TFJL vs. GSG
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 -3.99%/yr vs 13.83%/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
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Returns By Period
In the year-to-date period, TFJL achieves a -3.81% return, which is significantly lower than GSG's 32.35% return.
TFJL
- 1D
- -0.44%
- 1M
- -1.96%
- 6M
- -4.06%
- YTD
- -3.81%
- 1Y
- -3.18%
- 3Y*
- -1.72%
- 5Y*
- -3.99%
- 10Y*
- —
GSG
- 1D
- 3.60%
- 1M
- -0.20%
- 6M
- 28.24%
- YTD
- 32.35%
- 1Y
- 34.57%
- 3Y*
- 14.41%
- 5Y*
- 13.83%
- 10Y*
- 7.40%
TFJL vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | -3.81% | -0.81% | -6.79% | 8.23% | -17.17% | -2.46% | -2.00% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 32.35% | 5.93% | 8.52% | -5.51% | 24.08% | 38.77% | 10.19% |
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 | -0.22 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.19 |
Correlation (All Time) Calculated using the full available price history since Aug 18, 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.
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Return for Risk
TFJL vs. GSG — Risk / Return Rank
TFJL
GSG
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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| TFJL | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.86 | ||
| Sortino ratioReturn per unit of downside risk | -2.55 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.27 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | -0.38 | 1.85 | -2.22 |
| Martin ratioReturn relative to average drawdown | -0.75 | 6.29 | -7.04 |
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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.
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Drawdown Indicators
| TFJL | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.45% | -89.62% | +64.17% |
Max Drawdown (1Y)Largest decline over 1 year | -8.50% | -18.81% | +10.31% |
Max Drawdown (3Y)Largest decline over 3 years | -12.72% | -18.81% | +6.09% |
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 DrawdownCurrent decline from peak | -23.99% | -60.04% | +36.05% |
Average DrawdownAverage peak-to-trough decline | -15.14% | -63.69% | +48.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.24% | 5.51% | -1.27% |
Volatility
TFJL vs. GSG - Volatility Comparison
The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 2.95%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 7.35%. 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.
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Volatility by Period
| TFJL | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.95% | 7.35% | -4.40% |
Volatility (6M)Calculated over the trailing 6-month period | 6.06% | 21.50% | -15.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.37% | 23.48% | -15.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.42% | 22.80% | -13.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.03% | 22.00% | -12.97% |
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.
Frequently Asked Questions
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.
GSG has higher volatility (7.35%) compared to TFJL (2.95%). In terms of maximum drawdown, TFJL dropped -25.45% vs GSG's -89.62%.
On 5-year performance, GSG leads with 13.83% vs -3.99% for TFJL. On fees, GSG is cheaper at 0.75% per year. On volatility, TFJL has been the lower-risk option at 2.95%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, GSG has performed better with a 13.83% return vs -3.99%. 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 0.79% for TFJL.
TFJL and GSG have nearly identical dividend yields, around 0.00%.
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.
GSG currently has the higher Sharpe Ratio (1.48 vs -0.38), 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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