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CCRV vs. CMDY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CCRVCMDY
YTD Return6.17%4.59%
1Y Return4.19%2.55%
3Y Return (Ann)9.90%1.73%
Sharpe Ratio0.290.19
Sortino Ratio0.500.34
Omega Ratio1.061.04
Calmar Ratio0.340.08
Martin Ratio0.990.45
Ulcer Index4.20%4.74%
Daily Std Dev14.40%11.18%
Max Drawdown-24.81%-31.20%
Current Drawdown-5.31%-20.52%

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.

Performance

CCRV vs. CMDY - Performance Comparison

In the year-to-date period, CCRV achieves a 6.17% return, which is significantly higher than CMDY's 4.59% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%JuneJulyAugustSeptemberOctoberNovember
-1.96%
-1.30%
CCRV
CMDY

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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%

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.


CCRV
Sharpe ratio
The chart of Sharpe ratio for CCRV, currently valued at 0.29, compared to the broader market-2.000.002.004.006.000.29
Sortino ratio
The chart of Sortino ratio for CCRV, currently valued at 0.50, compared to the broader market-2.000.002.004.006.008.0010.0012.000.50
Omega ratio
The chart of Omega ratio for CCRV, currently valued at 1.06, compared to the broader market1.001.502.002.503.001.06
Calmar ratio
The chart of Calmar ratio for CCRV, currently valued at 0.34, compared to the broader market0.005.0010.0015.000.34
Martin ratio
The chart of Martin ratio for CCRV, currently valued at 0.99, compared to the broader market0.0020.0040.0060.0080.00100.000.99
CMDY
Sharpe ratio
The chart of Sharpe ratio for CMDY, currently valued at 0.19, compared to the broader market-2.000.002.004.006.000.19
Sortino ratio
The chart of Sortino ratio for CMDY, currently valued at 0.34, compared to the broader market-2.000.002.004.006.008.0010.0012.000.34
Omega ratio
The chart of Omega ratio for CMDY, currently valued at 1.04, compared to the broader market1.001.502.002.503.001.04
Calmar ratio
The chart of Calmar ratio for CMDY, currently valued at 0.08, compared to the broader market0.005.0010.0015.000.08
Martin ratio
The chart of Martin ratio for CMDY, currently valued at 0.45, compared to the broader market0.0020.0040.0060.0080.00100.000.45

CCRV vs. CMDY - Sharpe Ratio Comparison

The current CCRV Sharpe Ratio is 0.29, which is higher than the CMDY Sharpe Ratio of 0.19. 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
0.29
0.19
CCRV
CMDY

Dividends

CCRV vs. CMDY - Dividend Comparison

CCRV's dividend yield for the trailing twelve months is around 6.84%, more than CMDY's 4.87% yield.


TTM202320222021202020192018
CCRV
iShares Commodity Curve Carry Strategy ETF
6.84%7.26%33.27%26.22%0.00%0.00%0.00%
CMDY
iShares Bloomberg Roll Select Commodity Strategy ETF
4.87%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
-5.31%
-20.52%
CCRV
CMDY

Volatility

CCRV vs. CMDY - Volatility Comparison

iShares Commodity Curve Carry Strategy ETF (CCRV) has a higher volatility of 4.94% compared to iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY) at 3.78%. 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
4.94%
3.78%
CCRV
CMDY