GSG vs. PDP
GSG (iShares S&P GSCI Commodity-Indexed Trust) and PDP (Invesco Dorsey Wright Momentum ETF) are both exchange-traded funds - GSG is a Commodities fund tracking the S&P GSCI Total Return Index, while PDP is a Momentum fund tracking the Dorsey Wright Technical Leaders Index. Both are passively managed. Over the past 10 years, GSG returned 8.91%/yr vs 12.35%/yr for PDP. Their 0.29 correlation means their historical movements had little consistent relationship. GSG charges 0.75%/yr vs 0.62%/yr for PDP.
Performance
GSG vs. PDP - Performance Comparison
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Returns By Period
In the year-to-date period, GSG achieves a 38.94% return, which is significantly higher than PDP's 14.75% return. Over the past 10 years, GSG has underperformed PDP with an annualized return of 8.91%, while PDP has yielded a comparatively higher 12.35% annualized return.
GSG
- 1D
- 0.28%
- 1M
- 12.94%
- 6M
- 25.75%
- YTD
- 38.94%
- 1Y
- 42.34%
- 3Y*
- 14.13%
- 5Y*
- 14.47%
- 10Y*
- 8.91%
- ALL TIME*
- -2.13%
PDP
- 1D
- 0.32%
- 1M
- -9.12%
- 6M
- 9.33%
- YTD
- 14.75%
- 1Y
- 18.03%
- 3Y*
- 18.14%
- 5Y*
- 8.11%
- 10Y*
- 12.35%
- ALL TIME*
- 9.66%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $16.60M | $17.31M | $26.52M | |
| $3.96M | $3.45M | $3.85M |
GSG vs. PDP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GSG iShares S&P GSCI Commodity-Indexed Trust | 38.94% | 5.93% | 8.52% | -5.51% | 24.08% | 38.77% | -23.94% | 15.62% | -13.88% | 3.89% |
PDP Invesco Dorsey Wright Momentum ETF | 14.75% | 8.37% | 26.06% | 20.88% | -24.49% | 7.72% | 36.59% | 33.13% | -5.96% | 23.30% |
Correlation
The correlation between GSG and PDP is -0.07, 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. | -0.07 |
Correlation (3Y) Balances recent behavior with more history. | 0.04 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.16 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.20 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.29 |
The correlation between GSG and PDP shifts across timeframes, from -0.07 (1 year) to 0.29 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
GSG vs. PDP — Risk / Return Rank
GSG
PDP
GSG vs. PDP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares S&P GSCI Commodity-Indexed Trust (GSG) and Invesco Dorsey Wright Momentum ETF (PDP). 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 | PDP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.98 | ||
| Sortino ratioReturn per unit of downside risk | +1.18 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.14 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 2.16 | 1.03 | +1.13 |
| Martin ratioReturn relative to average drawdown | 6.99 | 4.02 | +2.97 |
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Drawdowns
GSG vs. PDP - Drawdown Comparison
The maximum GSG drawdown since its inception was -89.62%, which is greater than PDP's maximum drawdown of -59.34%. Use the drawdown chart below to compare losses from any high point for GSG and PDP.
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Drawdown Indicators
| GSG | PDP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -89.62% | -59.34% | -30.28% |
Max Drawdown (1Y)Largest decline over 1 year | -18.81% | -17.58% | -1.23% |
Max Drawdown (3Y)Largest decline over 3 years | -18.81% | -23.79% | +4.98% |
Max Drawdown (5Y)Largest decline over 5 years | -29.12% | -33.91% | +4.79% |
Max Drawdown (10Y)Largest decline over 10 years | -57.64% | -34.70% | -22.94% |
Current DrawdownCurrent decline from peak | -58.05% | -12.80% | -45.25% |
Average DrawdownAverage peak-to-trough decline | -63.67% | -10.57% | -53.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.84% | 4.51% | +1.33% |
Volatility
GSG vs. PDP - Volatility Comparison
The current volatility for iShares S&P GSCI Commodity-Indexed Trust (GSG) is 8.11%, while Invesco Dorsey Wright Momentum ETF (PDP) has a volatility of 11.41%. This indicates that GSG experiences smaller price fluctuations and is considered to be less risky than PDP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GSG | PDP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.11% | 11.41% | -3.30% |
Volatility (6M)Calculated over the trailing 6-month period | 22.18% | 21.23% | +0.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.23% | 25.85% | -1.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.86% | 22.80% | +0.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.06% | 22.01% | +0.05% |
GSG vs. PDP - Expense Ratio Comparison
GSG has a 0.75% expense ratio, which is higher than PDP's 0.62% expense ratio.
Dividends
GSG vs. PDP - Dividend Comparison
GSG has not paid dividends to shareholders, while PDP's dividend yield for the trailing twelve months is around 0.08%.
| 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% |
PDP Invesco Dorsey Wright Momentum ETF | 0.08% | 0.17% | 0.15% | 0.42% | 0.45% | 0.00% | 0.11% | 0.25% | 0.18% | 0.28% | 0.81% | 0.39% |
Frequently Asked Questions
GSG and PDP have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PDP has higher volatility (11.41%) compared to GSG (8.11%). In terms of maximum drawdown, GSG dropped -89.62% vs PDP's -59.34%.
On 10-year performance, PDP leads with 12.35% vs 8.91% for GSG. On fees, PDP is cheaper at 0.62% per year. On volatility, GSG has been the lower-risk option at 8.11%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, PDP has performed better with a 12.35% return vs 8.91%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PDP is cheaper with a 0.62% expense ratio, compared with 0.75% for GSG.
PDP has the higher dividend yield at 0.08%, compared with 0.00% for GSG.
GSG is categorized as Commodities, while PDP is Momentum. GSG tracks S&P GSCI Total Return Index, while PDP tracks Dorsey Wright Technical Leaders Index. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.75% for GSG and 0.62% for PDP.
GSG currently has the higher Sharpe Ratio (1.68 vs 0.70), 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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