PHYS vs. GC=F
Compare and contrast key facts about Sprott Physical Gold Trust (PHYS) and Gold (GC=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PHYS or GC=F.
Key characteristics
| PHYS | GC=F | |
|---|---|---|
| YTD Return | 26.43% | 27.17% |
| 1Y Return | 33.03% | 35.71% |
| 3Y Return (Ann) | 11.15% | 10.71% |
| 5Y Return (Ann) | 10.95% | 10.99% |
| 10Y Return (Ann) | 7.43% | 7.30% |
| Sharpe Ratio | 2.16 | 2.21 |
| Sortino Ratio | 2.80 | 2.83 |
| Omega Ratio | 1.37 | 1.41 |
| Calmar Ratio | 3.58 | 4.92 |
| Martin Ratio | 13.78 | 12.77 |
| Ulcer Index | 2.30% | 2.45% |
| Daily Std Dev | 14.68% | 14.16% |
| Max Drawdown | -48.16% | -44.36% |
| Current Drawdown | -7.02% | -5.94% |
Correlation
The correlation between PHYS and GC=F 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
PHYS vs. GC=F - Performance Comparison
The year-to-date returns for both investments are quite close, with PHYS having a 26.43% return and GC=F slightly higher at 27.17%. Both investments have delivered pretty close results over the past 10 years, with PHYS having a 7.43% annualized return and GC=F not far behind at 7.30%. 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
PHYS vs. GC=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sprott Physical Gold Trust (PHYS) and Gold (GC=F). 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
PHYS vs. GC=F - Drawdown Comparison
The maximum PHYS drawdown since its inception was -48.16%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for PHYS and GC=F. For additional features, visit the drawdowns tool.
Volatility
PHYS vs. GC=F - Volatility Comparison
Sprott Physical Gold Trust (PHYS) has a higher volatility of 5.55% compared to Gold (GC=F) at 5.19%. This indicates that PHYS's price experiences larger fluctuations and is considered to be riskier than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.