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

Key characteristics


GSGVCMDX
YTD Return9.07%4.29%
1Y Return8.64%1.39%
3Y Return (Ann)11.28%5.85%
5Y Return (Ann)7.57%10.02%
Sharpe Ratio0.470.22
Daily Std Dev15.79%11.11%
Max Drawdown-89.62%-26.67%
Current Drawdown-71.01%-19.60%

Correlation

-0.50.00.51.00.8

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 9.07% return, which is significantly higher than VCMDX's 4.29% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


30.00%40.00%50.00%60.00%70.00%FebruaryMarchAprilMayJuneJuly
41.30%
60.31%
GSG
VCMDX

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

Vanguard Commodity Strategy Fund Admiral Shares

GSG vs. VCMDX - Expense Ratio Comparison

GSG has a 0.75% expense ratio, which is higher than VCMDX's 0.20% 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 VCMDX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

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.


GSG
Sharpe ratio
The chart of Sharpe ratio for GSG, currently valued at 0.55, compared to the broader market0.002.004.006.000.55
Sortino ratio
The chart of Sortino ratio for GSG, currently valued at 0.85, compared to the broader market0.005.0010.000.85
Omega ratio
The chart of Omega ratio for GSG, currently valued at 1.10, compared to the broader market1.002.003.001.10
Calmar ratio
The chart of Calmar ratio for GSG, currently valued at 0.33, compared to the broader market0.005.0010.0015.0020.000.33
Martin ratio
The chart of Martin ratio for GSG, currently valued at 1.36, compared to the broader market0.0050.00100.00150.001.36
VCMDX
Sharpe ratio
The chart of Sharpe ratio for VCMDX, currently valued at 0.22, compared to the broader market0.002.004.006.000.22
Sortino ratio
The chart of Sortino ratio for VCMDX, currently valued at 0.39, compared to the broader market0.005.0010.000.39
Omega ratio
The chart of Omega ratio for VCMDX, currently valued at 1.05, compared to the broader market1.002.003.001.05
Calmar ratio
The chart of Calmar ratio for VCMDX, currently valued at 0.10, compared to the broader market0.005.0010.0015.0020.000.10
Martin ratio
The chart of Martin ratio for VCMDX, currently valued at 0.56, compared to the broader market0.0050.00100.00150.000.56

GSG vs. VCMDX - Sharpe Ratio Comparison

The current GSG Sharpe Ratio is 0.47, which is higher than the VCMDX Sharpe Ratio of 0.22. The chart below compares the 12-month rolling Sharpe Ratio of GSG and VCMDX.


Rolling 12-month Sharpe Ratio-0.500.000.501.00FebruaryMarchAprilMayJuneJuly
0.55
0.22
GSG
VCMDX

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 2.39%.


TTM20232022202120202019
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
2.39%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.


-26.00%-24.00%-22.00%-20.00%-18.00%-16.00%-14.00%FebruaryMarchAprilMayJuneJuly
-16.93%
-19.60%
GSG
VCMDX

Volatility

GSG vs. VCMDX - Volatility Comparison

iShares S&P GSCI Commodity-Indexed Trust (GSG) has a higher volatility of 3.36% compared to Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) at 2.76%. 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.


2.00%3.00%4.00%5.00%FebruaryMarchAprilMayJuneJuly
3.36%
2.76%
GSG
VCMDX