DJP vs. GSG
DJP (iPath Bloomberg Commodity Index Total Return ETN) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both Commodities funds - DJP tracks the Bloomberg Commodity Index while GSG tracks the S&P GSCI Total Return Index. Both are passively managed. Over the past 10 years, DJP returned 7.36%/yr vs 7.69%/yr for GSG. Their correlation of 0.85 suggests significant overlap in exposure. DJP charges 0.70%/yr vs 0.75%/yr for GSG.
Performance
DJP vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, DJP achieves a 30.63% return, which is significantly lower than GSG's 42.58% return. Both investments have delivered pretty close results over the past 10 years, with DJP having a 7.36% annualized return and GSG not far ahead at 7.69%.
DJP
- 1D
- 0.02%
- 1M
- -3.31%
- YTD
- 30.63%
- 6M
- 29.34%
- 1Y
- 44.52%
- 3Y*
- 17.94%
- 5Y*
- 12.46%
- 10Y*
- 7.36%
GSG
- 1D
- 0.77%
- 1M
- -4.83%
- YTD
- 42.58%
- 6M
- 41.06%
- 1Y
- 51.52%
- 3Y*
- 19.31%
- 5Y*
- 15.74%
- 10Y*
- 7.69%
DJP vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DJP iPath Bloomberg Commodity Index Total Return ETN | 30.63% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 7.63% | -13.07% | 0.74% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 42.58% | 5.93% | 8.52% | -5.51% | 24.08% | 38.77% | -23.94% | 15.62% | -13.88% | 3.89% |
Correlation
The correlation between DJP and GSG is 0.86, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.86 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.85 |
Correlation (All Time) Calculated using the full available price history since Oct 31, 2006 | 0.85 |
The correlation between DJP and GSG has been stable across timeframes, ranging from 0.84 to 0.86 - a consistent structural relationship.
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Return for Risk
DJP vs. GSG — Risk / Return Rank
DJP
GSG
DJP vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) 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.
| DJP | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.11 | ||
| Sortino ratioReturn per unit of downside risk | +0.07 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.40 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 5.20 | 5.47 | -0.28 |
| Martin ratioReturn relative to average drawdown | 13.30 | 14.39 | -1.09 |
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
| DJP | GSG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.36 | 2.26 | +0.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.66 | 0.70 | -0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.35 | +0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.00 | -0.09 | +0.09 |
Drawdowns
DJP vs. GSG - Drawdown Comparison
The maximum DJP drawdown since its inception was -78.35%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for DJP and GSG.
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Drawdown Indicators
| DJP | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.35% | -89.62% | +11.27% |
Max Drawdown (1Y)Largest decline over 1 year | -8.61% | -9.46% | +0.85% |
Max Drawdown (3Y)Largest decline over 3 years | -13.41% | -14.94% | +1.53% |
Max Drawdown (5Y)Largest decline over 5 years | -28.98% | -29.12% | +0.14% |
Max Drawdown (10Y)Largest decline over 10 years | -38.36% | -57.64% | +19.28% |
Current DrawdownCurrent decline from peak | -32.82% | -56.95% | +24.13% |
Average DrawdownAverage peak-to-trough decline | -50.86% | -63.71% | +12.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.36% | 3.59% | -0.23% |
Volatility
DJP vs. GSG - Volatility Comparison
The current volatility for iPath Bloomberg Commodity Index Total Return ETN (DJP) is 5.85%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 7.65%. This indicates that DJP 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
| DJP | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.85% | 7.65% | -1.80% |
Volatility (6M)Calculated over the trailing 6-month period | 16.64% | 20.42% | -3.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.92% | 22.95% | -4.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.96% | 22.61% | -3.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.06% | 22.03% | -4.97% |
DJP vs. GSG - Expense Ratio Comparison
DJP has a 0.70% expense ratio, which is lower than GSG's 0.75% expense ratio.
Dividends
DJP vs. GSG - Dividend Comparison
Neither DJP nor GSG has paid dividends to shareholders.
Frequently Asked Questions
DJP and GSG have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GSG has higher volatility (7.65%) compared to DJP (5.85%). In terms of maximum drawdown, DJP dropped -78.35% vs GSG's -89.62%.
On 10-year performance, GSG leads with 7.69% vs 7.36% for DJP. On fees, DJP is cheaper at 0.70% per year. On volatility, DJP has been the lower-risk option at 5.85%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GSG has performed better with a 7.69% return vs 7.36%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DJP is cheaper with a 0.70% expense ratio, compared with 0.75% for GSG.
DJP and GSG have nearly identical dividend yields, around 0.00%.
DJP tracks Bloomberg Commodity Index, while GSG tracks S&P GSCI Total Return Index. They also come from different issuers: Barclays Capital and iShares. Their fees differ too: 0.70% for DJP and 0.75% for GSG.
DJP currently has the higher Sharpe Ratio (2.36 vs 2.26), 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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