 2.83 | 2.80 |
| Omega Ratio | 1.41 | 1.37 |
| Calmar Ratio | 4.92 | 3.58 |
| Martin Ratio | 12.77 | 13.78 |
| Ulcer Index | 2.45% | 2.30% |
| Daily Std Dev | 14.16% | 14.68% |
| Max Drawdown | -44.36% | -48.16% |
| Current Drawdown | -5.94% | -7.02% |
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.
Performance
GC=F vs. PHYS - Performance Comparison
The year-to-date returns for both stocks are quite close, with GC=F having a 27.17% return and PHYS slightly lower at 26.43%. Both investments have delivered pretty close results over the past 10 years, with GC=F having a 7.30% annualized return and PHYS not far ahead at 7.43%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 5.19%, while Sprott Physical Gold Trust (PHYS) has a volatility of 5.55%. 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.