COMM.L vs. COM
Compare and contrast key facts about iShares Diversified Commodity Swap UCITS ETF (COMM.L) and Direxion Auspice Broad Commodity Strategy ETF (COM).
COMM.L and COM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. COMM.L is a passively managed fund by iShares that tracks the performance of the Bloomberg Commodity. It was launched on Jul 18, 2017. 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. Both COMM.L and COM 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: COMM.L or COM.
Key characteristics
| COMM.L | COM | |
|---|---|---|
| YTD Return | 1.67% | 7.15% |
| 1Y Return | -4.36% | 4.87% |
| 3Y Return (Ann) | 3.73% | 3.79% |
| 5Y Return (Ann) | 6.22% | 9.84% |
| Sharpe Ratio | -0.37 | 0.66 |
| Sortino Ratio | -0.46 | 0.98 |
| Omega Ratio | 0.95 | 1.12 |
| Calmar Ratio | -0.15 | 0.35 |
| Martin Ratio | -0.61 | 1.57 |
| Ulcer Index | 7.15% | 3.09% |
| Daily Std Dev | 11.56% | 7.40% |
| Max Drawdown | -28.49% | -15.95% |
| Current Drawdown | -23.56% | -6.67% |
Correlation
The correlation between COMM.L and COM is 0.53, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
COMM.L vs. COM - Performance Comparison
In the year-to-date period, COMM.L achieves a 1.67% return, which is significantly lower than COM's 7.15% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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COMM.L vs. COM - Expense Ratio Comparison
COMM.L has a 0.19% expense ratio, which is lower than COM's 0.70% expense ratio.
Risk-Adjusted Performance
COMM.L vs. COM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Diversified Commodity Swap UCITS ETF (COMM.L) 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.
Dividends
COMM.L vs. COM - Dividend Comparison
COMM.L has not paid dividends to shareholders, while COM's dividend yield for the trailing twelve months is around 3.93%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
COMM.L iShares Diversified Commodity Swap UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
COM Direxion Auspice Broad Commodity Strategy ETF | 3.93% | 3.80% | 8.59% | 10.32% | 0.13% | 1.09% | 2.36% | 0.09% |
Drawdowns
COMM.L vs. COM - Drawdown Comparison
The maximum COMM.L drawdown since its inception was -28.49%, which is greater than COM's maximum drawdown of -15.95%. Use the drawdown chart below to compare losses from any high point for COMM.L and COM. For additional features, visit the drawdowns tool.
Volatility
COMM.L vs. COM - Volatility Comparison
iShares Diversified Commodity Swap UCITS ETF (COMM.L) has a higher volatility of 3.94% compared to Direxion Auspice Broad Commodity Strategy ETF (COM) at 1.47%. This indicates that COMM.L's price experiences larger fluctuations and is considered to be riskier than COM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.