MTUL vs. GSG
MTUL (ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - MTUL is a Momentum fund tracking the MSCI USA Momentum Index, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. Both are passively managed. Over the past 5 years, MTUL returned 19.95%/yr vs 15.74%/yr for GSG. At a 0.18 correlation, their price movements are largely independent. MTUL charges 0.95%/yr vs 0.75%/yr for GSG.
Performance
MTUL vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, MTUL achieves a 60.22% return, which is significantly higher than GSG's 42.58% return.
MTUL
- 1D
- -0.74%
- 1M
- 27.97%
- YTD
- 60.22%
- 6M
- 59.66%
- 1Y
- 75.85%
- 3Y*
- 59.49%
- 5Y*
- 19.95%
- 10Y*
- —
GSG
- 1D
- 0.77%
- 1M
- -4.83%
- YTD
- 42.58%
- 6M
- 41.06%
- 1Y
- 51.52%
- 3Y*
- 19.31%
- 5Y*
- 15.74%
- 10Y*
- 7.69%
MTUL vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
MTUL ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN | 60.22% | 27.42% | 58.70% | 10.66% | -37.97% | 7.00% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 42.58% | 5.93% | 8.52% | -5.51% | 24.08% | 26.55% |
Correlation
The correlation between MTUL and GSG is -0.15, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Feb 8, 2021 | 0.18 |
The correlation between MTUL and GSG shifts across timeframes, from -0.15 (1 year) to 0.19 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
MTUL vs. GSG — Risk / Return Rank
MTUL
GSG
MTUL vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN (MTUL) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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.
| MTUL | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.52 | ||
| Sortino ratioReturn per unit of downside risk | -0.54 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.40 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 3.20 | 5.47 | -2.28 |
| Martin ratioReturn relative to average drawdown | 12.78 | 14.39 | -1.61 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MTUL | GSG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.73 | 2.26 | -0.52 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.47 | 0.70 | -0.23 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.35 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | -0.09 | +0.49 |
Drawdowns
MTUL vs. GSG - Drawdown Comparison
The maximum MTUL drawdown since its inception was -56.83%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for MTUL and GSG.
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Drawdown Indicators
| MTUL | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.83% | -89.62% | +32.79% |
Max Drawdown (1Y)Largest decline over 1 year | -23.86% | -9.46% | -14.40% |
Max Drawdown (3Y)Largest decline over 3 years | -39.15% | -14.94% | -24.21% |
Max Drawdown (5Y)Largest decline over 5 years | -56.83% | -29.12% | -27.71% |
Max Drawdown (10Y)Largest decline over 10 years | — | -57.64% | — |
Current DrawdownCurrent decline from peak | -0.74% | -56.95% | +56.21% |
Average DrawdownAverage peak-to-trough decline | -22.68% | -63.71% | +41.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.96% | 3.59% | +2.37% |
Volatility
MTUL vs. GSG - Volatility Comparison
ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN (MTUL) has a higher volatility of 20.29% compared to iShares S&P GSCI Commodity-Indexed Trust (GSG) at 7.65%. This indicates that MTUL's price experiences larger fluctuations and is considered to be riskier than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MTUL | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 20.29% | 7.65% | +12.64% |
Volatility (6M)Calculated over the trailing 6-month period | 37.63% | 20.42% | +17.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 43.98% | 22.95% | +21.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 42.81% | 22.61% | +20.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 43.65% | 22.03% | +21.62% |
MTUL vs. GSG - Expense Ratio Comparison
MTUL has a 0.95% expense ratio, which is higher than GSG's 0.75% expense ratio.
Dividends
MTUL vs. GSG - Dividend Comparison
Neither MTUL nor GSG has paid dividends to shareholders.
Frequently Asked Questions
MTUL and GSG have a correlation of -0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUL has higher volatility (20.29%) compared to GSG (7.65%). In terms of maximum drawdown, MTUL dropped -56.83% vs GSG's -89.62%.
On 5-year performance, MTUL leads with 19.95% vs 15.74% for GSG. On fees, GSG is cheaper at 0.75% per year. On volatility, GSG has been the lower-risk option at 7.65%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, MTUL has performed better with a 19.95% return vs 15.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GSG is cheaper with a 0.75% expense ratio, compared with 0.95% for MTUL.
MTUL and GSG have nearly identical dividend yields, around 0.00%.
MTUL is categorized as Momentum, while GSG is Commodities. MTUL tracks MSCI USA Momentum Index, while GSG tracks S&P GSCI Total Return Index. They also come from different issuers: UBS and iShares. Their fees differ too: 0.95% for MTUL and 0.75% for GSG.
GSG currently has the higher Sharpe Ratio (2.26 vs 1.73), 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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