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IAU vs. SGOL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IAU and SGOL is 0.99, 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.


-0.50.00.51.01.0

Performance

IAU vs. SGOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Gold Trust (IAU) and Aberdeen Standard Physical Gold Shares ETF (SGOL). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
13.35%
13.44%
IAU
SGOL

Key characteristics

Sharpe Ratio

IAU:

2.07

SGOL:

2.09

Sortino Ratio

IAU:

2.74

SGOL:

2.75

Omega Ratio

IAU:

1.36

SGOL:

1.36

Calmar Ratio

IAU:

3.78

SGOL:

3.80

Martin Ratio

IAU:

11.17

SGOL:

11.26

Ulcer Index

IAU:

2.75%

SGOL:

2.74%

Daily Std Dev

IAU:

14.82%

SGOL:

14.79%

Max Drawdown

IAU:

-45.14%

SGOL:

-45.51%

Current Drawdown

IAU:

-5.20%

SGOL:

-5.18%

Returns By Period

The year-to-date returns for both stocks are quite close, with IAU having a 27.88% return and SGOL slightly lower at 27.86%. Both investments have delivered pretty close results over the past 10 years, with IAU having a 8.05% annualized return and SGOL not far behind at 8.00%.


IAU

YTD

27.88%

1M

3.18%

6M

13.35%

1Y

30.11%

5Y (annualized)

12.18%

10Y (annualized)

8.05%

SGOL

YTD

27.86%

1M

3.19%

6M

13.44%

1Y

30.30%

5Y (annualized)

12.15%

10Y (annualized)

8.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


IAU vs. SGOL - Expense Ratio Comparison

IAU has a 0.25% expense ratio, which is higher than SGOL's 0.17% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IAU
iShares Gold Trust
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SGOL: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%

Risk-Adjusted Performance

IAU vs. SGOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Gold Trust (IAU) and Aberdeen Standard Physical Gold Shares ETF (SGOL). 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 IAU, currently valued at 2.07, compared to the broader market0.002.004.002.072.09
The chart of Sortino ratio for IAU, currently valued at 2.74, compared to the broader market-2.000.002.004.006.008.0010.002.742.75
The chart of Omega ratio for IAU, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.36
The chart of Calmar ratio for IAU, currently valued at 3.78, compared to the broader market0.005.0010.0015.003.783.80
The chart of Martin ratio for IAU, currently valued at 11.17, compared to the broader market0.0020.0040.0060.0080.00100.0011.1711.26
IAU
SGOL

The current IAU Sharpe Ratio is 2.07, which is comparable to the SGOL Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of IAU and SGOL, 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 Ratio1.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.07
2.09
IAU
SGOL

Dividends

IAU vs. SGOL - Dividend Comparison

Neither IAU nor SGOL has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

IAU vs. SGOL - Drawdown Comparison

The maximum IAU drawdown since its inception was -45.14%, roughly equal to the maximum SGOL drawdown of -45.51%. Use the drawdown chart below to compare losses from any high point for IAU and SGOL. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.20%
-5.18%
IAU
SGOL

Volatility

IAU vs. SGOL - Volatility Comparison

iShares Gold Trust (IAU) and Aberdeen Standard Physical Gold Shares ETF (SGOL) have volatilities of 5.10% and 5.13%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
5.10%
5.13%
IAU
SGOL
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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