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

Correlation

The correlation between PHYS and IAU is 0.93, 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.


-0.50.00.51.00.9

Performance

PHYS vs. IAU - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
11.60%
12.30%
PHYS
IAU

Key characteristics

Sharpe Ratio

PHYS:

1.87

IAU:

1.93

Sortino Ratio

PHYS:

2.42

IAU:

2.55

Omega Ratio

PHYS:

1.32

IAU:

1.34

Calmar Ratio

PHYS:

3.07

IAU:

3.55

Martin Ratio

PHYS:

9.18

IAU:

10.15

Ulcer Index

PHYS:

3.08%

IAU:

2.85%

Daily Std Dev

PHYS:

15.14%

IAU:

14.97%

Max Drawdown

PHYS:

-48.16%

IAU:

-45.14%

Current Drawdown

PHYS:

-6.69%

IAU:

-5.98%

Returns By Period

The year-to-date returns for both stocks are quite close, with PHYS having a 26.87% return and IAU slightly lower at 26.83%. Over the past 10 years, PHYS has underperformed IAU with an annualized return of 7.64%, while IAU has yielded a comparatively higher 8.12% annualized return.


PHYS

YTD

26.87%

1M

-0.93%

6M

12.15%

1Y

27.59%

5Y*

11.32%

10Y*

7.64%

IAU

YTD

26.83%

1M

-1.06%

6M

12.78%

1Y

27.97%

5Y*

11.90%

10Y*

8.12%

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Risk-Adjusted Performance

PHYS vs. IAU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sprott Physical Gold Trust (PHYS) and iShares Gold Trust (IAU). 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 PHYS, currently valued at 1.87, compared to the broader market-4.00-2.000.002.001.871.93
The chart of Sortino ratio for PHYS, currently valued at 2.42, compared to the broader market-4.00-2.000.002.004.002.422.55
The chart of Omega ratio for PHYS, currently valued at 1.32, compared to the broader market0.501.001.502.001.321.34
The chart of Calmar ratio for PHYS, currently valued at 3.07, compared to the broader market0.002.004.006.003.073.55
The chart of Martin ratio for PHYS, currently valued at 9.18, compared to the broader market-5.000.005.0010.0015.0020.0025.009.1810.15
PHYS
IAU

The current PHYS Sharpe Ratio is 1.87, which is comparable to the IAU Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of PHYS and IAU, 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
1.87
1.93
PHYS
IAU

Dividends

PHYS vs. IAU - Dividend Comparison

Neither PHYS nor IAU has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

PHYS vs. IAU - Drawdown Comparison

The maximum PHYS drawdown since its inception was -48.16%, which is greater than IAU's maximum drawdown of -45.14%. Use the drawdown chart below to compare losses from any high point for PHYS and IAU. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.69%
-5.98%
PHYS
IAU

Volatility

PHYS vs. IAU - Volatility Comparison

Sprott Physical Gold Trust (PHYS) has a higher volatility of 5.47% compared to iShares Gold Trust (IAU) at 5.17%. This indicates that PHYS's price experiences larger fluctuations and is considered to be riskier than IAU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.47%
5.17%
PHYS
IAU
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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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