PM vs. SGOL

Last updated Jun 13, 2026

PM (Philip Morris International Inc.) is a stock, while SGOL (abrdn Physical Gold Shares ETF) is Gold fund tracking the LBMA Gold Price PM ($/ozt). Over the past 10 years, PM returned 11.71%/yr vs 12.34%/yr for SGOL. At a 0.08 correlation, their price movements are largely independent.

Performance

PM vs. SGOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Philip Morris International Inc. (PM) and abrdn Physical Gold Shares ETF (SGOL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PM achieves a 15.93% return, which is significantly higher than SGOL's -2.39% return. Over the past 10 years, PM has underperformed SGOL with an annualized return of 11.71%, while SGOL has yielded a comparatively higher 12.34% annualized return.

PM

• 1D: 1.95%
• 1M: -2.80%
• YTD: 15.93%
• 6M: 22.12%
• 1Y: 3.53%
• 3Y*: 31.18%
• 5Y*: 18.78%
• 10Y*: 11.71%

SGOL

• 1D: 0.10%
• 1M: -7.35%
• YTD: -2.39%
• 6M: -2.15%
• 1Y: 22.44%
• 3Y*: 29.18%
• 5Y*: 17.34%
• 10Y*: 12.34%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PM vs. SGOL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PM Philip Morris International Inc.	15.93%	37.99%	34.34%	-1.85%	12.31%	20.78%	3.69%	35.02%	-33.30%	19.85%
SGOL abrdn Physical Gold Shares ETF	-2.39%	63.99%	26.90%	12.99%	-0.51%	-3.94%	25.03%	18.21%	-1.94%	12.86%

Correlation

The correlation between PM and SGOL is 0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.02
Correlation (3Y) Calculated over the trailing 3-year period	0.08
Correlation (5Y) Calculated over the trailing 5-year period	0.12
Correlation (10Y) Calculated over the trailing 10-year period	0.09
Correlation (All Time) Calculated using the full available price history since Sep 9, 2009	0.08

Return for Risk

PM vs. SGOL — Risk / Return Rank

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

PM

PM Risk / Return Rank: 44
PM Sharpe Ratio Rank: 48
PM Sortino Ratio Rank: 41
PM Omega Ratio Rank: 41
PM Calmar Ratio Rank: 47
PM Martin Ratio Rank: 47

SGOL

SGOL Risk / Return Rank: 26
SGOL Sharpe Ratio Rank: 28
SGOL Sortino Ratio Rank: 25
SGOL Omega Ratio Rank: 31
SGOL Calmar Ratio Rank: 24
SGOL Martin Ratio Rank: 24

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PM vs. SGOL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Philip Morris International Inc. (PM) and abrdn 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	PM	SGOL	Difference
Sharpe ratio: Return per unit of total volatility	0.13	0.89	-0.76
Sortino ratio: Return per unit of downside risk	0.37	1.26	-0.89
Omega ratio: Gain probability vs. loss probability	1.05	1.19	-0.14
Calmar ratio: Return relative to maximum drawdown	0.18	0.99	-0.81
Martin ratio: Return relative to average drawdown	0.34	2.85	-2.51

PM vs. SGOL - Sharpe Ratio Comparison

The current PM Sharpe Ratio is 0.13, which is lower than the SGOL Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of PM and SGOL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PM vs. SGOL - Drawdown Comparison

The maximum PM drawdown since its inception was -42.87%, smaller than the maximum SGOL drawdown of -45.51%. Use the drawdown chart below to compare losses from any high point for PM and SGOL.

Drawdown Indicators

	PM	SGOL	Difference
Max Drawdown Largest peak-to-trough decline	-42.87%	-45.51%	+2.64%
Max Drawdown (1Y) Largest decline over 1 year	-20.64%	-24.37%	+3.73%
Max Drawdown (3Y) Largest decline over 3 years	-20.64%	-24.37%	+3.73%
Max Drawdown (5Y) Largest decline over 5 years	-22.78%	-24.37%	+1.59%
Max Drawdown (10Y) Largest decline over 10 years	-42.87%	-24.37%	-18.50%
Current Drawdown Current decline from peak	-3.94%	-22.00%	+18.06%
Average Drawdown Average peak-to-trough decline	-10.02%	-18.41%	+8.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.81%	8.46%	+2.35%

Volatility

PM vs. SGOL - Volatility Comparison

Philip Morris International Inc. (PM) and abrdn Physical Gold Shares ETF (SGOL) have volatilities of 7.76% and 7.69%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PM	SGOL	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.76%	7.69%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	21.07%	23.85%	-2.78%
Volatility (1Y) Calculated over the trailing 1-year period	27.73%	27.08%	+0.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.73%	18.10%	+4.63%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.46%	16.04%	+8.42%

Dividends

PM vs. SGOL - Dividend Comparison

PM's dividend yield for the trailing twelve months is around 3.13%, while SGOL has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PM Philip Morris International Inc.	3.13%	3.52%	4.40%	5.46%	4.98%	5.16%	5.73%	5.43%	6.73%	3.99%	4.50%	4.60%
SGOL abrdn Physical Gold Shares ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both PM and SGOL in my portfolio?

PM and SGOL have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PM or SGOL?

PM has higher volatility (7.76%) compared to SGOL (7.69%). In terms of maximum drawdown, PM dropped -42.87% vs SGOL's -45.51%.

Which has better risk-adjusted returns?

SGOL currently has the higher Sharpe Ratio (0.89 vs 0.13), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.