SGOL vs. PHYS
SGOL (abrdn Physical Gold Shares ETF) is Gold fund tracking the LBMA Gold Price PM ($/ozt), while PHYS (Sprott Physical Gold Trust) is a stock. Over the past 10 years, SGOL returned 13.40%/yr vs 12.48%/yr for PHYS. Their correlation of 0.93 suggests significant overlap in exposure.
Performance
SGOL vs. PHYS - Performance Comparison
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Returns By Period
In the year-to-date period, SGOL achieves a 3.85% return, which is significantly higher than PHYS's 2.39% return. Over the past 10 years, SGOL has outperformed PHYS with an annualized return of 13.40%, while PHYS has yielded a comparatively lower 12.48% annualized return.
SGOL
- 1D
- 0.85%
- 1M
- -1.66%
- YTD
- 3.85%
- 6M
- 6.30%
- 1Y
- 32.57%
- 3Y*
- 31.48%
- 5Y*
- 18.60%
- 10Y*
- 13.40%
PHYS
- 1D
- 0.74%
- 1M
- -1.86%
- YTD
- 2.39%
- 6M
- 5.07%
- 1Y
- 31.45%
- 3Y*
- 30.03%
- 5Y*
- 17.59%
- 10Y*
- 12.48%
SGOL vs. PHYS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SGOL abrdn Physical Gold Shares ETF | 3.85% | 63.99% | 26.90% | 12.99% | -0.51% | -3.94% | 25.03% | 18.21% | -1.94% | 12.86% |
PHYS Sprott Physical Gold Trust | 2.39% | 63.95% | 26.43% | 12.98% | -1.81% | -4.84% | 23.89% | 18.14% | -2.64% | 12.78% |
Correlation
The correlation between SGOL and PHYS is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.99 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.98 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.98 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2010 | 0.93 |
The correlation between SGOL and PHYS has been stable across timeframes, ranging from 0.93 to 0.99 - a consistent structural relationship.
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Return for Risk
SGOL vs. PHYS — Risk / Return Rank
SGOL
PHYS
SGOL vs. PHYS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for abrdn 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.
| SGOL | PHYS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.09 | ||
| Sortino ratioReturn per unit of downside risk | +0.12 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.23 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.71 | 1.63 | +0.08 |
| Martin ratioReturn relative to average drawdown | 4.20 | 3.99 | +0.20 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SGOL | PHYS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.24 | 1.15 | +0.09 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.05 | 0.97 | +0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.84 | 0.77 | +0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.55 | 0.45 | +0.10 |
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.
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Drawdown Indicators
| SGOL | PHYS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.51% | -48.16% | +2.65% |
Max Drawdown (1Y)Largest decline over 1 year | -19.14% | -19.35% | +0.21% |
Max Drawdown (3Y)Largest decline over 3 years | -19.14% | -19.35% | +0.21% |
Max Drawdown (5Y)Largest decline over 5 years | -20.92% | -21.80% | +0.88% |
Max Drawdown (10Y)Largest decline over 10 years | -21.56% | -23.75% | +2.19% |
Current DrawdownCurrent decline from peak | -17.02% | -17.40% | +0.38% |
Average DrawdownAverage peak-to-trough decline | -18.41% | -21.00% | +2.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.78% | 7.90% | -0.12% |
Volatility
SGOL vs. PHYS - Volatility Comparison
abrdn Physical Gold Shares ETF (SGOL) and Sprott Physical Gold Trust (PHYS) have volatilities of 5.47% and 5.64%, 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.
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Volatility by Period
| SGOL | PHYS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.47% | 5.64% | -0.17% |
Volatility (6M)Calculated over the trailing 6-month period | 22.94% | 23.86% | -0.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 26.32% | 27.43% | -1.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.88% | 18.31% | -0.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.91% | 16.30% | -0.39% |
Dividends
SGOL vs. PHYS - Dividend Comparison
Neither SGOL nor PHYS has paid dividends to shareholders.
Frequently Asked Questions
With a correlation of 0.99, SGOL and PHYS move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
PHYS has higher volatility (5.64%) compared to SGOL (5.47%). In terms of maximum drawdown, SGOL dropped -45.51% vs PHYS's -48.16%.
SGOL currently has the higher Sharpe Ratio (1.24 vs 1.15), 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.
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