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PDP vs. GSG
Performance
Return for Risk
Drawdowns
Volatility
Dividends

PDP vs. GSG

Last updated Jun 4, 2026

PDP (Invesco Dorsey Wright Momentum ETF) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - PDP is a Momentum fund tracking the Dorsey Wright Technical Leaders Index, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. Both are passively managed. Over the past 10 years, PDP returned 13.60%/yr vs 7.69%/yr for GSG. At a 0.29 correlation, their price movements are largely independent. PDP charges 0.62%/yr vs 0.75%/yr for GSG.

Performance

PDP vs. GSG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dorsey Wright Momentum ETF (PDP) and iShares S&P GSCI Commodity-Indexed Trust (GSG). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, PDP achieves a 24.95% return, which is significantly lower than GSG's 42.58% return. Over the past 10 years, PDP has outperformed GSG with an annualized return of 13.60%, while GSG has yielded a comparatively lower 7.69% annualized return.

PDP

1D
0.57%
1M
6.22%
YTD
24.95%
6M
24.18%
1Y
37.20%
3Y*
24.44%
5Y*
11.32%
10Y*
13.60%

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%
*Multi-year figures are annualized to reflect compound growth (CAGR)

PDP vs. GSG - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
PDP
Invesco Dorsey Wright Momentum ETF		24.95%8.37%26.06%20.88%-24.49%7.72%36.59%33.13%-5.96%23.30%
GSG
iShares S&P GSCI Commodity-Indexed Trust		42.58%5.93%8.52%-5.51%24.08%38.77%-23.94%15.62%-13.88%3.89%

Correlation

The correlation between PDP 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

0.03

Correlation (5Y)
Calculated over the trailing 5-year period

0.17

Correlation (10Y)
Calculated over the trailing 10-year period

0.20

Correlation (All Time)
Calculated using the full available price history since Mar 2, 2007

0.29

The correlation between PDP and GSG shifts across timeframes, from -0.15 (1 year) to 0.29 (all time), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Invesco Dorsey Wright Momentum ETF

iShares S&P GSCI Commodity-Indexed Trust

Often compared with PDP:
PDP vs. MTUMPDP vs. QQQPDP vs. SPYPDP vs. MMTMPDP vs. VOOPDP vs. BBUSPDP vs. RSP
Often compared with GSG:
GSG vs. DBCGSG vs. PDBCGSG vs. COMTGSG vs. VCMDXGSG vs. GLDGSG vs. HGERGSG vs. CGL.TO

Return for Risk

PDP vs. GSG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
PDP
PDP Risk / Return Rank: 5353
Overall Rank
PDP Sharpe Ratio Rank: 4949
Sharpe Ratio Rank
PDP Sortino Ratio Rank: 4646
Sortino Ratio Rank
PDP Omega Ratio Rank: 4646
Omega Ratio Rank
PDP Calmar Ratio Rank: 6363
Calmar Ratio Rank
PDP Martin Ratio Rank: 6161
Martin Ratio Rank
GSG
GSG Risk / Return Rank: 7171
Overall Rank
GSG Sharpe Ratio Rank: 6767
Sharpe Ratio Rank
GSG Sortino Ratio Rank: 6060
Sortino Ratio Rank
GSG Omega Ratio Rank: 6565
Omega Ratio Rank
GSG Calmar Ratio Rank: 8989
Calmar Ratio Rank
GSG Martin Ratio Rank: 7575
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PDP vs. GSG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Momentum ETF (PDP) 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.

PDPGSGDifference
Sharpe ratioReturn per unit of total volatility
1.70
2.26

-0.55

Sortino ratioReturn per unit of downside risk
2.29
2.88

-0.58

Omega ratioGain probability vs. loss probability

1.30

1.40

-0.11

Calmar ratioReturn relative to maximum drawdown

3.15

5.47

-2.33

Martin ratioReturn relative to average drawdown

11.16

14.39

-3.23

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PDP vs. GSG - Sharpe Ratio Comparison

The current PDP Sharpe Ratio is 1.70, which is comparable to the GSG Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of PDP and GSG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

PDPGSGDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.70

2.26

-0.55

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.52

0.70

-0.18

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.63

0.35

+0.28

Sharpe Ratio (All Time)

Calculated using the full available price history

0.45

-0.09

+0.54

Drawdowns

PDP vs. GSG - Drawdown Comparison

The maximum PDP drawdown since its inception was -59.34%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for PDP and GSG.

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Drawdown Indicators

PDPGSGDifference

Max Drawdown

Largest peak-to-trough decline

-59.34%

-89.62%

+30.28%

Max Drawdown (1Y)

Largest decline over 1 year

-11.87%

-9.46%

-2.41%

Max Drawdown (3Y)

Largest decline over 3 years

-23.79%

-14.94%

-8.85%

Max Drawdown (5Y)

Largest decline over 5 years

-33.91%

-29.12%

-4.79%

Max Drawdown (10Y)

Largest decline over 10 years

-34.70%

-57.64%

+22.94%

Current Drawdown

Current decline from peak

0.00%

-56.95%

+56.95%

Average Drawdown

Average peak-to-trough decline

-10.61%

-63.71%

+53.10%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.34%

3.59%

-0.25%

Volatility

PDP vs. GSG - Volatility Comparison

The current volatility for Invesco Dorsey Wright Momentum ETF (PDP) is 6.51%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 7.65%. This indicates that PDP experiences smaller price fluctuations and is considered to be less risky 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

PDPGSGDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.51%

7.65%

-1.14%

Volatility (6M)

Calculated over the trailing 6-month period

17.34%

20.42%

-3.08%

Volatility (1Y)

Calculated over the trailing 1-year period

21.94%

22.95%

-1.01%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.00%

22.61%

-0.61%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.59%

22.03%

-0.44%

PDP vs. GSG - Expense Ratio Comparison

PDP has a 0.62% expense ratio, which is lower than GSG's 0.75% expense ratio.

Dividends

PDP vs. GSG - Dividend Comparison

PDP's dividend yield for the trailing twelve months is around 0.11%, while GSG has not paid dividends to shareholders.

PositionTTM20252024202320222021202020192018201720162015
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		0.11%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

PDP 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.

GSG has higher volatility (7.65%) compared to PDP (6.51%). In terms of maximum drawdown, PDP dropped -59.34% vs GSG's -89.62%.

On 10-year performance, PDP leads with 13.60% vs 7.69% for GSG. On fees, PDP is cheaper at 0.62% per year. On volatility, PDP has been the lower-risk option at 6.51%. 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 13.60% return vs 7.69%. 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 0.11%, compared with 0.00% for GSG.

PDP is categorized as Momentum, while GSG is Commodities. PDP tracks Dorsey Wright Technical Leaders Index, while GSG tracks S&P GSCI Total Return Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.62% for PDP and 0.75% for GSG.

GSG currently has the higher Sharpe Ratio (2.26 vs 1.70), 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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