PHYS vs. ^TNX
Compare and contrast key facts about Sprott Physical Gold Trust (PHYS) and Treasury Yield 10 Years (^TNX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PHYS or ^TNX.
Key characteristics
| PHYS | ^TNX | |
|---|---|---|
| YTD Return | 26.43% | 11.38% |
| 1Y Return | 33.03% | -6.96% |
| 3Y Return (Ann) | 11.15% | 40.00% |
| 5Y Return (Ann) | 10.95% | 18.25% |
| 10Y Return (Ann) | 7.43% | 6.41% |
| Sharpe Ratio | 2.16 | -0.20 |
| Sortino Ratio | 2.80 | -0.14 |
| Omega Ratio | 1.37 | 0.99 |
| Calmar Ratio | 3.58 | -0.09 |
| Martin Ratio | 13.78 | -0.40 |
| Ulcer Index | 2.30% | 11.87% |
| Daily Std Dev | 14.68% | 23.41% |
| Max Drawdown | -48.16% | -93.78% |
| Current Drawdown | -7.02% | -46.33% |
Correlation
The correlation between PHYS and ^TNX is -0.27. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
PHYS vs. ^TNX - Performance Comparison
In the year-to-date period, PHYS achieves a 26.43% return, which is significantly higher than ^TNX's 11.38% return. Over the past 10 years, PHYS has outperformed ^TNX with an annualized return of 7.43%, while ^TNX has yielded a comparatively lower 6.41% 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. ^TNX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Sprott Physical Gold Trust (PHYS) and Treasury Yield 10 Years (^TNX). 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. ^TNX - Drawdown Comparison
The maximum PHYS drawdown since its inception was -48.16%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for PHYS and ^TNX. For additional features, visit the drawdowns tool.
Volatility
PHYS vs. ^TNX - Volatility Comparison
The current volatility for Sprott Physical Gold Trust (PHYS) is 5.57%, while Treasury Yield 10 Years (^TNX) has a volatility of 6.12%. This indicates that PHYS experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.