IVLU vs. PHYS
IVLU (iShares MSCI International Value Factor ETF) is Foreign Large Cap Equities fund tracking the MSCI World ex USA Enhanced Value Index, while PHYS (Sprott Physical Gold Trust) is a stock. Over the past 10 years, IVLU returned 11.63%/yr vs 11.42%/yr for PHYS. At a 0.16 correlation, their price movements are largely independent.
Performance
IVLU vs. PHYS - Performance Comparison
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Returns By Period
In the year-to-date period, IVLU achieves a 12.96% return, which is significantly higher than PHYS's -3.85% return. Both investments have delivered pretty close results over the past 10 years, with IVLU having a 11.63% annualized return and PHYS not far behind at 11.42%.
IVLU
- 1D
- 0.56%
- 1M
- 0.66%
- YTD
- 12.96%
- 6M
- 14.33%
- 1Y
- 35.32%
- 3Y*
- 23.53%
- 5Y*
- 14.06%
- 10Y*
- 11.63%
PHYS
- 1D
- 0.19%
- 1M
- -9.95%
- YTD
- -3.85%
- 6M
- -3.47%
- 1Y
- 20.77%
- 3Y*
- 28.00%
- 5Y*
- 16.26%
- 10Y*
- 11.42%
IVLU vs. PHYS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IVLU iShares MSCI International Value Factor ETF | 12.96% | 46.09% | 6.76% | 20.07% | -5.73% | 15.60% | -4.50% | 15.60% | -15.10% | 23.10% |
PHYS Sprott Physical Gold Trust | -3.85% | 63.95% | 26.43% | 12.98% | -1.81% | -4.84% | 23.89% | 18.14% | -2.64% | 12.78% |
Correlation
The correlation between IVLU and PHYS is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.33 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.30 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Jul 15, 2015 | 0.16 |
The correlation between IVLU and PHYS shifts across timeframes, from 0.16 (all time) to 0.35 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
IVLU vs. PHYS — Risk / Return Rank
IVLU
PHYS
IVLU vs. PHYS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI International Value Factor ETF (IVLU) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| IVLU | PHYS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.36 | ||
| Sortino ratioReturn per unit of downside risk | +1.83 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.17 | +0.22 |
| Calmar ratioReturn relative to maximum drawdown | 2.90 | 0.92 | +1.98 |
| Martin ratioReturn relative to average drawdown | 11.01 | 2.64 | +8.37 |
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Drawdowns
IVLU vs. PHYS - Drawdown Comparison
The maximum IVLU drawdown since its inception was -41.85%, smaller than the maximum PHYS drawdown of -48.16%. Use the drawdown chart below to compare losses from any high point for IVLU and PHYS.
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Drawdown Indicators
| IVLU | PHYS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.85% | -48.16% | +6.31% |
Max Drawdown (1Y)Largest decline over 1 year | -11.69% | -24.80% | +13.11% |
Max Drawdown (3Y)Largest decline over 3 years | -15.48% | -24.80% | +9.32% |
Max Drawdown (5Y)Largest decline over 5 years | -26.04% | -24.80% | -1.24% |
Max Drawdown (10Y)Largest decline over 10 years | -41.85% | -24.80% | -17.05% |
Current DrawdownCurrent decline from peak | -0.53% | -22.43% | +21.90% |
Average DrawdownAverage peak-to-trough decline | -8.57% | -20.99% | +12.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.09% | 8.60% | -5.51% |
Volatility
IVLU vs. PHYS - Volatility Comparison
The current volatility for iShares MSCI International Value Factor ETF (IVLU) is 5.44%, while Sprott Physical Gold Trust (PHYS) has a volatility of 7.80%. This indicates that IVLU 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.
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Volatility by Period
| IVLU | PHYS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.44% | 7.80% | -2.36% |
Volatility (6M)Calculated over the trailing 6-month period | 12.85% | 24.75% | -11.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.65% | 28.17% | -12.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.58% | 18.53% | -1.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.66% | 16.41% | +1.25% |
Dividends
IVLU vs. PHYS - Dividend Comparison
IVLU's dividend yield for the trailing twelve months is around 3.28%, while PHYS has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IVLU iShares MSCI International Value Factor ETF | 3.28% | 3.71% | 4.46% | 4.69% | 3.59% | 3.47% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% |
PHYS Sprott Physical Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
IVLU and PHYS have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PHYS has higher volatility (7.80%) compared to IVLU (5.44%). In terms of maximum drawdown, IVLU dropped -41.85% vs PHYS's -48.16%.
IVLU currently has the higher Sharpe Ratio (2.17 vs 0.81), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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