CMBS vs. FTGC
CMBS (iShares CMBS ETF) and FTGC (First Trust Global Tactical Commodity Strategy Fund) are both exchange-traded funds - CMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. CMBS (ERISA Only) Index, while FTGC is a Commodities fund actively managed by First Trust. CMBS is passively managed, while FTGC is actively managed. Over the past 10 years, CMBS returned 2.09%/yr vs 7.63%/yr for FTGC. At a correlation of -0.04, they often move in opposite directions. CMBS charges 0.25%/yr vs 0.95%/yr for FTGC.
Performance
CMBS vs. FTGC - Performance Comparison
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Returns By Period
In the year-to-date period, CMBS achieves a 0.49% return, which is significantly lower than FTGC's 26.15% return. Over the past 10 years, CMBS has underperformed FTGC with an annualized return of 2.09%, while FTGC has yielded a comparatively higher 7.63% annualized return.
CMBS
- 1D
- 0.35%
- 1M
- 0.28%
- YTD
- 0.49%
- 6M
- 0.61%
- 1Y
- 4.29%
- 3Y*
- 5.31%
- 5Y*
- 0.86%
- 10Y*
- 2.09%
FTGC
- 1D
- -0.79%
- 1M
- -3.25%
- YTD
- 26.15%
- 6M
- 24.84%
- 1Y
- 40.32%
- 3Y*
- 17.80%
- 5Y*
- 12.90%
- 10Y*
- 7.63%
CMBS vs. FTGC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 0.49% | 7.67% | 4.27% | 5.06% | -11.21% | -1.82% | 7.86% | 7.94% | 0.77% | 2.95% |
FTGC First Trust Global Tactical Commodity Strategy Fund | 26.15% | 14.61% | 9.96% | -5.36% | 17.36% | 27.95% | 2.17% | 6.40% | -12.75% | 2.73% |
Correlation
The correlation between CMBS and FTGC is -0.26, 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 | -0.26 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.09 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.04 |
Correlation (All Time) Calculated using the full available price history since Oct 24, 2013 | -0.04 |
Over the past year, the inverse relationship between CMBS and FTGC has strengthened: their correlation has moved from -0.04 to -0.26, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
CMBS vs. FTGC — Risk / Return Rank
CMBS
FTGC
CMBS vs. FTGC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares CMBS ETF (CMBS) and First Trust Global Tactical Commodity Strategy Fund (FTGC). 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 | FTGC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.43 | ||
| Sortino ratioReturn per unit of downside risk | -1.58 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 1.45 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | 1.77 | 5.12 | -3.35 |
| Martin ratioReturn relative to average drawdown | 4.90 | 16.79 | -11.89 |
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 | FTGC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.16 | 2.59 | -1.43 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.16 | 0.81 | -0.65 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | 0.52 | -0.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.23 | +0.21 |
Drawdowns
CMBS vs. FTGC - Drawdown Comparison
The maximum CMBS drawdown since its inception was -15.87%, smaller than the maximum FTGC drawdown of -59.47%. Use the drawdown chart below to compare losses from any high point for CMBS and FTGC.
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Drawdown Indicators
| CMBS | FTGC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.87% | -59.47% | +43.60% |
Max Drawdown (1Y)Largest decline over 1 year | -2.44% | -7.91% | +5.47% |
Max Drawdown (3Y)Largest decline over 3 years | -3.29% | -10.39% | +7.10% |
Max Drawdown (5Y)Largest decline over 5 years | -15.87% | -22.64% | +6.77% |
Max Drawdown (10Y)Largest decline over 10 years | -15.87% | -35.91% | +20.04% |
Current DrawdownCurrent decline from peak | -1.42% | -5.40% | +3.98% |
Average DrawdownAverage peak-to-trough decline | -2.95% | -27.42% | +24.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.88% | 2.41% | -1.53% |
Volatility
CMBS vs. FTGC - Volatility Comparison
The current volatility for iShares CMBS ETF (CMBS) is 1.17%, while First Trust Global Tactical Commodity Strategy Fund (FTGC) has a volatility of 4.55%. This indicates that CMBS experiences smaller price fluctuations and is considered to be less risky than FTGC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMBS | FTGC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.17% | 4.55% | -3.38% |
Volatility (6M)Calculated over the trailing 6-month period | 2.84% | 13.17% | -10.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.72% | 15.62% | -11.90% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.31% | 15.98% | -10.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.77% | 14.71% | -8.94% |
CMBS vs. FTGC - Expense Ratio Comparison
CMBS has a 0.25% expense ratio, which is lower than FTGC's 0.95% expense ratio.
Dividends
CMBS vs. FTGC - Dividend Comparison
CMBS's dividend yield for the trailing twelve months is around 3.57%, less than FTGC's 15.20% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 3.57% | 3.45% | 3.31% | 2.97% | 2.65% | 2.46% | 2.83% | 2.74% | 2.70% | 2.50% | 2.29% | 2.31% |
FTGC First Trust Global Tactical Commodity Strategy Fund | 15.20% | 17.74% | 3.05% | 3.34% | 10.35% | 7.21% | 0.00% | 0.81% | 0.80% | 1.21% | 0.00% | 0.00% |
Frequently Asked Questions
CMBS and FTGC have a correlation of -0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FTGC has higher volatility (4.55%) compared to CMBS (1.17%). In terms of maximum drawdown, CMBS dropped -15.87% vs FTGC's -59.47%.
On 10-year performance, FTGC leads with 7.63% vs 2.09% for CMBS. On fees, CMBS is cheaper at 0.25% per year. On volatility, CMBS has been the lower-risk option at 1.17%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FTGC has performed better with a 7.63% return vs 2.09%. 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 0.95% for FTGC.
FTGC has the higher dividend yield at 15.20%, compared with 3.57% for CMBS.
CMBS is categorized as Mortgage Backed Securities, while FTGC is Commodities. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.25% for CMBS and 0.95% for FTGC.
FTGC currently has the higher Sharpe Ratio (2.59 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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