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

Key characteristics


GSGNVCR
YTD Return7.23%23.24%
1Y Return4.01%-52.33%
3Y Return (Ann)11.57%-54.13%
5Y Return (Ann)7.01%-23.35%
Sharpe Ratio0.29-0.68
Daily Std Dev15.76%78.07%
Max Drawdown-89.62%-95.07%
Current Drawdown-71.50%-91.84%

Correlation

-0.50.00.51.00.1

The correlation between GSG and NVCR is 0.11, 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. NVCR - Performance Comparison

In the year-to-date period, GSG achieves a 7.23% return, which is significantly lower than NVCR's 23.24% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%40.00%FebruaryMarchAprilMayJuneJuly
27.66%
0.66%
GSG
NVCR

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iShares S&P GSCI Commodity-Indexed Trust

NovoCure Limited

Risk-Adjusted Performance

GSG vs. NVCR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares S&P GSCI Commodity-Indexed Trust (GSG) and NovoCure Limited (NVCR). 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 0.29, compared to the broader market0.002.004.006.000.29
Sortino ratio
The chart of Sortino ratio for GSG, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.50
Omega ratio
The chart of Omega ratio for GSG, currently valued at 1.06, compared to the broader market1.002.003.001.06
Calmar ratio
The chart of Calmar ratio for GSG, currently valued at 0.18, compared to the broader market0.005.0010.0015.0020.000.18
Martin ratio
The chart of Martin ratio for GSG, currently valued at 0.72, compared to the broader market0.0050.00100.00150.000.72
NVCR
Sharpe ratio
The chart of Sharpe ratio for NVCR, currently valued at -0.68, compared to the broader market0.002.004.006.00-0.68
Sortino ratio
The chart of Sortino ratio for NVCR, currently valued at -0.74, compared to the broader market0.005.0010.0015.00-0.74
Omega ratio
The chart of Omega ratio for NVCR, currently valued at 0.90, compared to the broader market1.002.003.000.90
Calmar ratio
The chart of Calmar ratio for NVCR, currently valued at -0.56, compared to the broader market0.005.0010.0015.0020.00-0.56
Martin ratio
The chart of Martin ratio for NVCR, currently valued at -0.91, compared to the broader market0.0050.00100.00150.00-0.91

GSG vs. NVCR - Sharpe Ratio Comparison

The current GSG Sharpe Ratio is 0.29, which is higher than the NVCR Sharpe Ratio of -0.68. The chart below compares the 12-month rolling Sharpe Ratio of GSG and NVCR.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00FebruaryMarchAprilMayJuneJuly
0.29
-0.68
GSG
NVCR

Dividends

GSG vs. NVCR - Dividend Comparison

Neither GSG nor NVCR has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

GSG vs. NVCR - Drawdown Comparison

The maximum GSG drawdown since its inception was -89.62%, smaller than the maximum NVCR drawdown of -95.07%. Use the drawdown chart below to compare losses from any high point for GSG and NVCR. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%FebruaryMarchAprilMayJuneJuly
-18.34%
-91.84%
GSG
NVCR

Volatility

GSG vs. NVCR - Volatility Comparison

The current volatility for iShares S&P GSCI Commodity-Indexed Trust (GSG) is 3.57%, while NovoCure Limited (NVCR) has a volatility of 13.85%. This indicates that GSG experiences smaller price fluctuations and is considered to be less risky than NVCR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%FebruaryMarchAprilMayJuneJuly
3.57%
13.85%
GSG
NVCR