DBC vs. GSG
Compare and contrast key facts about Invesco DB Commodity Index Tracking Fund (DBC) and iShares S&P GSCI Commodity-Indexed Trust (GSG).
DBC and GSG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DBC is a passively managed fund by Invesco that tracks the performance of the DBIQ Optimum Yield Diversified Commodity Index Excess Return. It was launched on Feb 3, 2006. GSG is a passively managed fund by iShares that tracks the performance of the S&P GSCI Total Return Index. It was launched on Jul 21, 2006. Both DBC and GSG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DBC or GSG.
Performance
DBC vs. GSG - Performance Comparison
Returns By Period
In the year-to-date period, DBC achieves a -1.00% return, which is significantly lower than GSG's 3.19% return. Over the past 10 years, DBC has outperformed GSG with an annualized return of 0.98%, while GSG has yielded a comparatively lower -2.33% annualized return.
DBC
-1.00%
-2.28%
-7.97%
-4.42%
8.93%
0.98%
GSG
3.19%
-2.13%
-7.71%
1.37%
6.07%
-2.33%
Key characteristics
| DBC | GSG | |
|---|---|---|
| Sharpe Ratio | -0.37 | -0.10 |
| Sortino Ratio | -0.42 | -0.02 |
| Omega Ratio | 0.95 | 1.00 |
| Calmar Ratio | -0.11 | -0.02 |
| Martin Ratio | -1.05 | -0.30 |
| Ulcer Index | 5.12% | 5.22% |
| Daily Std Dev | 14.54% | 16.46% |
| Max Drawdown | -76.36% | -89.62% |
| Current Drawdown | -48.16% | -72.58% |
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DBC vs. GSG - Expense Ratio Comparison
DBC has a 0.85% expense ratio, which is higher than GSG's 0.75% expense ratio.
Correlation
The correlation between DBC and GSG is 0.93, 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
DBC vs. GSG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB Commodity Index Tracking Fund (DBC) 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.
Dividends
DBC vs. GSG - Dividend Comparison
DBC's dividend yield for the trailing twelve months is around 4.99%, while GSG has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | 4.99% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DBC vs. GSG - Drawdown Comparison
The maximum DBC drawdown since its inception was -76.36%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for DBC and GSG. For additional features, visit the drawdowns tool.
Volatility
DBC vs. GSG - Volatility Comparison
Invesco DB Commodity Index Tracking Fund (DBC) and iShares S&P GSCI Commodity-Indexed Trust (GSG) have volatilities of 5.17% and 5.20%, 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.