COMM.L vs. IWFQ.L
COMM.L (iShares Diversified Commodity Swap UCITS ETF) and IWFQ.L (iShares MSCI World Quality Factor UCITS) are both exchange-traded funds - COMM.L is a Commodities fund tracking the Bloomberg Commodity, while IWFQ.L is a Global Equities fund tracking the MSCI ACWI NR USD. Both are passively managed. Over the past 5 years, COMM.L returned 10.66%/yr vs 10.66%/yr for IWFQ.L. At a 0.25 correlation, their price movements are largely independent. COMM.L charges 0.19%/yr vs 0.30%/yr for IWFQ.L.
Performance
COMM.L vs. IWFQ.L - Performance Comparison
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Returns By Period
In the year-to-date period, COMM.L achieves a 19.66% return, which is significantly higher than IWFQ.L's 10.34% return.
COMM.L
- 1D
- -0.94%
- 1M
- 1.10%
- 6M
- 14.90%
- YTD
- 19.66%
- 1Y
- 29.14%
- 3Y*
- 11.41%
- 5Y*
- 10.66%
- 10Y*
- —
IWFQ.L
- 1D
- -0.35%
- 1M
- 0.31%
- 6M
- 8.68%
- YTD
- 10.34%
- 1Y
- 20.01%
- 3Y*
- 15.88%
- 5Y*
- 10.66%
- 10Y*
- 12.21%
COMM.L vs. IWFQ.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
COMM.L iShares Diversified Commodity Swap UCITS ETF | 19.66% | 8.53% | 6.19% | -12.55% | 28.34% | 29.04% | -7.09% | 3.39% | -5.05% | -21.66% |
IWFQ.L iShares MSCI World Quality Factor UCITS | 10.34% | 7.40% | 18.93% | 19.15% | -9.55% | 25.17% | 10.93% | 25.86% | -2.34% | 6.11% |
Correlation
The correlation between COMM.L and IWFQ.L is -0.15, 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 | -0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2017 | 0.25 |
The correlation between COMM.L and IWFQ.L shifts across timeframes, from -0.15 (1 year) to 0.25 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
COMM.L vs. IWFQ.L — Risk / Return Rank
COMM.L
IWFQ.L
COMM.L vs. IWFQ.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Diversified Commodity Swap UCITS ETF (COMM.L) and iShares MSCI World Quality Factor UCITS (IWFQ.L). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| COMM.L | IWFQ.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.44 | ||
| Sortino ratioReturn per unit of downside risk | -0.85 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.37 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.19 | 2.84 | -0.65 |
| Martin ratioReturn relative to average drawdown | 6.80 | 12.06 | -5.25 |
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Drawdowns
COMM.L vs. IWFQ.L - Drawdown Comparison
The maximum COMM.L drawdown since its inception was -40.38%, roughly equal to the maximum IWFQ.L drawdown of -40.49%. Use the drawdown chart below to compare losses from any high point for COMM.L and IWFQ.L.
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Drawdown Indicators
| COMM.L | IWFQ.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.38% | -40.49% | +0.11% |
Max Drawdown (1Y)Largest decline over 1 year | -13.24% | -7.01% | -6.23% |
Max Drawdown (3Y)Largest decline over 3 years | -26.75% | -20.20% | -6.55% |
Max Drawdown (5Y)Largest decline over 5 years | -28.49% | -20.20% | -8.29% |
Max Drawdown (10Y)Largest decline over 10 years | — | -23.91% | — |
Current DrawdownCurrent decline from peak | -8.96% | -0.89% | -8.07% |
Average DrawdownAverage peak-to-trough decline | -19.50% | -8.92% | -10.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.27% | 1.66% | +2.61% |
Volatility
COMM.L vs. IWFQ.L - Volatility Comparison
iShares Diversified Commodity Swap UCITS ETF (COMM.L) has a higher volatility of 4.62% compared to iShares MSCI World Quality Factor UCITS (IWFQ.L) at 2.57%. This indicates that COMM.L's price experiences larger fluctuations and is considered to be riskier than IWFQ.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| COMM.L | IWFQ.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.62% | 2.57% | +2.05% |
Volatility (6M)Calculated over the trailing 6-month period | 16.60% | 7.40% | +9.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.51% | 9.91% | +8.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.24% | 19.21% | +2.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.67% | 17.26% | +2.41% |
COMM.L vs. IWFQ.L - Expense Ratio Comparison
COMM.L has a 0.19% expense ratio, which is lower than IWFQ.L's 0.30% expense ratio.
Dividends
COMM.L vs. IWFQ.L - Dividend Comparison
Neither COMM.L nor IWFQ.L has paid dividends to shareholders.
Frequently Asked Questions
COMM.L and IWFQ.L have a correlation of -0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, COMM.L is cheaper at 0.19% per year. The better choice depends on whether you care most about return, fees, risk, or income.
COMM.L is cheaper with a 0.19% expense ratio, compared with 0.30% for IWFQ.L.
COMM.L is categorized as Commodities, while IWFQ.L is Global Equities. COMM.L tracks Bloomberg Commodity, while IWFQ.L tracks MSCI ACWI NR USD. Their fees differ too: 0.19% for COMM.L and 0.30% for IWFQ.L.
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