TFJL vs. GSG

Last updated Jun 4, 2026

TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - TFJL is a Defined Outcome fund actively managed by Innovator, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. TFJL is actively managed, while GSG is passively managed. Over the past 5 years, TFJL returned -3.76%/yr vs 15.74%/yr for GSG. At a correlation of -0.17, they often move in opposite directions. TFJL charges 0.79%/yr vs 0.75%/yr for GSG.

Performance

TFJL vs. GSG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) and iShares S&P GSCI Commodity-Indexed Trust (GSG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TFJL achieves a -2.35% return, which is significantly lower than GSG's 42.58% return.

TFJL

• 1D: -0.54%
• 1M: -0.05%
• YTD: -2.35%
• 6M: -4.14%
• 1Y: -2.72%
• 3Y*: -1.72%
• 5Y*: -3.76%
• 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%

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

TFJL vs. GSG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly	-2.35%	-0.81%	-6.79%	8.23%	-17.17%	-2.46%	-1.98%
GSG iShares S&P GSCI Commodity-Indexed Trust	42.58%	5.93%	8.52%	-5.51%	24.08%	38.77%	10.48%

Correlation

The correlation between TFJL and GSG is -0.35, 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	-0.35
Correlation (3Y) Calculated over the trailing 3-year period	-0.20
Correlation (5Y) Calculated over the trailing 5-year period	-0.19
Correlation (All Time) Calculated using the full available price history since Aug 19, 2020	-0.17

The correlation between TFJL and GSG shifts across timeframes, from -0.35 (1 year) to -0.17 (all time), reflecting how their relationship changes across market environments.

Return for Risk

TFJL vs. GSG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TFJL

TFJL Risk / Return Rank: 6
TFJL Sharpe Ratio Rank: 6
TFJL Sortino Ratio Rank: 5
TFJL Omega Ratio Rank: 5
TFJL Calmar Ratio Rank: 6
TFJL Martin Ratio Rank: 6

GSG

GSG Risk / Return Rank: 71
GSG Sharpe Ratio Rank: 67
GSG Sortino Ratio Rank: 60
GSG Omega Ratio Rank: 65
GSG Calmar Ratio Rank: 89
GSG Martin Ratio Rank: 75

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.

TFJL vs. GSG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) 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.

	TFJL	GSG	Difference
Sharpe ratio Return per unit of total volatility	-0.33	2.26	-2.59
Sortino ratio Return per unit of downside risk	-0.42	2.88	-3.30
Omega ratio Gain probability vs. loss probability	0.95	1.40	-0.45
Calmar ratio Return relative to maximum drawdown	-0.32	5.47	-5.80
Martin ratio Return relative to average drawdown	-0.73	14.39	-15.12
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TFJL vs. GSG - Sharpe Ratio Comparison

The current TFJL Sharpe Ratio is -0.33, which is lower than the GSG Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of TFJL 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.

Sharpe Ratios by Period

	TFJL	GSG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.33	2.26	-2.59
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.40	0.70	-1.10
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.35	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.48	-0.09	-0.40

Drawdowns

TFJL vs. GSG - Drawdown Comparison

The maximum TFJL drawdown since its inception was -25.45%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for TFJL and GSG.

Drawdown Indicators

	TFJL	GSG	Difference
Max Drawdown Largest peak-to-trough decline	-25.45%	-89.62%	+64.17%
Max Drawdown (1Y) Largest decline over 1 year	-8.50%	-9.46%	+0.96%
Max Drawdown (3Y) Largest decline over 3 years	-12.72%	-14.94%	+2.22%
Max Drawdown (5Y) Largest decline over 5 years	-23.45%	-29.12%	+5.67%
Max Drawdown (10Y) Largest decline over 10 years	—	-57.64%	—
Current Drawdown Current decline from peak	-22.83%	-56.95%	+34.12%
Average Drawdown Average peak-to-trough decline	-15.02%	-63.71%	+48.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.74%	3.59%	+0.15%

Volatility

TFJL vs. GSG - Volatility Comparison

The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 1.99%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 7.65%. This indicates that TFJL 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.

Volatility by Period

	TFJL	GSG	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.99%	7.65%	-5.66%
Volatility (6M) Calculated over the trailing 6-month period	5.67%	20.42%	-14.75%
Volatility (1Y) Calculated over the trailing 1-year period	8.22%	22.95%	-14.73%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.34%	22.61%	-13.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.03%	22.03%	-13.00%

TFJL vs. GSG - Expense Ratio Comparison

TFJL has a 0.79% expense ratio, which is higher than GSG's 0.75% expense ratio.

Dividends

TFJL vs. GSG - Dividend Comparison

Neither TFJL nor GSG has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both TFJL and GSG in my portfolio?

TFJL and GSG have a correlation of -0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TFJL or GSG?

GSG has higher volatility (7.65%) compared to TFJL (1.99%). In terms of maximum drawdown, TFJL dropped -25.45% vs GSG's -89.62%.

Which ETF is better, TFJL or GSG?

On 5-year performance, GSG leads with 15.74% vs -3.76% for TFJL. On fees, GSG is cheaper at 0.75% per year. On volatility, TFJL has been the lower-risk option at 1.99%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TFJL or GSG?

Over the 5-year period, GSG has performed better with a 15.74% return vs -3.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TFJL or GSG?

GSG is cheaper with a 0.75% expense ratio, compared with 0.79% for TFJL.

Which ETF pays a higher dividend yield, TFJL or GSG?

TFJL and GSG have nearly identical dividend yields, around 0.00%.

What is the main difference between TFJL and GSG?

TFJL is categorized as Defined Outcome, while GSG is Commodities. They also come from different issuers: Innovator and iShares. Their fees differ too: 0.79% for TFJL and 0.75% for GSG.

Which has better risk-adjusted returns?

GSG currently has the higher Sharpe Ratio (2.26 vs -0.33), 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.