CCRV vs. COM
Compare and contrast key facts about iShares Commodity Curve Carry Strategy ETF (CCRV) and Direxion Auspice Broad Commodity Strategy ETF (COM).
CCRV and COM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CCRV is a passively managed fund by iShares that tracks the performance of the CCRV-US - ICE BofA Commodity Enhanced Carry Index. It was launched on Sep 1, 2020. COM is a passively managed fund by Direxion that tracks the performance of the Auspice Broad Commodity ER Index. It was launched on Mar 30, 2017. Both CCRV and COM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CCRV or COM.
Key characteristics
| CCRV | COM | |
|---|---|---|
| YTD Return | 6.17% | 7.15% |
| 1Y Return | 4.19% | 4.87% |
| 3Y Return (Ann) | 9.90% | 3.79% |
| Sharpe Ratio | 0.29 | 0.66 |
| Sortino Ratio | 0.50 | 0.98 |
| Omega Ratio | 1.06 | 1.12 |
| Calmar Ratio | 0.34 | 0.35 |
| Martin Ratio | 0.99 | 1.57 |
| Ulcer Index | 4.20% | 3.09% |
| Daily Std Dev | 14.40% | 7.40% |
| Max Drawdown | -24.81% | -15.95% |
| Current Drawdown | -5.31% | -6.67% |
Correlation
The correlation between CCRV and COM is 0.70, 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. COM - Performance Comparison
In the year-to-date period, CCRV achieves a 6.17% return, which is significantly lower than COM's 7.15% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CCRV vs. COM - Expense Ratio Comparison
CCRV has a 0.40% expense ratio, which is lower than COM's 0.70% expense ratio.
Risk-Adjusted Performance
CCRV vs. COM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Commodity Curve Carry Strategy ETF (CCRV) and Direxion Auspice Broad Commodity Strategy ETF (COM). 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.
Dividends
CCRV vs. COM - Dividend Comparison
CCRV's dividend yield for the trailing twelve months is around 6.84%, more than COM's 3.93% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
CCRV iShares Commodity Curve Carry Strategy ETF | 6.84% | 7.26% | 33.27% | 26.22% | 0.00% | 0.00% | 0.00% | 0.00% |
COM Direxion Auspice Broad Commodity Strategy ETF | 3.93% | 3.80% | 8.59% | 10.32% | 0.13% | 1.09% | 2.36% | 0.09% |
Drawdowns
CCRV vs. COM - Drawdown Comparison
The maximum CCRV drawdown since its inception was -24.81%, which is greater than COM's maximum drawdown of -15.95%. Use the drawdown chart below to compare losses from any high point for CCRV and COM. For additional features, visit the drawdowns tool.
Volatility
CCRV vs. COM - Volatility Comparison
iShares Commodity Curve Carry Strategy ETF (CCRV) has a higher volatility of 4.94% compared to Direxion Auspice Broad Commodity Strategy ETF (COM) at 1.47%. This indicates that CCRV's price experiences larger fluctuations and is considered to be riskier than COM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.