COM vs. CCRV
Compare and contrast key facts about Direxion Auspice Broad Commodity Strategy ETF (COM) and iShares Commodity Curve Carry Strategy ETF (CCRV).
COM and CCRV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both COM and CCRV 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: COM or CCRV.
Performance
COM vs. CCRV - Performance Comparison
Returns By Period
In the year-to-date period, COM achieves a 6.15% return, which is significantly higher than CCRV's 4.02% return.
COM
6.15%
-1.41%
-3.04%
3.67%
9.55%
N/A
CCRV
4.02%
-1.01%
-5.67%
1.63%
N/A
N/A
Key characteristics
| COM | CCRV | |
|---|---|---|
| Sharpe Ratio | 0.41 | 0.05 |
| Sortino Ratio | 0.63 | 0.17 |
| Omega Ratio | 1.08 | 1.02 |
| Calmar Ratio | 0.22 | 0.06 |
| Martin Ratio | 0.96 | 0.17 |
| Ulcer Index | 3.13% | 4.31% |
| Daily Std Dev | 7.37% | 14.43% |
| Max Drawdown | -15.95% | -24.81% |
| Current Drawdown | -7.55% | -7.23% |
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COM vs. CCRV - Expense Ratio Comparison
COM has a 0.70% expense ratio, which is higher than CCRV's 0.40% expense ratio.
Correlation
The correlation between COM and CCRV 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.
Risk-Adjusted Performance
COM vs. CCRV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Auspice Broad Commodity Strategy ETF (COM) and iShares Commodity Curve Carry Strategy ETF (CCRV). 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
COM vs. CCRV - Dividend Comparison
COM's dividend yield for the trailing twelve months is around 3.97%, less than CCRV's 6.98% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
COM Direxion Auspice Broad Commodity Strategy ETF | 3.97% | 3.80% | 8.59% | 10.32% | 0.13% | 1.09% | 2.36% | 0.09% |
CCRV iShares Commodity Curve Carry Strategy ETF | 6.98% | 7.26% | 33.27% | 26.22% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
COM vs. CCRV - Drawdown Comparison
The maximum COM drawdown since its inception was -15.95%, smaller than the maximum CCRV drawdown of -24.81%. Use the drawdown chart below to compare losses from any high point for COM and CCRV. For additional features, visit the drawdowns tool.
Volatility
COM vs. CCRV - Volatility Comparison
The current volatility for Direxion Auspice Broad Commodity Strategy ETF (COM) is 1.58%, while iShares Commodity Curve Carry Strategy ETF (CCRV) has a volatility of 4.66%. This indicates that COM experiences smaller price fluctuations and is considered to be less risky than CCRV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.