GSG vs. MTUM
GSG (iShares S&P GSCI Commodity-Indexed Trust) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - GSG is a Commodities fund tracking the S&P GSCI Total Return Index, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 10 years, GSG returned 8.71%/yr vs 16.00%/yr for MTUM. Their 0.20 correlation means their historical movements had little consistent relationship. GSG charges 0.75%/yr vs 0.15%/yr for MTUM.
Performance
GSG vs. MTUM - Performance Comparison
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Returns By Period
In the year-to-date period, GSG achieves a 42.11% return, which is significantly higher than MTUM's 22.65% return. Over the past 10 years, GSG has underperformed MTUM with an annualized return of 8.71%, while MTUM has yielded a comparatively higher 16.00% annualized return.
GSG
- 1D
- -1.12%
- 1M
- 13.47%
- 6M
- 32.35%
- YTD
- 42.11%
- 1Y
- 46.16%
- 3Y*
- 15.32%
- 5Y*
- 15.35%
- 10Y*
- 8.71%
- ALL TIME*
- -2.03%
MTUM
- 1D
- -2.42%
- 1M
- -9.70%
- 6M
- 20.16%
- YTD
- 22.65%
- 1Y
- 27.88%
- 3Y*
- 28.98%
- 5Y*
- 13.15%
- 10Y*
- 16.00%
- ALL TIME*
- 15.84%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $14.36M | $16.94M | $27.13M | |
| $620.00M | $622.73M | $495.72M |
GSG vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GSG iShares S&P GSCI Commodity-Indexed Trust | 42.11% | 5.93% | 8.52% | -5.51% | 24.08% | 38.77% | -23.94% | 15.62% | -13.88% | 3.89% |
MTUM iShares MSCI USA Momentum Factor ETF | 22.65% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
Correlation
The correlation between GSG and MTUM is -0.06, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.06 |
Correlation (3Y) Balances recent behavior with more history. | 0.04 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.17 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.20 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.20 |
The correlation between GSG and MTUM shifts across timeframes, from -0.06 (1 year) to 0.20 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
GSG vs. MTUM — Risk / Return Rank
GSG
MTUM
GSG vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares S&P GSCI Commodity-Indexed Trust (GSG) and iShares MSCI USA Momentum Factor ETF (MTUM). 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.
| GSG | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.72 | ||
| Sortino ratioReturn per unit of downside risk | +0.87 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.22 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 2.39 | 2.31 | +0.08 |
| Martin ratioReturn relative to average drawdown | 7.82 | 7.45 | +0.37 |
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Drawdowns
GSG vs. MTUM - Drawdown Comparison
The maximum GSG drawdown since its inception was -89.62%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for GSG and MTUM.
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Drawdown Indicators
| GSG | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -89.62% | -34.08% | -55.54% |
Max Drawdown (1Y)Largest decline over 1 year | -18.81% | -12.49% | -6.32% |
Max Drawdown (3Y)Largest decline over 3 years | -18.81% | -20.99% | +2.18% |
Max Drawdown (5Y)Largest decline over 5 years | -29.12% | -32.28% | +3.16% |
Max Drawdown (10Y)Largest decline over 10 years | -57.64% | -34.08% | -23.56% |
Current DrawdownCurrent decline from peak | -57.10% | -11.25% | -45.85% |
Average DrawdownAverage peak-to-trough decline | -63.68% | -6.20% | -57.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.75% | 3.87% | +1.88% |
Volatility
GSG vs. MTUM - Volatility Comparison
The current volatility for iShares S&P GSCI Commodity-Indexed Trust (GSG) is 6.47%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 11.65%. This indicates that GSG experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GSG | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.47% | 11.65% | -5.18% |
Volatility (6M)Calculated over the trailing 6-month period | 21.68% | 22.19% | -0.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.69% | 24.47% | -0.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.75% | 21.65% | +1.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.01% | 21.60% | +0.41% |
GSG vs. MTUM - Expense Ratio Comparison
GSG has a 0.75% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Dividends
GSG vs. MTUM - Dividend Comparison
GSG has not paid dividends to shareholders, while MTUM's dividend yield for the trailing twelve months is around 0.60%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.60% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
Frequently Asked Questions
GSG and MTUM have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (11.65%) compared to GSG (6.47%). In terms of maximum drawdown, GSG dropped -89.62% vs MTUM's -34.08%.
On 10-year performance, MTUM leads with 16.00% vs 8.71% for GSG. On fees, MTUM is cheaper at 0.15% per year. On volatility, GSG has been the lower-risk option at 6.47%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MTUM has performed better with a 16.00% return vs 8.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MTUM is cheaper with a 0.15% expense ratio, compared with 0.75% for GSG.
MTUM has the higher dividend yield at 0.60%, compared with 0.00% for GSG.
GSG is categorized as Commodities, while MTUM is Momentum. GSG tracks S&P GSCI Total Return Index, while MTUM tracks MSCI USA Momentum SR Variant Index. Their fees differ too: 0.75% for GSG and 0.15% for MTUM.
GSG currently has the higher Sharpe Ratio (1.90 vs 1.18), 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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