COMM.L vs. SGLP.L
Compare and contrast key facts about iShares Diversified Commodity Swap UCITS ETF (COMM.L) and Invesco Physical Gold A (SGLP.L).
COMM.L and SGLP.L 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. SGLP.L is a passively managed fund by Invesco that tracks the performance of the Gold. It was launched on Jun 24, 2009. Both COMM.L and SGLP.L 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 SGLP.L.
Key characteristics
| COMM.L | SGLP.L | |
|---|---|---|
| YTD Return | 1.91% | 27.55% |
| 1Y Return | -5.00% | 29.53% |
| 3Y Return (Ann) | 3.27% | 15.36% |
| 5Y Return (Ann) | 6.28% | 12.38% |
| Sharpe Ratio | -0.39 | 2.38 |
| Sortino Ratio | -0.49 | 3.25 |
| Omega Ratio | 0.95 | 1.42 |
| Calmar Ratio | -0.16 | 4.89 |
| Martin Ratio | -0.64 | 12.19 |
| Ulcer Index | 7.12% | 2.46% |
| Daily Std Dev | 11.58% | 12.57% |
| Max Drawdown | -28.49% | -38.83% |
| Current Drawdown | -23.38% | -3.30% |
Correlation
The correlation between COMM.L and SGLP.L is 0.40, 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. SGLP.L - Performance Comparison
In the year-to-date period, COMM.L achieves a 1.91% return, which is significantly lower than SGLP.L's 27.55% 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. SGLP.L - Expense Ratio Comparison
COMM.L has a 0.19% expense ratio, which is higher than SGLP.L's 0.12% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
COMM.L vs. SGLP.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Diversified Commodity Swap UCITS ETF (COMM.L) and Invesco Physical Gold A (SGLP.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.
Dividends
COMM.L vs. SGLP.L - Dividend Comparison
Neither COMM.L nor SGLP.L has paid dividends to shareholders.
Drawdowns
COMM.L vs. SGLP.L - Drawdown Comparison
The maximum COMM.L drawdown since its inception was -28.49%, smaller than the maximum SGLP.L drawdown of -38.83%. Use the drawdown chart below to compare losses from any high point for COMM.L and SGLP.L. For additional features, visit the drawdowns tool.
Volatility
COMM.L vs. SGLP.L - Volatility Comparison
The current volatility for iShares Diversified Commodity Swap UCITS ETF (COMM.L) is 3.92%, while Invesco Physical Gold A (SGLP.L) has a volatility of 4.23%. This indicates that COMM.L experiences smaller price fluctuations and is considered to be less risky than SGLP.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.