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GSG vs. CGL.TO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GSGCGL.TO
YTD Return9.07%18.55%
1Y Return8.64%23.02%
3Y Return (Ann)11.28%9.49%
5Y Return (Ann)7.57%10.34%
10Y Return (Ann)-3.78%5.32%
Sharpe Ratio0.471.79
Daily Std Dev15.79%13.68%
Max Drawdown-89.62%-45.96%
Current Drawdown-71.01%-0.36%

Correlation

-0.50.00.51.00.4

The correlation between GSG and CGL.TO is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

GSG vs. CGL.TO - Performance Comparison

In the year-to-date period, GSG achieves a 9.07% return, which is significantly lower than CGL.TO's 18.55% return. Over the past 10 years, GSG has underperformed CGL.TO with an annualized return of -3.78%, while CGL.TO has yielded a comparatively higher 5.32% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%0.00%20.00%40.00%60.00%80.00%FebruaryMarchAprilMayJuneJuly
-24.74%
71.42%
GSG
CGL.TO

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


iShares S&P GSCI Commodity-Indexed Trust

iShares Gold Bullion ETF (CAD-Hedged)

GSG vs. CGL.TO - Expense Ratio Comparison

GSG has a 0.75% expense ratio, which is higher than CGL.TO's 0.55% expense ratio.


GSG
iShares S&P GSCI Commodity-Indexed Trust
Expense ratio chart for GSG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for CGL.TO: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%

Risk-Adjusted Performance

GSG vs. CGL.TO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares S&P GSCI Commodity-Indexed Trust (GSG) and iShares Gold Bullion ETF (CAD-Hedged) (CGL.TO). 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.


GSG
Sharpe ratio
The chart of Sharpe ratio for GSG, currently valued at 0.18, compared to the broader market0.002.004.006.000.18
Sortino ratio
The chart of Sortino ratio for GSG, currently valued at 0.35, compared to the broader market0.005.0010.000.35
Omega ratio
The chart of Omega ratio for GSG, currently valued at 1.04, compared to the broader market1.002.003.001.04
Calmar ratio
The chart of Calmar ratio for GSG, currently valued at 0.05, compared to the broader market0.005.0010.0015.0020.000.05
Martin ratio
The chart of Martin ratio for GSG, currently valued at 0.42, compared to the broader market0.0050.00100.00150.000.42
CGL.TO
Sharpe ratio
The chart of Sharpe ratio for CGL.TO, currently valued at 1.22, compared to the broader market0.002.004.006.001.22
Sortino ratio
The chart of Sortino ratio for CGL.TO, currently valued at 1.76, compared to the broader market0.005.0010.001.76
Omega ratio
The chart of Omega ratio for CGL.TO, currently valued at 1.22, compared to the broader market1.002.003.001.22
Calmar ratio
The chart of Calmar ratio for CGL.TO, currently valued at 0.51, compared to the broader market0.005.0010.0015.0020.000.51
Martin ratio
The chart of Martin ratio for CGL.TO, currently valued at 4.67, compared to the broader market0.0050.00100.00150.004.67

GSG vs. CGL.TO - Sharpe Ratio Comparison

The current GSG Sharpe Ratio is 0.47, which is lower than the CGL.TO Sharpe Ratio of 1.79. The chart below compares the 12-month rolling Sharpe Ratio of GSG and CGL.TO.


Rolling 12-month Sharpe Ratio0.000.501.001.50FebruaryMarchAprilMayJuneJuly
0.18
1.22
GSG
CGL.TO

Dividends

GSG vs. CGL.TO - Dividend Comparison

Neither GSG nor CGL.TO has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

GSG vs. CGL.TO - Drawdown Comparison

The maximum GSG drawdown since its inception was -89.62%, which is greater than CGL.TO's maximum drawdown of -45.96%. Use the drawdown chart below to compare losses from any high point for GSG and CGL.TO. For additional features, visit the drawdowns tool.


-50.00%-45.00%-40.00%-35.00%-30.00%-25.00%-20.00%-15.00%FebruaryMarchAprilMayJuneJuly
-43.72%
-17.15%
GSG
CGL.TO

Volatility

GSG vs. CGL.TO - Volatility Comparison

The current volatility for iShares S&P GSCI Commodity-Indexed Trust (GSG) is 3.16%, while iShares Gold Bullion ETF (CAD-Hedged) (CGL.TO) has a volatility of 4.40%. This indicates that GSG experiences smaller price fluctuations and is considered to be less risky than CGL.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%FebruaryMarchAprilMayJuneJuly
3.16%
4.40%
GSG
CGL.TO