PHYS vs. SGOL
Compare and contrast key facts about Sprott Physical Gold Trust (PHYS) and Aberdeen Standard Physical Gold Shares ETF (SGOL).
SGOL is a passively managed fund by Abrdn Plc that tracks the performance of the LBMA Gold Price PM ($/ozt). It was launched on Sep 9, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PHYS or SGOL.
Key characteristics
| PHYS | SGOL | |
|---|---|---|
| YTD Return | 24.92% | 25.79% |
| 1Y Return | 30.41% | 33.35% |
| 3Y Return (Ann) | 10.69% | 11.57% |
| 5Y Return (Ann) | 11.04% | 11.91% |
| 10Y Return (Ann) | 7.30% | 7.86% |
| Sharpe Ratio | 2.14 | 2.32 |
| Sortino Ratio | 2.77 | 3.08 |
| Omega Ratio | 1.37 | 1.40 |
| Calmar Ratio | 3.87 | 5.07 |
| Martin Ratio | 13.34 | 15.08 |
| Ulcer Index | 2.36% | 2.26% |
| Daily Std Dev | 14.71% | 14.67% |
| Max Drawdown | -48.16% | -45.51% |
| Current Drawdown | -8.13% | -6.72% |
Correlation
The correlation between PHYS and SGOL is 0.92, 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. SGOL - Performance Comparison
The year-to-date returns for both investments are quite close, with PHYS having a 24.92% return and SGOL slightly higher at 25.79%. Over the past 10 years, PHYS has underperformed SGOL with an annualized return of 7.30%, while SGOL has yielded a comparatively higher 7.86% annualized return. 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. SGOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sprott Physical Gold Trust (PHYS) and Aberdeen Standard 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.
Dividends
PHYS vs. SGOL - Dividend Comparison
Neither PHYS nor SGOL has paid dividends to shareholders.
Drawdowns
PHYS vs. SGOL - Drawdown Comparison
The maximum PHYS drawdown since its inception was -48.16%, which is greater than SGOL's maximum drawdown of -45.51%. Use the drawdown chart below to compare losses from any high point for PHYS and SGOL. For additional features, visit the drawdowns tool.
Volatility
PHYS vs. SGOL - Volatility Comparison
Sprott Physical Gold Trust (PHYS) has a higher volatility of 5.67% compared to Aberdeen Standard Physical Gold Shares ETF (SGOL) at 5.37%. This indicates that PHYS's price experiences larger fluctuations and is considered to be riskier than SGOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.