COMT's Sortino Ratio of 1.72 indicates that for each unit of downside volatility, it generates 1.72 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 25, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
COMT Sortino Ratio Rank
COMT ranks above 34.9% of all investments in our database based on Sortino Ratio over the past 12 months, indicating below-average returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Returns may not adequately compensate for downside risk taken
- Consider smaller allocation given below-average risk-adjusted profile
- Explore higher-ranked investments with better downside protection
- Assess whether downside exposure aligns with your portfolio goals
COMT Sortino Ratio Market Positioning
The chart shows COMT's Sortino Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.28 or lower
- Yellow zone (middle 50%): 1.28 to 2.90
- Green zone (top 25%): 2.90 or higher
- Top 1%: 15.22+
- Median: 2.15 — half of all investments score higher
How it compares to other similar ETFs
The table compares iShares GSCI Commodity Dynamic Roll Strategy ETF's Sortino Ratio with other ETFs in the Commodities category across multiple time periods, showing how COMT's risk-adjusted performance compares to similar funds.
Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 25, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| BWET | Breakwave Tanker Shipping ETF | 5.71 | |||
| ISCMF | iShares Diversified Commodity Swap UCITS ETF | 3.18 | |||
| FAAR | First Trust Alternative Absolute Return Strategy ETF | 3.08 | |||
| ZSC | USCF Sustainable Commodity Strategy Fund | 2.93 | |||
| BDRY | Breakwave Dry Bulk Shipping ETF | 2.91 | |||
| COM | Direxion Auspice Broad Commodity Strategy ETF | 2.70 | |||
| ZSB | USCF Sustainable Battery Metals Strategy Fund | 2.55 | |||
| EVMT | Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF | 2.49 | |||
| FTGC | First Trust Global Tactical Commodity Strategy Fund | 2.48 | |||
| PIT | VanEck Commodity Strategy ETF | 2.37 | |||
| COMT | iShares GSCI Commodity Dynamic Roll Strategy ETF | 1.72 |
Historical Sortino Ratio
The chart shows COMT's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when COMT consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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