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

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.


-0.50.00.51.00.9

Performance

PHYS vs. SGOL - Performance Comparison

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

0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2025February
16.55%
16.85%
PHYS
SGOL

Key characteristics

Sharpe Ratio

PHYS:

3.05

SGOL:

3.00

Sortino Ratio

PHYS:

3.71

SGOL:

3.78

Omega Ratio

PHYS:

1.51

SGOL:

1.51

Calmar Ratio

PHYS:

5.07

SGOL:

5.63

Martin Ratio

PHYS:

14.33

SGOL:

15.45

Ulcer Index

PHYS:

3.27%

SGOL:

2.96%

Daily Std Dev

PHYS:

15.38%

SGOL:

15.28%

Max Drawdown

PHYS:

-48.16%

SGOL:

-45.51%

Current Drawdown

PHYS:

0.00%

SGOL:

0.00%

Returns By Period

In the year-to-date period, PHYS achieves a 12.96% return, which is significantly higher than SGOL's 11.86% return. Over the past 10 years, PHYS has underperformed SGOL with an annualized return of 8.60%, while SGOL has yielded a comparatively higher 9.09% annualized return.


PHYS

YTD

12.96%

1M

7.36%

6M

17.94%

1Y

45.74%

5Y*

11.37%

10Y*

8.60%

SGOL

YTD

11.86%

1M

7.07%

6M

18.23%

1Y

44.81%

5Y*

12.14%

10Y*

9.09%

*Annualized

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Risk-Adjusted Performance

PHYS vs. SGOL — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PHYS
The Risk-Adjusted Performance Rank of PHYS is 9696
Overall Rank
The Sharpe Ratio Rank of PHYS is 9898
Sharpe Ratio Rank
The Sortino Ratio Rank of PHYS is 9595
Sortino Ratio Rank
The Omega Ratio Rank of PHYS is 9595
Omega Ratio Rank
The Calmar Ratio Rank of PHYS is 9898
Calmar Ratio Rank
The Martin Ratio Rank of PHYS is 9595
Martin Ratio Rank

SGOL
The Risk-Adjusted Performance Rank of SGOL is 9494
Overall Rank
The Sharpe Ratio Rank of SGOL is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of SGOL is 9494
Sortino Ratio Rank
The Omega Ratio Rank of SGOL is 9393
Omega Ratio Rank
The Calmar Ratio Rank of SGOL is 9696
Calmar Ratio Rank
The Martin Ratio Rank of SGOL is 9090
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


Sharpe ratio
The chart of Sharpe ratio for PHYS, currently valued at 3.05, compared to the broader market-2.000.002.003.053.00
The chart of Sortino ratio for PHYS, currently valued at 3.71, compared to the broader market-4.00-2.000.002.004.006.003.713.78
The chart of Omega ratio for PHYS, currently valued at 1.51, compared to the broader market0.501.001.502.001.511.51
The chart of Calmar ratio for PHYS, currently valued at 5.07, compared to the broader market0.002.004.006.005.075.63
The chart of Martin ratio for PHYS, currently valued at 14.33, compared to the broader market-10.000.0010.0020.0030.0014.3315.45
PHYS
SGOL

The current PHYS Sharpe Ratio is 3.05, which is comparable to the SGOL Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of PHYS and SGOL, 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 Ratio2.002.503.00SeptemberOctoberNovemberDecember2025February
3.05
3.00
PHYS
SGOL

Dividends

PHYS vs. SGOL - Dividend Comparison

Neither PHYS nor SGOL has paid dividends to shareholders.


Tickers have no history of dividend payments

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February00
PHYS
SGOL

Volatility

PHYS vs. SGOL - Volatility Comparison

The current volatility for Sprott Physical Gold Trust (PHYS) is 3.48%, while Aberdeen Standard Physical Gold Shares ETF (SGOL) has a volatility of 3.71%. This indicates that PHYS 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.


3.00%4.00%5.00%6.00%7.00%SeptemberOctoberNovemberDecember2025February
3.48%
3.71%
PHYS
SGOL
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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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