COM vs. FAAR
COM (Direxion Auspice Broad Commodity Strategy ETF) and FAAR (First Trust Alternative Absolute Return Strategy ETF) are both Commodities funds. COM is passively managed, while FAAR is actively managed. Over the past 5 years, COM returned 8.28%/yr vs 8.07%/yr for FAAR. At a 0.46 correlation, their price movements are largely independent. COM charges 0.70%/yr vs 0.95%/yr for FAAR.
Performance
COM vs. FAAR - 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 FAAR's 25.73% return.
COM
- 1D
- -0.76%
- 1M
- -2.14%
- YTD
- 14.96%
- 6M
- 14.36%
- 1Y
- 22.41%
- 3Y*
- 7.16%
- 5Y*
- 8.28%
- 10Y*
- —
FAAR
- 1D
- 0.01%
- 1M
- -0.79%
- YTD
- 25.73%
- 6M
- 23.17%
- 1Y
- 40.73%
- 3Y*
- 11.79%
- 5Y*
- 8.07%
- 10Y*
- 5.17%
COM vs. FAAR - 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% |
FAAR First Trust Alternative Absolute Return Strategy ETF | 25.73% | 8.07% | 5.97% | -5.63% | 10.15% | 12.34% | 8.60% | -1.28% | -9.17% | 3.99% |
Correlation
The correlation between COM and FAAR is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.69 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.54 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.55 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 2017 | 0.46 |
Over the past year, COM and FAAR have become more correlated (0.69) than their long-term average of 0.46, meaning their price movements have been converging.
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Return for Risk
COM vs. FAAR — Risk / Return Rank
COM
FAAR
COM vs. FAAR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Auspice Broad Commodity Strategy ETF (COM) and First Trust Alternative Absolute Return Strategy ETF (FAAR). 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 | FAAR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.87 | ||
| Sortino ratioReturn per unit of downside risk | -1.34 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.52 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 4.95 | 8.44 | -3.49 |
| Martin ratioReturn relative to average drawdown | 14.37 | 23.64 | -9.27 |
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 | FAAR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 3.04 | -0.87 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.87 | 0.62 | +0.24 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.45 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.72 | 0.45 | +0.27 |
Drawdowns
COM vs. FAAR - Drawdown Comparison
The maximum COM drawdown since its inception was -15.95%, smaller than the maximum FAAR drawdown of -18.03%. Use the drawdown chart below to compare losses from any high point for COM and FAAR.
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Drawdown Indicators
| COM | FAAR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.95% | -18.03% | +2.08% |
Max Drawdown (1Y)Largest decline over 1 year | -4.55% | -4.85% | +0.30% |
Max Drawdown (3Y)Largest decline over 3 years | -8.50% | -11.54% | +3.04% |
Max Drawdown (5Y)Largest decline over 5 years | -14.02% | -18.03% | +4.01% |
Max Drawdown (10Y)Largest decline over 10 years | — | -18.03% | — |
Current DrawdownCurrent decline from peak | -4.55% | -1.11% | -3.44% |
Average DrawdownAverage peak-to-trough decline | -6.28% | -7.85% | +1.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.56% | 1.73% | -0.17% |
Volatility
COM vs. FAAR - Volatility Comparison
Direxion Auspice Broad Commodity Strategy ETF (COM) has a higher volatility of 4.04% compared to First Trust Alternative Absolute Return Strategy ETF (FAAR) at 2.44%. This indicates that COM's price experiences larger fluctuations and is considered to be riskier than FAAR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| COM | FAAR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.04% | 2.44% | +1.60% |
Volatility (6M)Calculated over the trailing 6-month period | 8.60% | 9.72% | -1.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.41% | 13.48% | -3.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.60% | 13.02% | -3.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.77% | 11.51% | -1.74% |
COM vs. FAAR - Expense Ratio Comparison
COM has a 0.70% expense ratio, which is lower than FAAR's 0.95% expense ratio.
Dividends
COM vs. FAAR - Dividend Comparison
COM's dividend yield for the trailing twelve months is around 2.46%, less than FAAR's 9.15% yield.
| 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% |
FAAR First Trust Alternative Absolute Return Strategy ETF | 9.15% | 11.63% | 3.45% | 3.20% | 5.82% | 6.49% | 3.05% | 1.02% | 0.58% | 2.83% |
Frequently Asked Questions
COM and FAAR have a correlation of 0.69, 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 FAAR (2.44%). In terms of maximum drawdown, COM dropped -15.95% vs FAAR's -18.03%.
On 5-year performance, COM leads with 8.28% vs 8.07% for FAAR. On fees, COM is cheaper at 0.70% per year. On volatility, FAAR has been the lower-risk option at 2.44%. 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 8.07%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
COM is cheaper with a 0.70% expense ratio, compared with 0.95% for FAAR.
FAAR has the higher dividend yield at 9.15%, compared with 2.46% for COM.
They also come from different issuers: Direxion and First Trust. Their fees differ too: 0.70% for COM and 0.95% for FAAR.
FAAR currently has the higher Sharpe Ratio (3.04 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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