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

Correlation

The correlation between COMT and PDBC is 0.90, 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.


-0.50.00.51.00.9

Performance

COMT vs. PDBC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Commodities Select Strategy ETF (COMT) and Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
3.88%
8.54%
COMT
PDBC

Key characteristics

Sharpe Ratio

COMT:

0.18

PDBC:

-0.09

Sortino Ratio

COMT:

0.35

PDBC:

-0.03

Omega Ratio

COMT:

1.04

PDBC:

1.00

Calmar Ratio

COMT:

0.10

PDBC:

-0.04

Martin Ratio

COMT:

0.56

PDBC:

-0.23

Ulcer Index

COMT:

4.67%

PDBC:

5.10%

Daily Std Dev

COMT:

14.28%

PDBC:

13.69%

Max Drawdown

COMT:

-51.89%

PDBC:

-49.52%

Current Drawdown

COMT:

-22.34%

PDBC:

-24.21%

Returns By Period

In the year-to-date period, COMT achieves a 3.90% return, which is significantly higher than PDBC's -0.23% return. Over the past 10 years, COMT has underperformed PDBC with an annualized return of 1.98%, while PDBC has yielded a comparatively higher 2.22% annualized return.


COMT

YTD

3.90%

1M

-0.31%

6M

-4.37%

1Y

2.27%

5Y*

5.50%

10Y*

1.98%

PDBC

YTD

-0.23%

1M

-1.85%

6M

-5.48%

1Y

-1.34%

5Y*

8.01%

10Y*

2.22%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


COMT vs. PDBC - Expense Ratio Comparison

COMT has a 0.48% expense ratio, which is lower than PDBC's 0.58% expense ratio.


PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
Expense ratio chart for PDBC: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
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. PDBC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Commodities Select Strategy ETF (COMT) and Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC). 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 market0.002.004.000.18-0.09
The chart of Sortino ratio for COMT, currently valued at 0.35, compared to the broader market-2.000.002.004.006.008.0010.000.35-0.03
The chart of Omega ratio for COMT, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.00
The chart of Calmar ratio for COMT, currently valued at 0.10, compared to the broader market0.005.0010.0015.000.10-0.04
The chart of Martin ratio for COMT, currently valued at 0.56, compared to the broader market0.0020.0040.0060.0080.00100.000.56-0.23
COMT
PDBC

The current COMT Sharpe Ratio is 0.18, which is higher than the PDBC Sharpe Ratio of -0.09. The chart below compares the historical Sharpe Ratios of COMT and PDBC, 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-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.18
-0.09
COMT
PDBC

Dividends

COMT vs. PDBC - Dividend Comparison

COMT's dividend yield for the trailing twelve months is around 5.00%, while PDBC has not paid dividends to shareholders.


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%
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
0.00%4.21%13.04%50.83%0.01%1.40%1.00%3.83%6.50%0.00%0.00%

Drawdowns

COMT vs. PDBC - Drawdown Comparison

The maximum COMT drawdown since its inception was -51.89%, roughly equal to the maximum PDBC drawdown of -49.52%. Use the drawdown chart below to compare losses from any high point for COMT and PDBC. For additional features, visit the drawdowns tool.


-28.00%-26.00%-24.00%-22.00%-20.00%-18.00%JulyAugustSeptemberOctoberNovemberDecember
-22.34%
-24.21%
COMT
PDBC

Volatility

COMT vs. PDBC - Volatility Comparison

iShares Commodities Select Strategy ETF (COMT) and Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) have volatilities of 3.26% and 3.35%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.26%
3.35%
COMT
PDBC
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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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