CMBS vs. COM
CMBS (iShares CMBS ETF) and COM (Direxion Auspice Broad Commodity Strategy ETF) are both exchange-traded funds - CMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. CMBS (ERISA Only) Index, while COM is a Commodities fund tracking the Auspice Broad Commodity ER Index. Both are passively managed. Over the past 5 years, CMBS returned 0.79%/yr vs 8.28%/yr for COM. At a 0.00 correlation, their price movements are largely independent. CMBS charges 0.25%/yr vs 0.70%/yr for COM.
Performance
CMBS vs. COM - Performance Comparison
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Returns By Period
In the year-to-date period, CMBS achieves a 0.14% return, which is significantly lower than COM's 14.96% return.
CMBS
- 1D
- -0.04%
- 1M
- -0.05%
- YTD
- 0.14%
- 6M
- 0.28%
- 1Y
- 4.26%
- 3Y*
- 5.15%
- 5Y*
- 0.79%
- 10Y*
- 2.06%
COM
- 1D
- -0.76%
- 1M
- -2.14%
- YTD
- 14.96%
- 6M
- 14.36%
- 1Y
- 22.41%
- 3Y*
- 7.16%
- 5Y*
- 8.28%
- 10Y*
- —
CMBS vs. COM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 0.14% | 7.67% | 4.27% | 5.06% | -11.21% | -1.82% | 7.86% | 7.94% | 0.77% | 2.29% |
COM Direxion Auspice Broad Commodity Strategy ETF | 14.96% | 7.72% | 5.81% | -2.09% | 9.17% | 28.00% | 6.63% | -0.18% | -0.03% | -2.05% |
Correlation
The correlation between CMBS and COM is -0.25, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.25 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.00 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 2017 | 0.00 |
The correlation between CMBS and COM shifts across timeframes, from -0.25 (1 year) to 0.00 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CMBS vs. COM — Risk / Return Rank
CMBS
COM
CMBS vs. COM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares CMBS ETF (CMBS) 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.
| CMBS | COM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.01 | ||
| Sortino ratioReturn per unit of downside risk | -1.12 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 1.41 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | 1.76 | 4.95 | -3.20 |
| Martin ratioReturn relative to average drawdown | 4.90 | 14.37 | -9.47 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CMBS | COM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.16 | 2.16 | -1.01 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.15 | 0.87 | -0.72 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.43 | 0.72 | -0.29 |
Drawdowns
CMBS vs. COM - Drawdown Comparison
The maximum CMBS drawdown since its inception was -15.87%, roughly equal to the maximum COM drawdown of -15.95%. Use the drawdown chart below to compare losses from any high point for CMBS and COM.
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Drawdown Indicators
| CMBS | COM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.87% | -15.95% | +0.08% |
Max Drawdown (1Y)Largest decline over 1 year | -2.44% | -4.55% | +2.11% |
Max Drawdown (3Y)Largest decline over 3 years | -3.29% | -8.50% | +5.21% |
Max Drawdown (5Y)Largest decline over 5 years | -15.87% | -14.02% | -1.85% |
Max Drawdown (10Y)Largest decline over 10 years | -15.87% | — | — |
Current DrawdownCurrent decline from peak | -1.77% | -4.55% | +2.78% |
Average DrawdownAverage peak-to-trough decline | -2.95% | -6.28% | +3.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.87% | 1.56% | -0.69% |
Volatility
CMBS vs. COM - Volatility Comparison
The current volatility for iShares CMBS ETF (CMBS) is 1.11%, while Direxion Auspice Broad Commodity Strategy ETF (COM) has a volatility of 4.04%. This indicates that CMBS experiences smaller price fluctuations and is considered to be less risky than COM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMBS | COM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.11% | 4.04% | -2.93% |
Volatility (6M)Calculated over the trailing 6-month period | 2.82% | 8.60% | -5.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.71% | 10.41% | -6.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.31% | 9.60% | -4.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.77% | 9.77% | -4.00% |
CMBS vs. COM - Expense Ratio Comparison
CMBS has a 0.25% expense ratio, which is lower than COM's 0.70% expense ratio.
Dividends
CMBS vs. COM - Dividend Comparison
CMBS's dividend yield for the trailing twelve months is around 3.58%, more than COM's 2.46% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 3.58% | 3.45% | 3.31% | 2.97% | 2.65% | 2.46% | 2.83% | 2.74% | 2.70% | 2.50% | 2.29% | 2.31% |
COM Direxion Auspice Broad Commodity Strategy ETF | 2.46% | 2.99% | 3.88% | 3.80% | 8.59% | 10.32% | 0.13% | 1.09% | 2.36% | 0.09% | 0.00% | 0.00% |
Frequently Asked Questions
CMBS and COM have a correlation of -0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COM has higher volatility (4.04%) compared to CMBS (1.11%). In terms of maximum drawdown, CMBS dropped -15.87% vs COM's -15.95%.
On 5-year performance, COM leads with 8.28% vs 0.79% for CMBS. On fees, CMBS is cheaper at 0.25% per year. On volatility, CMBS has been the lower-risk option at 1.11%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, COM has performed better with a 8.28% return vs 0.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CMBS is cheaper with a 0.25% expense ratio, compared with 0.70% for COM.
CMBS has the higher dividend yield at 3.58%, compared with 2.46% for COM.
CMBS is categorized as Mortgage Backed Securities, while COM is Commodities. CMBS tracks Barclays Capital U.S. CMBS (ERISA Only) Index, while COM tracks Auspice Broad Commodity ER Index. They also come from different issuers: iShares and Direxion. Their fees differ too: 0.25% for CMBS and 0.70% for COM.
COM currently has the higher Sharpe Ratio (2.16 vs 1.16), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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