COM vs. DJP
COM (Direxion Auspice Broad Commodity Strategy ETF) and DJP (iPath Bloomberg Commodity Index Total Return ETN) are both Commodities funds - COM tracks the Auspice Broad Commodity ER Index while DJP tracks the Bloomberg Commodity Index. Both are passively managed. Over the past 5 years, COM returned 8.28%/yr vs 12.46%/yr for DJP. A 0.67 correlation means they provide meaningful diversification when combined. Both charge a 0.70% expense ratio.
Performance
COM vs. DJP - Performance Comparison
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Returns By Period
In the year-to-date period, COM achieves a 14.96% return, which is significantly lower than DJP's 30.63% return.
COM
- 1D
- -0.76%
- 1M
- -2.14%
- YTD
- 14.96%
- 6M
- 14.36%
- 1Y
- 22.41%
- 3Y*
- 7.16%
- 5Y*
- 8.28%
- 10Y*
- —
DJP
- 1D
- 0.02%
- 1M
- -3.31%
- YTD
- 30.63%
- 6M
- 29.34%
- 1Y
- 44.52%
- 3Y*
- 17.94%
- 5Y*
- 12.46%
- 10Y*
- 7.36%
COM vs. DJP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
DJP iPath Bloomberg Commodity Index Total Return ETN | 30.63% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 7.63% | -13.07% | 3.92% |
Correlation
The correlation between COM and DJP is 0.82, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.74 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 2017 | 0.67 |
The correlation between COM and DJP shifts across timeframes, from 0.67 (all time) to 0.82 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
COM vs. DJP — Risk / Return Rank
COM
DJP
COM vs. DJP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Auspice Broad Commodity Strategy ETF (COM) and iPath Bloomberg Commodity Index Total Return ETN (DJP). 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.
| COM | DJP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.20 | ||
| Sortino ratioReturn per unit of downside risk | -0.06 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.42 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 4.95 | 5.20 | -0.25 |
| Martin ratioReturn relative to average drawdown | 14.37 | 13.30 | +1.07 |
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
| COM | DJP | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 2.36 | -0.20 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.87 | 0.66 | +0.21 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.43 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.72 | 0.00 | +0.72 |
Drawdowns
COM vs. DJP - Drawdown Comparison
The maximum COM drawdown since its inception was -15.95%, smaller than the maximum DJP drawdown of -78.35%. Use the drawdown chart below to compare losses from any high point for COM and DJP.
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Drawdown Indicators
| COM | DJP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.95% | -78.35% | +62.40% |
Max Drawdown (1Y)Largest decline over 1 year | -4.55% | -8.61% | +4.06% |
Max Drawdown (3Y)Largest decline over 3 years | -8.50% | -13.41% | +4.91% |
Max Drawdown (5Y)Largest decline over 5 years | -14.02% | -28.98% | +14.96% |
Max Drawdown (10Y)Largest decline over 10 years | — | -38.36% | — |
Current DrawdownCurrent decline from peak | -4.55% | -32.82% | +28.27% |
Average DrawdownAverage peak-to-trough decline | -6.28% | -50.86% | +44.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.56% | 3.36% | -1.80% |
Volatility
COM vs. DJP - Volatility Comparison
The current volatility for Direxion Auspice Broad Commodity Strategy ETF (COM) is 4.04%, while iPath Bloomberg Commodity Index Total Return ETN (DJP) has a volatility of 5.85%. This indicates that COM experiences smaller price fluctuations and is considered to be less risky than DJP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| COM | DJP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.04% | 5.85% | -1.81% |
Volatility (6M)Calculated over the trailing 6-month period | 8.60% | 16.64% | -8.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.41% | 18.92% | -8.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.60% | 18.96% | -9.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.77% | 17.06% | -7.29% |
COM vs. DJP - Expense Ratio Comparison
Both COM and DJP have an expense ratio of 0.70%.
Dividends
COM vs. DJP - Dividend Comparison
COM's dividend yield for the trailing twelve months is around 2.46%, while DJP has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
DJP iPath Bloomberg Commodity Index Total Return ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
COM and DJP have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DJP has higher volatility (5.85%) compared to COM (4.04%). In terms of maximum drawdown, COM dropped -15.95% vs DJP's -78.35%.
On 5-year performance, DJP leads with 12.46% vs 8.28% for COM. Both ETFs have the same 0.70% expense ratio. On volatility, COM has been the lower-risk option at 4.04%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DJP has performed better with a 12.46% return vs 8.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
COM and DJP have the same expense ratio: 0.70% per year.
COM has the higher dividend yield at 2.46%, compared with 0.00% for DJP.
COM tracks Auspice Broad Commodity ER Index, while DJP tracks Bloomberg Commodity Index. They also come from different issuers: Direxion and Barclays Capital.
DJP currently has the higher Sharpe Ratio (2.36 vs 2.16), 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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