PHYS vs. GLDM
Compare and contrast key facts about Sprott Physical Gold Trust (PHYS) and SPDR Gold MiniShares Trust (GLDM).
GLDM is a passively managed fund by State Street that tracks the performance of the LBMA Gold PM Price. It was launched on Jun 25, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PHYS or GLDM.
Key characteristics
| PHYS | GLDM | |
|---|---|---|
| YTD Return | 24.92% | 25.93% |
| 1Y Return | 30.41% | 33.44% |
| 3Y Return (Ann) | 10.69% | 11.63% |
| 5Y Return (Ann) | 11.04% | 11.97% |
| Sharpe Ratio | 2.14 | 2.34 |
| Sortino Ratio | 2.77 | 3.08 |
| Omega Ratio | 1.37 | 1.41 |
| Calmar Ratio | 3.87 | 5.09 |
| Martin Ratio | 13.34 | 15.13 |
| Ulcer Index | 2.36% | 2.26% |
| Daily Std Dev | 14.71% | 14.62% |
| Max Drawdown | -48.16% | -21.63% |
| Current Drawdown | -8.13% | -6.72% |
Correlation
The correlation between PHYS and GLDM is 0.95, 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.
Performance
PHYS vs. GLDM - Performance Comparison
The year-to-date returns for both investments are quite close, with PHYS having a 24.92% return and GLDM slightly higher at 25.93%. 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. GLDM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sprott Physical Gold Trust (PHYS) and SPDR Gold MiniShares Trust (GLDM). 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
PHYS vs. GLDM - Dividend Comparison
Neither PHYS nor GLDM has paid dividends to shareholders.
Drawdowns
PHYS vs. GLDM - Drawdown Comparison
The maximum PHYS drawdown since its inception was -48.16%, which is greater than GLDM's maximum drawdown of -21.63%. Use the drawdown chart below to compare losses from any high point for PHYS and GLDM. For additional features, visit the drawdowns tool.
Volatility
PHYS vs. GLDM - Volatility Comparison
Sprott Physical Gold Trust (PHYS) has a higher volatility of 5.67% compared to SPDR Gold MiniShares Trust (GLDM) at 5.40%. This indicates that PHYS's price experiences larger fluctuations and is considered to be riskier than GLDM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.