COMT vs. DJP
COMT (iShares Commodities Select Strategy ETF) and DJP (iPath Bloomberg Commodity Index Total Return ETN) are both Commodities funds. COMT is actively managed, while DJP is passively managed. Over the past 10 years, COMT returned 9.09%/yr vs 7.36%/yr for DJP. Their correlation of 0.83 suggests significant overlap in exposure. COMT charges 0.48%/yr vs 0.70%/yr for DJP.
Performance
COMT vs. DJP - Performance Comparison
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Returns By Period
In the year-to-date period, COMT achieves a 39.67% return, which is significantly higher than DJP's 30.63% return. Over the past 10 years, COMT has outperformed DJP with an annualized return of 9.09%, while DJP has yielded a comparatively lower 7.36% annualized return.
COMT
- 1D
- 0.78%
- 1M
- -4.35%
- YTD
- 39.67%
- 6M
- 39.06%
- 1Y
- 47.51%
- 3Y*
- 16.86%
- 5Y*
- 13.50%
- 10Y*
- 9.09%
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%
COMT vs. DJP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
COMT iShares Commodities Select Strategy ETF | 39.67% | 6.07% | 5.96% | -6.56% | 19.45% | 36.88% | -18.66% | 10.81% | -6.67% | 11.70% |
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% | 0.74% |
Correlation
The correlation between COMT and DJP is 0.86, 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 | 0.86 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.83 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.83 |
Correlation (All Time) Calculated using the full available price history since Oct 17, 2014 | 0.83 |
The correlation between COMT and DJP has been stable across timeframes, ranging from 0.83 to 0.86 - a consistent structural relationship.
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Return for Risk
COMT vs. DJP — Risk / Return Rank
COMT
DJP
COMT vs. DJP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Commodities Select Strategy ETF (COMT) 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.
| COMT | DJP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.06 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.42 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 5.95 | 5.20 | +0.75 |
| Martin ratioReturn relative to average drawdown | 14.11 | 13.30 | +0.81 |
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
| COMT | DJP | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.24 | 2.36 | -0.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.64 | 0.66 | -0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.48 | 0.43 | +0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.20 | 0.00 | +0.20 |
Drawdowns
COMT vs. DJP - Drawdown Comparison
The maximum COMT drawdown since its inception was -51.89%, smaller than the maximum DJP drawdown of -78.35%. Use the drawdown chart below to compare losses from any high point for COMT and DJP.
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Drawdown Indicators
| COMT | DJP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.89% | -78.35% | +26.46% |
Max Drawdown (1Y)Largest decline over 1 year | -8.02% | -8.61% | +0.59% |
Max Drawdown (3Y)Largest decline over 3 years | -13.31% | -13.41% | +0.10% |
Max Drawdown (5Y)Largest decline over 5 years | -29.00% | -28.98% | -0.02% |
Max Drawdown (10Y)Largest decline over 10 years | -39.22% | -38.36% | -0.86% |
Current DrawdownCurrent decline from peak | -4.82% | -32.82% | +28.00% |
Average DrawdownAverage peak-to-trough decline | -24.07% | -50.86% | +26.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.38% | 3.36% | +0.02% |
Volatility
COMT vs. DJP - Volatility Comparison
iShares Commodities Select Strategy ETF (COMT) has a higher volatility of 7.37% compared to iPath Bloomberg Commodity Index Total Return ETN (DJP) at 5.85%. This indicates that COMT's price experiences larger fluctuations and is considered to be riskier 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
| COMT | DJP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.37% | 5.85% | +1.52% |
Volatility (6M)Calculated over the trailing 6-month period | 18.80% | 16.64% | +2.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.29% | 18.92% | +2.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.06% | 18.96% | +2.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.89% | 17.06% | +1.83% |
COMT vs. DJP - Expense Ratio Comparison
COMT has a 0.48% expense ratio, which is lower than DJP's 0.70% expense ratio.
Dividends
COMT vs. DJP - Dividend Comparison
COMT's dividend yield for the trailing twelve months is around 5.54%, while DJP has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMT iShares Commodities Select Strategy ETF | 5.54% | 7.74% | 4.90% | 5.19% | 29.79% | 17.79% | 0.36% | 2.61% | 11.65% | 5.16% | 0.52% | 1.44% |
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% | 0.00% | 0.00% |
Frequently Asked Questions
COMT and DJP have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COMT has higher volatility (7.37%) compared to DJP (5.85%). In terms of maximum drawdown, COMT dropped -51.89% vs DJP's -78.35%.
On 10-year performance, COMT leads with 9.09% vs 7.36% for DJP. On fees, COMT is cheaper at 0.48% per year. On volatility, DJP has been the lower-risk option at 5.85%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, COMT has performed better with a 9.09% return vs 7.36%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
COMT is cheaper with a 0.48% expense ratio, compared with 0.70% for DJP.
COMT has the higher dividend yield at 5.54%, compared with 0.00% for DJP.
They also come from different issuers: iShares and Barclays Capital. Their fees differ too: 0.48% for COMT and 0.70% for DJP.
DJP currently has the higher Sharpe Ratio (2.36 vs 2.24), 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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