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GSG vs. DBC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GSGDBC
YTD Return8.82%2.99%
1Y Return10.09%1.34%
3Y Return (Ann)15.70%12.65%
5Y Return (Ann)6.75%8.91%
10Y Return (Ann)-3.93%-0.58%
Sharpe Ratio0.590.13
Daily Std Dev17.85%14.35%
Max Drawdown-89.62%-76.36%
Current Drawdown-71.08%-46.07%

Correlation

0.93
-1.001.00

The correlation between GSG and DBC 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.

Performance

GSG vs. DBC - Performance Comparison

In the year-to-date period, GSG achieves a 8.82% return, which is significantly higher than DBC's 2.99% return. Over the past 10 years, GSG has underperformed DBC with an annualized return of -3.93%, while DBC has yielded a comparatively higher -0.58% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%10.00%OctoberNovemberDecember2024FebruaryMarch
-55.15%
3.16%
GSG
DBC

Compare stocks, funds, or ETFs


iShares S&P GSCI Commodity-Indexed Trust

Invesco DB Commodity Index Tracking Fund

GSG vs. DBC - Expense Ratio Comparison

GSG has a 0.75% expense ratio, which is lower than DBC's 0.85% expense ratio.

DBC
Invesco DB Commodity Index Tracking Fund
0.50%1.00%1.50%2.00%0.85%
0.50%1.00%1.50%2.00%0.75%

Risk-Adjusted Performance

GSG vs. DBC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares S&P GSCI Commodity-Indexed Trust (GSG) and Invesco DB Commodity Index Tracking Fund (DBC). 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.59
DBC
Invesco DB Commodity Index Tracking Fund
0.13

GSG vs. DBC - Sharpe Ratio Comparison

The current GSG Sharpe Ratio is 0.59, which is higher than the DBC Sharpe Ratio of 0.13. The chart below compares the 12-month rolling Sharpe Ratio of GSG and DBC.


Rolling 12-month Sharpe Ratio-0.500.000.501.00OctoberNovemberDecember2024FebruaryMarch
0.59
0.13
GSG
DBC

Dividends

GSG vs. DBC - Dividend Comparison

GSG has not paid dividends to shareholders, while DBC's dividend yield for the trailing twelve months is around 4.80%.


TTM202320222021202020192018
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DBC
Invesco DB Commodity Index Tracking Fund
4.80%4.94%0.59%0.00%0.00%1.59%1.30%

Drawdowns

GSG vs. DBC - Drawdown Comparison

The maximum GSG drawdown since its inception was -89.62%, which is greater than DBC's maximum drawdown of -76.36%. The drawdown chart below compares losses from any high point along the way for GSG and DBC


-80.00%-70.00%-60.00%-50.00%-40.00%OctoberNovemberDecember2024FebruaryMarch
-71.08%
-46.07%
GSG
DBC

Volatility

GSG vs. DBC - Volatility Comparison

iShares S&P GSCI Commodity-Indexed Trust (GSG) has a higher volatility of 3.23% compared to Invesco DB Commodity Index Tracking Fund (DBC) at 2.77%. This indicates that GSG's price experiences larger fluctuations and is considered to be riskier than DBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%OctoberNovemberDecember2024FebruaryMarch
3.23%
2.77%
GSG
DBC