PJIO vs. GSG
PJIO (PGIM Jennison International Opportunities ETF) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - PJIO is a Foreign Large Cap Equities fund actively managed by PGIM, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. PJIO is actively managed, while GSG is passively managed. Over the past year, PJIO returned 10.77% vs 51.52% for GSG. At a correlation of -0.02, they often move in opposite directions. PJIO charges 0.90%/yr vs 0.75%/yr for GSG.
Performance
PJIO vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, PJIO achieves a 9.45% return, which is significantly lower than GSG's 42.58% return.
PJIO
- 1D
- -1.00%
- 1M
- 9.29%
- YTD
- 9.45%
- 6M
- 7.89%
- 1Y
- 10.77%
- 3Y*
- —
- 5Y*
- —
- 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%
PJIO vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
PJIO PGIM Jennison International Opportunities ETF | 9.45% | 17.75% | 4.59% | -0.44% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 42.58% | 5.93% | 8.52% | -2.24% |
Correlation
The correlation between PJIO and GSG is -0.26, 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 | -0.26 |
Correlation (All Time) Calculated using the full available price history since Dec 20, 2023 | -0.02 |
Over the past year, the inverse relationship between PJIO and GSG has strengthened: their correlation has moved from -0.02 to -0.26, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
PJIO vs. GSG — Risk / Return Rank
PJIO
GSG
PJIO vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PGIM Jennison International Opportunities ETF (PJIO) 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.
| PJIO | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.75 | ||
| Sortino ratioReturn per unit of downside risk | -1.99 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.40 | -0.30 |
| Calmar ratioReturn relative to maximum drawdown | 0.56 | 5.47 | -4.91 |
| Martin ratioReturn relative to average drawdown | 1.81 | 14.39 | -12.58 |
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
| PJIO | GSG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.50 | 2.26 | -1.75 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.70 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.35 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.62 | -0.09 | +0.71 |
Drawdowns
PJIO vs. GSG - Drawdown Comparison
The maximum PJIO drawdown since its inception was -19.26%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for PJIO and GSG.
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Drawdown Indicators
| PJIO | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.26% | -89.62% | +70.36% |
Max Drawdown (1Y)Largest decline over 1 year | -19.26% | -9.46% | -9.80% |
Max Drawdown (3Y)Largest decline over 3 years | — | -14.94% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -29.12% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -57.64% | — |
Current DrawdownCurrent decline from peak | -1.00% | -56.95% | +55.95% |
Average DrawdownAverage peak-to-trough decline | -4.27% | -63.71% | +59.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.95% | 3.59% | +2.36% |
Volatility
PJIO vs. GSG - Volatility Comparison
PGIM Jennison International Opportunities ETF (PJIO) has a higher volatility of 9.10% compared to iShares S&P GSCI Commodity-Indexed Trust (GSG) at 7.65%. This indicates that PJIO'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
| PJIO | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.10% | 7.65% | +1.45% |
Volatility (6M)Calculated over the trailing 6-month period | 18.76% | 20.42% | -1.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.52% | 22.95% | -1.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.71% | 22.61% | -1.90% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.71% | 22.03% | -1.32% |
PJIO vs. GSG - Expense Ratio Comparison
PJIO has a 0.90% expense ratio, which is higher than GSG's 0.75% expense ratio.
Dividends
PJIO vs. GSG - Dividend Comparison
PJIO's dividend yield for the trailing twelve months is around 0.17%, while GSG has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 |
|---|---|---|---|
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% |
PJIO PGIM Jennison International Opportunities ETF | 0.17% | 0.19% | 0.22% |
Frequently Asked Questions
PJIO and GSG have a correlation of -0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PJIO has higher volatility (9.10%) compared to GSG (7.65%). In terms of maximum drawdown, PJIO dropped -19.26% vs GSG's -89.62%.
On 1-year performance, GSG leads with 51.52% vs 10.77% for PJIO. 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 1-year period, GSG has performed better with a 51.52% return vs 10.77%. 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 0.90% for PJIO.
PJIO has the higher dividend yield at 0.17%, compared with 0.00% for GSG.
PJIO is categorized as Foreign Large Cap Equities, while GSG is Commodities. They also come from different issuers: PGIM and iShares. Their fees differ too: 0.90% for PJIO and 0.75% for GSG.
GSG currently has the higher Sharpe Ratio (2.26 vs 0.50), 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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