TJUL vs. GSG
TJUL (Innovator Equity Defined Protection ETF – 2 Yr to July 2025) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - TJUL is a Options Trading fund actively managed by Innovator, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. TJUL is actively managed, while GSG is passively managed. Over the past year, TJUL returned 5.85% vs 51.52% for GSG. At a 0.03 correlation, their price movements are largely independent. TJUL charges 0.79%/yr vs 0.75%/yr for GSG.
Performance
TJUL vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, TJUL achieves a 2.08% return, which is significantly lower than GSG's 42.58% return.
TJUL
- 1D
- -0.05%
- 1M
- 0.62%
- YTD
- 2.08%
- 6M
- 2.41%
- 1Y
- 5.85%
- 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%
TJUL vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
TJUL Innovator Equity Defined Protection ETF – 2 Yr to July 2025 | 2.08% | 6.55% | 8.18% | 3.05% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 42.58% | 5.93% | 8.52% | -1.96% |
Correlation
The correlation between TJUL and GSG is -0.10, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Jul 19, 2023 | 0.03 |
The correlation between TJUL and GSG shifts across timeframes, from -0.10 (1 year) to 0.03 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
TJUL vs. GSG — Risk / Return Rank
TJUL
GSG
TJUL vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF – 2 Yr to July 2025 (TJUL) 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.
| TJUL | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.14 | ||
| Sortino ratioReturn per unit of downside risk | +0.24 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.40 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.82 | 5.47 | -2.65 |
| Martin ratioReturn relative to average drawdown | 13.10 | 14.39 | -1.29 |
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
| TJUL | GSG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.12 | 2.26 | -0.14 |
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 | 1.64 | -0.09 | +1.72 |
Drawdowns
TJUL vs. GSG - Drawdown Comparison
The maximum TJUL drawdown since its inception was -4.61%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for TJUL and GSG.
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Drawdown Indicators
| TJUL | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -4.61% | -89.62% | +85.01% |
Max Drawdown (1Y)Largest decline over 1 year | -2.08% | -9.46% | +7.38% |
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 | -0.12% | -56.95% | +56.83% |
Average DrawdownAverage peak-to-trough decline | -0.39% | -63.71% | +63.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.45% | 3.59% | -3.14% |
Volatility
TJUL vs. GSG - Volatility Comparison
The current volatility for Innovator Equity Defined Protection ETF – 2 Yr to July 2025 (TJUL) is 0.51%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 7.65%. This indicates that TJUL 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
| TJUL | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.51% | 7.65% | -7.14% |
Volatility (6M)Calculated over the trailing 6-month period | 2.14% | 20.42% | -18.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.77% | 22.95% | -20.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.26% | 22.61% | -18.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.26% | 22.03% | -17.77% |
TJUL vs. GSG - Expense Ratio Comparison
TJUL has a 0.79% expense ratio, which is higher than GSG's 0.75% expense ratio.
Dividends
TJUL vs. GSG - Dividend Comparison
Neither TJUL nor GSG has paid dividends to shareholders.
Frequently Asked Questions
TJUL and GSG have a correlation of -0.10, 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 TJUL (0.51%). In terms of maximum drawdown, TJUL dropped -4.61% vs GSG's -89.62%.
On 1-year performance, GSG leads with 51.52% vs 5.85% for TJUL. On fees, GSG is cheaper at 0.75% per year. On volatility, TJUL has been the lower-risk option at 0.51%. 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 5.85%. 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 TJUL.
TJUL and GSG have nearly identical dividend yields, around 0.00%.
TJUL is categorized as Options Trading, while GSG is Commodities. They also come from different issuers: Innovator and iShares. Their fees differ too: 0.79% for TJUL and 0.75% for GSG.
GSG currently has the higher Sharpe Ratio (2.26 vs 2.12), 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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