SGOL vs. PHYS
Compare and contrast key facts about Aberdeen Standard Physical Gold Shares ETF (SGOL) and Sprott Physical Gold Trust (PHYS).
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: SGOL or PHYS.
Performance
SGOL vs. PHYS - Performance Comparison
Returns By Period
In the year-to-date period, SGOL achieves a 23.91% return, which is significantly lower than PHYS's 25.86% return. Both investments have delivered pretty close results over the past 10 years, with SGOL having a 7.64% annualized return and PHYS not far behind at 7.33%.
SGOL
23.91%
-4.27%
5.89%
29.08%
11.63%
7.64%
PHYS
25.86%
-5.11%
6.31%
29.35%
11.18%
7.33%
Key characteristics
| SGOL | PHYS | |
|---|---|---|
| Sharpe Ratio | 2.08 | 2.00 |
| Sortino Ratio | 2.79 | 2.63 |
| Omega Ratio | 1.36 | 1.35 |
| Calmar Ratio | 3.76 | 3.21 |
| Martin Ratio | 12.62 | 11.39 |
| Ulcer Index | 2.42% | 2.60% |
| Daily Std Dev | 14.69% | 14.84% |
| Max Drawdown | -45.51% | -48.16% |
| Current Drawdown | -8.11% | -7.43% |
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Correlation
The correlation between SGOL and PHYS 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.
Risk-Adjusted Performance
SGOL vs. PHYS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Aberdeen Standard Physical Gold Shares ETF (SGOL) and Sprott Physical Gold Trust (PHYS). 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
SGOL vs. PHYS - Dividend Comparison
Neither SGOL nor PHYS has paid dividends to shareholders.
Drawdowns
SGOL vs. PHYS - Drawdown Comparison
The maximum SGOL drawdown since its inception was -45.51%, smaller than the maximum PHYS drawdown of -48.16%. Use the drawdown chart below to compare losses from any high point for SGOL and PHYS. For additional features, visit the drawdowns tool.
Volatility
SGOL vs. PHYS - Volatility Comparison
The current volatility for Aberdeen Standard Physical Gold Shares ETF (SGOL) is 5.16%, while Sprott Physical Gold Trust (PHYS) has a volatility of 5.84%. This indicates that SGOL experiences smaller price fluctuations and is considered to be less risky than PHYS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.