AFSM vs. GSG
AFSM (First Trust Active Factor Small Cap ETF) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - AFSM is a Small Cap Blend Equities fund actively managed by First Trust, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. AFSM is actively managed, while GSG is passively managed. Over the past 5 years, AFSM returned 10.56%/yr vs 13.92%/yr for GSG. Their 0.21 correlation means their historical movements had little consistent relationship. AFSM charges 0.77%/yr vs 0.75%/yr for GSG.
Performance
AFSM vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, AFSM achieves a 26.32% return, which is significantly lower than GSG's 32.05% return.
AFSM
- 1D
- 1.87%
- 1M
- 3.01%
- 6M
- 19.77%
- YTD
- 26.32%
- 1Y
- 37.92%
- 3Y*
- 18.04%
- 5Y*
- 10.56%
- 10Y*
- —
- ALL TIME*
- 12.30%
GSG
- 1D
- -2.34%
- 1M
- 7.33%
- 6M
- 21.51%
- YTD
- 32.05%
- 1Y
- 36.06%
- 3Y*
- 12.37%
- 5Y*
- 13.92%
- 10Y*
- 7.99%
- ALL TIME*
- -2.38%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $794.37K | $778.51K | $678.40K | |
| $18.82M | $16.77M | $25.29M |
AFSM vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
AFSM First Trust Active Factor Small Cap ETF | 26.32% | 9.99% | 10.55% | 22.23% | -17.50% | 26.03% | 8.44% | 2.39% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 32.05% | 5.93% | 8.52% | -5.51% | 24.08% | 38.77% | -23.94% | 6.02% |
Correlation
The correlation between AFSM and GSG is -0.22, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.22 |
Correlation (3Y) Balances recent behavior with more history. | 0.01 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.15 |
Correlation (All Time) Calculated using the full available price history since Dec 4, 2019 | 0.21 |
The correlation between AFSM and GSG shifts across timeframes, from -0.22 (1 year) to 0.21 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AFSM vs. GSG — Risk / Return Rank
AFSM
GSG
AFSM vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Active Factor Small Cap ETF (AFSM) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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.
| AFSM | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.61 | ||
| Sortino ratioReturn per unit of downside risk | +0.94 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.26 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 3.98 | 1.93 | +2.06 |
| Martin ratioReturn relative to average drawdown | 12.86 | 6.13 | +6.73 |
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Drawdowns
AFSM vs. GSG - Drawdown Comparison
The maximum AFSM drawdown since its inception was -43.54%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for AFSM and GSG.
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Drawdown Indicators
| AFSM | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -43.54% | -89.62% | +46.08% |
Max Drawdown (1Y)Largest decline over 1 year | -9.56% | -18.81% | +9.25% |
Max Drawdown (3Y)Largest decline over 3 years | -25.07% | -18.81% | -6.26% |
Max Drawdown (5Y)Largest decline over 5 years | -28.27% | -29.12% | +0.85% |
Max Drawdown (10Y)Largest decline over 10 years | — | -57.64% | — |
Current DrawdownCurrent decline from peak | 0.00% | -60.13% | +60.13% |
Average DrawdownAverage peak-to-trough decline | -9.28% | -63.67% | +54.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.96% | 5.90% | -2.94% |
Volatility
AFSM vs. GSG - Volatility Comparison
The current volatility for First Trust Active Factor Small Cap ETF (AFSM) is 4.47%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 9.06%. This indicates that AFSM experiences smaller price fluctuations and is considered to be less risky than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AFSM | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.47% | 9.06% | -4.59% |
Volatility (6M)Calculated over the trailing 6-month period | 14.06% | 22.00% | -7.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.32% | 24.45% | -6.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.82% | 22.90% | -2.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.22% | 22.09% | +3.13% |
AFSM vs. GSG - Expense Ratio Comparison
AFSM has a 0.77% expense ratio, which is higher than GSG's 0.75% expense ratio.
Dividends
AFSM vs. GSG - Dividend Comparison
AFSM's dividend yield for the trailing twelve months is around 0.49%, while GSG has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
AFSM First Trust Active Factor Small Cap ETF | 0.49% | 0.58% | 0.58% | 0.92% | 1.28% | 0.35% | 0.53% | 0.32% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
AFSM and GSG have a correlation of -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GSG has higher volatility (9.06%) compared to AFSM (4.47%). In terms of maximum drawdown, AFSM dropped -43.54% vs GSG's -89.62%.
On 5-year performance, GSG leads with 13.92% vs 10.56% for AFSM. On fees, GSG is cheaper at 0.75% per year. On volatility, AFSM has been the lower-risk option at 4.47%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, GSG has performed better with a 13.92% return vs 10.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GSG is cheaper with a 0.75% expense ratio, compared with 0.77% for AFSM.
AFSM has the higher dividend yield at 0.49%, compared with 0.00% for GSG.
AFSM is categorized as Small Cap Blend Equities, while GSG is Commodities. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.77% for AFSM and 0.75% for GSG.
AFSM currently has the higher Sharpe Ratio (2.09 vs 1.48), 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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