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

Key characteristics


CCRVVGT
YTD Return7.14%23.46%
1Y Return2.15%39.25%
3Y Return (Ann)10.94%10.76%
Sharpe Ratio0.211.91
Sortino Ratio0.392.46
Omega Ratio1.041.34
Calmar Ratio0.252.62
Martin Ratio0.709.44
Ulcer Index4.29%4.22%
Daily Std Dev14.42%20.84%
Max Drawdown-24.81%-54.63%
Current Drawdown-4.45%-2.61%

Correlation

-0.50.00.51.00.1

The correlation between CCRV and VGT is 0.13, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CCRV vs. VGT - Performance Comparison

In the year-to-date period, CCRV achieves a 7.14% return, which is significantly lower than VGT's 23.46% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-1.81%
15.82%
CCRV
VGT

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CCRV vs. VGT - Expense Ratio Comparison

CCRV has a 0.40% expense ratio, which is higher than VGT's 0.10% 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 VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

CCRV vs. VGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Commodity Curve Carry Strategy ETF (CCRV) and Vanguard Information Technology ETF (VGT). 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 0.21, compared to the broader market0.002.004.006.000.21
Sortino ratio
The chart of Sortino ratio for CCRV, currently valued at 0.39, compared to the broader market-2.000.002.004.006.008.0010.0012.000.39
Omega ratio
The chart of Omega ratio for CCRV, currently valued at 1.04, compared to the broader market1.001.502.002.503.001.04
Calmar ratio
The chart of Calmar ratio for CCRV, currently valued at 0.25, compared to the broader market0.005.0010.0015.0020.000.25
Martin ratio
The chart of Martin ratio for CCRV, currently valued at 0.70, compared to the broader market0.0020.0040.0060.0080.00100.000.70
VGT
Sharpe ratio
The chart of Sharpe ratio for VGT, currently valued at 1.91, compared to the broader market0.002.004.006.001.91
Sortino ratio
The chart of Sortino ratio for VGT, currently valued at 2.46, compared to the broader market-2.000.002.004.006.008.0010.0012.002.46
Omega ratio
The chart of Omega ratio for VGT, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for VGT, currently valued at 2.62, compared to the broader market0.005.0010.0015.0020.002.62
Martin ratio
The chart of Martin ratio for VGT, currently valued at 9.44, compared to the broader market0.0020.0040.0060.0080.00100.009.44

CCRV vs. VGT - Sharpe Ratio Comparison

The current CCRV Sharpe Ratio is 0.21, which is lower than the VGT Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of CCRV and VGT, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.21
1.91
CCRV
VGT

Dividends

CCRV vs. VGT - Dividend Comparison

CCRV's dividend yield for the trailing twelve months is around 6.77%, more than VGT's 0.63% yield.


TTM20232022202120202019201820172016201520142013
CCRV
iShares Commodity Curve Carry Strategy ETF
6.77%7.26%33.27%26.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VGT
Vanguard Information Technology ETF
0.63%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%

Drawdowns

CCRV vs. VGT - Drawdown Comparison

The maximum CCRV drawdown since its inception was -24.81%, smaller than the maximum VGT drawdown of -54.63%. Use the drawdown chart below to compare losses from any high point for CCRV and VGT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.45%
-2.61%
CCRV
VGT

Volatility

CCRV vs. VGT - Volatility Comparison

The current volatility for iShares Commodity Curve Carry Strategy ETF (CCRV) is 5.02%, while Vanguard Information Technology ETF (VGT) has a volatility of 5.60%. This indicates that CCRV experiences smaller price fluctuations and is considered to be less risky than VGT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.02%
5.60%
CCRV
VGT