PHDG vs. SGOL
PHDG (Invesco S&P 500 Downside Hedged ETF) and SGOL (abrdn Physical Gold Shares ETF) are both exchange-traded funds - PHDG is a Equity Hedged fund tracking the S&P 500 Dynamic VEQTOR Index, while SGOL is a Gold fund tracking the LBMA Gold Price PM ($/ozt). Both are passively managed. Over the past 10 years, PHDG returned 7.14%/yr vs 11.62%/yr for SGOL. Their 0.03 correlation means their historical movements had little consistent relationship. PHDG charges 0.39%/yr vs 0.17%/yr for SGOL.
Performance
PHDG vs. SGOL - Performance Comparison
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Returns By Period
In the year-to-date period, PHDG achieves a 9.47% return, which is significantly higher than SGOL's -6.06% return. Over the past 10 years, PHDG has underperformed SGOL with an annualized return of 7.14%, while SGOL has yielded a comparatively higher 11.62% annualized return.
PHDG
- 1D
- -0.16%
- 1M
- 0.44%
- 6M
- 8.74%
- YTD
- 9.47%
- 1Y
- 14.71%
- 3Y*
- 8.21%
- 5Y*
- 4.01%
- 10Y*
- 7.14%
- ALL TIME*
- 5.56%
SGOL
- 1D
- 0.08%
- 1M
- 0.65%
- 6M
- -18.71%
- YTD
- -6.06%
- 1Y
- 21.20%
- 3Y*
- 27.11%
- 5Y*
- 17.42%
- 10Y*
- 11.62%
- ALL TIME*
- 8.34%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.28M | $774.65K | $908.35K | |
| $79.87M | $79.24M | $102.39M |
PHDG vs. SGOL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 9.47% | 2.72% | 10.95% | 8.18% | -14.09% | 15.67% | 18.97% | 8.57% | -2.44% | 15.89% |
SGOL abrdn Physical Gold Shares ETF | -6.06% | 63.99% | 26.90% | 12.99% | -0.51% | -3.94% | 25.03% | 18.21% | -1.94% | 12.86% |
Correlation
The correlation between PHDG and SGOL is 0.29, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.29 |
Correlation (3Y) Balances recent behavior with more history. | 0.22 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.16 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.08 |
Correlation (All Time) Calculated using the full available price history since Dec 6, 2012 | 0.03 |
Over the past year, PHDG and SGOL have become more correlated (0.29) than their long-term average of 0.03, meaning their price movements have been converging.
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Return for Risk
PHDG vs. SGOL — Risk / Return Rank
PHDG
SGOL
PHDG vs. SGOL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Downside Hedged ETF (PHDG) and abrdn 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.
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.
| PHDG | SGOL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.60 | ||
| Sortino ratioReturn per unit of downside risk | +0.82 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.15 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 2.38 | 0.77 | +1.62 |
| Martin ratioReturn relative to average drawdown | 7.41 | 1.73 | +5.68 |
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Drawdowns
PHDG vs. SGOL - Drawdown Comparison
The maximum PHDG drawdown since its inception was -17.70%, smaller than the maximum SGOL drawdown of -45.51%. Use the drawdown chart below to compare losses from any high point for PHDG and SGOL.
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Drawdown Indicators
| PHDG | SGOL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.70% | -45.51% | +27.81% |
Max Drawdown (1Y)Largest decline over 1 year | -6.36% | -26.32% | +19.96% |
Max Drawdown (3Y)Largest decline over 3 years | -14.78% | -26.32% | +11.54% |
Max Drawdown (5Y)Largest decline over 5 years | -17.06% | -26.32% | +9.26% |
Max Drawdown (10Y)Largest decline over 10 years | -17.06% | -26.32% | +9.26% |
Current DrawdownCurrent decline from peak | -5.95% | -24.94% | +18.99% |
Average DrawdownAverage peak-to-trough decline | -6.23% | -18.45% | +12.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.04% | 11.64% | -9.60% |
Volatility
PHDG vs. SGOL - Volatility Comparison
The current volatility for Invesco S&P 500 Downside Hedged ETF (PHDG) is 2.14%, while abrdn Physical Gold Shares ETF (SGOL) has a volatility of 6.07%. This indicates that PHDG experiences smaller price fluctuations and is considered to be less risky than SGOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PHDG | SGOL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.14% | 6.07% | -3.93% |
Volatility (6M)Calculated over the trailing 6-month period | 9.37% | 23.69% | -14.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.41% | 27.79% | -16.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.37% | 18.34% | -6.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.10% | 16.08% | -3.98% |
PHDG vs. SGOL - Expense Ratio Comparison
PHDG has a 0.39% expense ratio, which is higher than SGOL's 0.17% expense ratio.
Dividends
PHDG vs. SGOL - Dividend Comparison
PHDG's dividend yield for the trailing twelve months is around 1.70%, while SGOL has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 1.70% | 2.10% | 1.94% | 1.93% | 1.35% | 0.44% | 0.63% | 1.80% | 1.56% | 1.83% | 2.29% | 1.64% |
SGOL abrdn Physical Gold Shares ETF | 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
PHDG and SGOL have a correlation of 0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SGOL has higher volatility (6.07%) compared to PHDG (2.14%). In terms of maximum drawdown, PHDG dropped -17.70% vs SGOL's -45.51%.
On 10-year performance, SGOL leads with 11.62% vs 7.14% for PHDG. On fees, SGOL is cheaper at 0.17% per year. On volatility, PHDG has been the lower-risk option at 2.14%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SGOL has performed better with a 11.62% return vs 7.14%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOL is cheaper with a 0.17% expense ratio, compared with 0.39% for PHDG.
PHDG has the higher dividend yield at 1.70%, compared with 0.00% for SGOL.
PHDG is categorized as Equity Hedged, while SGOL is Gold. PHDG tracks S&P 500 Dynamic VEQTOR Index, while SGOL tracks LBMA Gold Price PM ($/ozt). They also come from different issuers: Invesco and abrdn. Their fees differ too: 0.39% for PHDG and 0.17% for SGOL.
PHDG currently has the higher Sharpe Ratio (1.33 vs 0.73), 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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