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 -3.56%/yr vs 12.78%/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 -1.34% return, which is significantly lower than GSG's 25.54% return.
TFJL
- 1D
- 0.15%
- 1M
- 1.73%
- YTD
- -1.34%
- 6M
- -1.61%
- 1Y
- -1.74%
- 3Y*
- -1.49%
- 5Y*
- -3.56%
- 10Y*
- —
GSG
- 1D
- -1.03%
- 1M
- -12.93%
- YTD
- 25.54%
- 6M
- 23.88%
- 1Y
- 27.65%
- 3Y*
- 14.02%
- 5Y*
- 12.78%
- 10Y*
- 6.58%
TFJL vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | -1.34% | -0.81% | -6.79% | 8.23% | -17.17% | -2.46% | -2.00% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 25.54% | 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 | -0.20 |
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 | -1.43 | ||
| Sortino ratioReturn per unit of downside risk | -1.98 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.23 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | 1.66 | -1.86 |
| Martin ratioReturn relative to average drawdown | -0.44 | 6.95 | -7.39 |
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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% | -16.74% | +8.24% |
Max Drawdown (3Y)Largest decline over 3 years | -12.72% | -16.74% | +4.02% |
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 | -22.04% | -62.10% | +40.06% |
Average DrawdownAverage peak-to-trough decline | -15.07% | -63.69% | +48.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.01% | 4.01% | 0.00% |
Volatility
TFJL vs. GSG - Volatility Comparison
The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 2.05%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 5.46%. 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 | 2.05% | 5.46% | -3.41% |
Volatility (6M)Calculated over the trailing 6-month period | 5.82% | 20.82% | -15.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.31% | 23.17% | -14.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.38% | 22.67% | -13.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.02% | 22.01% | -12.99% |
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 (5.46%) compared to TFJL (2.05%). In terms of maximum drawdown, TFJL dropped -25.45% vs GSG's -89.62%.
On 5-year performance, GSG leads with 12.78% vs -3.56% for TFJL. On fees, GSG is cheaper at 0.75% per year. On volatility, TFJL has been the lower-risk option at 2.05%. 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 12.78% return vs -3.56%. 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 (1.22 vs -0.21), 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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