PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CCRV vs. CMDY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CCRV vs. CMDY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Commodity Curve Carry Strategy ETF (CCRV) and iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%80.00%90.00%100.00%JuneJulyAugustSeptemberOctoberNovember
85.70%
42.98%
CCRV
CMDY

Returns By Period

In the year-to-date period, CCRV achieves a 4.02% return, which is significantly higher than CMDY's 2.27% return.


CCRV

YTD

4.02%

1M

-1.01%

6M

-5.67%

1Y

1.63%

5Y (annualized)

N/A

10Y (annualized)

N/A

CMDY

YTD

2.27%

1M

-2.14%

6M

-6.21%

1Y

-0.06%

5Y (annualized)

7.20%

10Y (annualized)

N/A

Key characteristics


CCRVCMDY
Sharpe Ratio0.05-0.11
Sortino Ratio0.17-0.08
Omega Ratio1.020.99
Calmar Ratio0.06-0.05
Martin Ratio0.17-0.25
Ulcer Index4.31%4.81%
Daily Std Dev14.43%11.14%
Max Drawdown-24.81%-31.20%
Current Drawdown-7.23%-22.29%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


CCRV vs. CMDY - Expense Ratio Comparison

CCRV has a 0.40% expense ratio, which is higher than CMDY's 0.28% expense ratio.


CCRV
iShares Commodity Curve Carry Strategy ETF
Expense ratio chart for CCRV: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for CMDY: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%

Correlation

-0.50.00.51.00.8

The correlation between CCRV and CMDY is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

CCRV vs. CMDY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Commodity Curve Carry Strategy ETF (CCRV) and iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY). 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.


Sharpe ratio
The chart of Sharpe ratio for CCRV, currently valued at 0.05, compared to the broader market0.002.004.006.000.05-0.11
The chart of Sortino ratio for CCRV, currently valued at 0.17, compared to the broader market-2.000.002.004.006.008.0010.0012.000.17-0.08
The chart of Omega ratio for CCRV, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.001.020.99
The chart of Calmar ratio for CCRV, currently valued at 0.06, compared to the broader market0.005.0010.0015.000.06-0.05
The chart of Martin ratio for CCRV, currently valued at 0.17, compared to the broader market0.0020.0040.0060.0080.00100.000.17-0.25
CCRV
CMDY

The current CCRV Sharpe Ratio is 0.05, which is higher than the CMDY Sharpe Ratio of -0.11. The chart below compares the historical Sharpe Ratios of CCRV and CMDY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.05
-0.11
CCRV
CMDY

Dividends

CCRV vs. CMDY - Dividend Comparison

CCRV's dividend yield for the trailing twelve months is around 6.98%, more than CMDY's 4.98% yield.


TTM202320222021202020192018
CCRV
iShares Commodity Curve Carry Strategy ETF
6.98%7.26%33.27%26.22%0.00%0.00%0.00%
CMDY
iShares Bloomberg Roll Select Commodity Strategy ETF
4.98%5.09%3.98%16.09%0.14%2.21%1.73%

Drawdowns

CCRV vs. CMDY - Drawdown Comparison

The maximum CCRV drawdown since its inception was -24.81%, smaller than the maximum CMDY drawdown of -31.20%. Use the drawdown chart below to compare losses from any high point for CCRV and CMDY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.23%
-22.29%
CCRV
CMDY

Volatility

CCRV vs. CMDY - Volatility Comparison

iShares Commodity Curve Carry Strategy ETF (CCRV) has a higher volatility of 4.66% compared to iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY) at 3.63%. This indicates that CCRV's price experiences larger fluctuations and is considered to be riskier than CMDY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
4.66%
3.63%
CCRV
CMDY