GLD vs. PHYS
Compare and contrast key facts about SPDR Gold Trust (GLD) and Sprott Physical Gold Trust (PHYS).
GLD is a passively managed fund by State Street that tracks the performance of the Gold Bullion. It was launched on Nov 18, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GLD or PHYS.
Performance
GLD vs. PHYS - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with GLD having a 30.69% return and PHYS slightly higher at 30.82%. Both investments have delivered pretty close results over the past 10 years, with GLD having a 8.05% annualized return and PHYS not far behind at 7.72%.
GLD
30.69%
-0.41%
15.71%
35.37%
12.67%
8.05%
PHYS
30.82%
-1.28%
15.14%
33.85%
12.18%
7.72%
Key characteristics
| GLD | PHYS | |
|---|---|---|
| Sharpe Ratio | 2.38 | 2.28 |
| Sortino Ratio | 3.14 | 2.94 |
| Omega Ratio | 1.41 | 1.39 |
| Calmar Ratio | 4.36 | 3.67 |
| Martin Ratio | 13.99 | 12.60 |
| Ulcer Index | 2.53% | 2.69% |
| Daily Std Dev | 14.89% | 14.87% |
| Max Drawdown | -45.56% | -48.16% |
| Current Drawdown | -2.97% | -3.79% |
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Correlation
The correlation between GLD and PHYS is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
GLD vs. PHYS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Gold Trust (GLD) 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.
Dividends
GLD vs. PHYS - Dividend Comparison
Neither GLD nor PHYS has paid dividends to shareholders.
Drawdowns
GLD vs. PHYS - Drawdown Comparison
The maximum GLD drawdown since its inception was -45.56%, smaller than the maximum PHYS drawdown of -48.16%. Use the drawdown chart below to compare losses from any high point for GLD and PHYS. For additional features, visit the drawdowns tool.
Volatility
GLD vs. PHYS - Volatility Comparison
The current volatility for SPDR Gold Trust (GLD) is 5.72%, while Sprott Physical Gold Trust (PHYS) has a volatility of 6.04%. This indicates that GLD 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.