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COMT vs. FTGC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between COMT and FTGC is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

COMT vs. FTGC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Commodities Select Strategy ETF (COMT) and First Trust Global Tactical Commodity Strategy Fund (FTGC). The values are adjusted to include any dividend payments, if applicable.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2.00%JulyAugustSeptemberOctoberNovemberDecember
-4.38%
-0.01%
COMT
FTGC

Key characteristics

Sharpe Ratio

COMT:

0.18

FTGC:

0.69

Sortino Ratio

COMT:

0.35

FTGC:

1.04

Omega Ratio

COMT:

1.04

FTGC:

1.12

Calmar Ratio

COMT:

0.10

FTGC:

0.40

Martin Ratio

COMT:

0.56

FTGC:

2.03

Ulcer Index

COMT:

4.67%

FTGC:

3.81%

Daily Std Dev

COMT:

14.28%

FTGC:

11.26%

Max Drawdown

COMT:

-51.89%

FTGC:

-59.47%

Current Drawdown

COMT:

-22.34%

FTGC:

-12.26%

Returns By Period

In the year-to-date period, COMT achieves a 3.90% return, which is significantly lower than FTGC's 8.36% return. Over the past 10 years, COMT has outperformed FTGC with an annualized return of 1.98%, while FTGC has yielded a comparatively lower 1.31% annualized return.


COMT

YTD

3.90%

1M

-0.31%

6M

-4.37%

1Y

2.27%

5Y*

5.50%

10Y*

1.98%

FTGC

YTD

8.36%

1M

0.18%

6M

-0.01%

1Y

7.26%

5Y*

9.66%

10Y*

1.31%

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COMT vs. FTGC - Expense Ratio Comparison

COMT has a 0.48% expense ratio, which is lower than FTGC's 0.95% expense ratio.


FTGC
First Trust Global Tactical Commodity Strategy Fund
Expense ratio chart for FTGC: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for COMT: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%

Risk-Adjusted Performance

COMT vs. FTGC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Commodities Select Strategy ETF (COMT) and First Trust Global Tactical Commodity Strategy Fund (FTGC). 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.


Sharpe ratio
The chart of Sharpe ratio for COMT, currently valued at 0.18, compared to the broader market0.002.004.000.180.69
The chart of Sortino ratio for COMT, currently valued at 0.35, compared to the broader market-2.000.002.004.006.008.0010.000.351.04
The chart of Omega ratio for COMT, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.12
The chart of Calmar ratio for COMT, currently valued at 0.10, compared to the broader market0.005.0010.0015.000.100.40
The chart of Martin ratio for COMT, currently valued at 0.56, compared to the broader market0.0020.0040.0060.0080.00100.000.562.03
COMT
FTGC

The current COMT Sharpe Ratio is 0.18, which is lower than the FTGC Sharpe Ratio of 0.69. The chart below compares the historical Sharpe Ratios of COMT and FTGC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.18
0.69
COMT
FTGC

Dividends

COMT vs. FTGC - Dividend Comparison

COMT's dividend yield for the trailing twelve months is around 5.00%, more than FTGC's 3.10% yield.


TTM2023202220212020201920182017201620152014
COMT
iShares Commodities Select Strategy ETF
5.00%5.19%29.79%17.79%0.36%2.61%11.65%5.16%0.52%1.44%0.56%
FTGC
First Trust Global Tactical Commodity Strategy Fund
3.10%3.34%10.35%7.21%0.00%0.81%0.80%1.21%0.00%0.00%0.00%

Drawdowns

COMT vs. FTGC - Drawdown Comparison

The maximum COMT drawdown since its inception was -51.89%, smaller than the maximum FTGC drawdown of -59.47%. Use the drawdown chart below to compare losses from any high point for COMT and FTGC. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-22.34%
-11.79%
COMT
FTGC

Volatility

COMT vs. FTGC - Volatility Comparison

iShares Commodities Select Strategy ETF (COMT) has a higher volatility of 3.26% compared to First Trust Global Tactical Commodity Strategy Fund (FTGC) at 2.66%. This indicates that COMT's price experiences larger fluctuations and is considered to be riskier than FTGC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.26%
2.66%
COMT
FTGC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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