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

Key characteristics


GSGPDBC
YTD Return7.23%2.71%
1Y Return4.01%-0.96%
3Y Return (Ann)11.57%8.75%
5Y Return (Ann)7.01%9.24%
Sharpe Ratio0.29-0.04
Daily Std Dev15.76%13.01%
Max Drawdown-89.62%-49.52%
Current Drawdown-71.50%-21.98%

Correlation

-0.50.00.51.00.9

The correlation between GSG and PDBC is 0.92, 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. PDBC - Performance Comparison

In the year-to-date period, GSG achieves a 7.23% return, which is significantly higher than PDBC's 2.71% 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%-10.00%0.00%10.00%20.00%FebruaryMarchAprilMayJuneJuly
-20.65%
11.73%
GSG
PDBC

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

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF

GSG vs. PDBC - Expense Ratio Comparison

GSG has a 0.75% expense ratio, which is higher than PDBC's 0.58% 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 PDBC: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%

Risk-Adjusted Performance

GSG vs. PDBC - 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 Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC). 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 0.16, compared to the broader market0.005.0010.0015.0020.000.16
Martin ratio
The chart of Martin ratio for GSG, currently valued at 0.72, compared to the broader market0.0050.00100.00150.000.72
PDBC
Sharpe ratio
The chart of Sharpe ratio for PDBC, currently valued at -0.04, compared to the broader market0.002.004.006.00-0.04
Sortino ratio
The chart of Sortino ratio for PDBC, currently valued at 0.03, compared to the broader market0.005.0010.0015.000.03
Omega ratio
The chart of Omega ratio for PDBC, currently valued at 1.00, compared to the broader market1.002.003.001.00
Calmar ratio
The chart of Calmar ratio for PDBC, currently valued at -0.02, compared to the broader market0.005.0010.0015.0020.00-0.02
Martin ratio
The chart of Martin ratio for PDBC, currently valued at -0.09, compared to the broader market0.0050.00100.00150.00-0.09

GSG vs. PDBC - Sharpe Ratio Comparison

The current GSG Sharpe Ratio is 0.29, which is higher than the PDBC Sharpe Ratio of -0.04. The chart below compares the 12-month rolling Sharpe Ratio of GSG and PDBC.


Rolling 12-month Sharpe Ratio-0.500.000.501.00FebruaryMarchAprilMayJuneJuly
0.29
-0.04
GSG
PDBC

Dividends

GSG vs. PDBC - Dividend Comparison

GSG has not paid dividends to shareholders, while PDBC's dividend yield for the trailing twelve months is around 4.10%.


TTM20232022202120202019201820172016
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%
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
4.10%4.21%13.05%50.83%0.01%1.40%1.00%3.83%6.51%

Drawdowns

GSG vs. PDBC - Drawdown Comparison

The maximum GSG drawdown since its inception was -89.62%, which is greater than PDBC's maximum drawdown of -49.52%. Use the drawdown chart below to compare losses from any high point for GSG and PDBC. For additional features, visit the drawdowns tool.


-26.00%-24.00%-22.00%-20.00%-18.00%-16.00%FebruaryMarchAprilMayJuneJuly
-20.65%
-21.98%
GSG
PDBC

Volatility

GSG vs. PDBC - Volatility Comparison

iShares S&P GSCI Commodity-Indexed Trust (GSG) has a higher volatility of 3.57% compared to Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) at 2.95%. This indicates that GSG's price experiences larger fluctuations and is considered to be riskier than PDBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%FebruaryMarchAprilMayJuneJuly
3.57%
2.95%
GSG
PDBC