GSG vs. VCMDX
Compare and contrast key facts about iShares S&P GSCI Commodity-Indexed Trust (GSG) and Vanguard Commodity Strategy Fund Admiral Shares (VCMDX).
GSG is a passively managed fund by iShares that tracks the performance of the S&P GSCI Total Return Index. It was launched on Jul 21, 2006. VCMDX is managed by Vanguard. It was launched on Jun 25, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GSG or VCMDX.
Key characteristics
| GSG | VCMDX | |
|---|---|---|
| YTD Return | 4.64% | 4.98% |
| 1Y Return | -7.16% | 1.01% |
| 3Y Return (Ann) | 5.49% | 2.52% |
| 5Y Return (Ann) | 6.99% | 10.34% |
| Sharpe Ratio | -0.36 | 0.11 |
| Sortino Ratio | -0.40 | 0.24 |
| Omega Ratio | 0.96 | 1.03 |
| Calmar Ratio | -0.08 | 0.05 |
| Martin Ratio | -0.87 | 0.27 |
| Ulcer Index | 6.86% | 4.74% |
| Daily Std Dev | 16.61% | 11.54% |
| Max Drawdown | -89.62% | -26.67% |
| Current Drawdown | -72.19% | -19.07% |
Correlation
The correlation between GSG and VCMDX is 0.80, 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. VCMDX - Performance Comparison
In the year-to-date period, GSG achieves a 4.64% return, which is significantly lower than VCMDX's 4.98% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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GSG vs. VCMDX - Expense Ratio Comparison
GSG has a 0.75% expense ratio, which is higher than VCMDX's 0.20% expense ratio.
Risk-Adjusted Performance
GSG vs. VCMDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares S&P GSCI Commodity-Indexed Trust (GSG) and Vanguard Commodity Strategy Fund Admiral Shares (VCMDX). 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.
Dividends
GSG vs. VCMDX - Dividend Comparison
GSG has not paid dividends to shareholders, while VCMDX's dividend yield for the trailing twelve months is around 2.38%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 2.38% | 2.50% | 14.21% | 30.56% | 0.50% | 0.60% |
Drawdowns
GSG vs. VCMDX - Drawdown Comparison
The maximum GSG drawdown since its inception was -89.62%, which is greater than VCMDX's maximum drawdown of -26.67%. Use the drawdown chart below to compare losses from any high point for GSG and VCMDX. For additional features, visit the drawdowns tool.
Volatility
GSG vs. VCMDX - Volatility Comparison
iShares S&P GSCI Commodity-Indexed Trust (GSG) has a higher volatility of 6.05% compared to Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) at 3.67%. This indicates that GSG's price experiences larger fluctuations and is considered to be riskier than VCMDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.