COMT vs. VCMDX
COMT (iShares GSCI Commodity Dynamic Roll Strategy ETF) and VCMDX (Vanguard Commodity Strategy Fund Admiral Shares) are both Commodities funds. Over the past 5 years, COMT returned 11.04%/yr vs 11.14%/yr for VCMDX. A 0.79 correlation means they provide meaningful diversification when combined. COMT charges 0.48%/yr vs 0.20%/yr for VCMDX.
Performance
COMT vs. VCMDX - Performance Comparison
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Returns By Period
In the year-to-date period, COMT achieves a 25.05% return, which is significantly higher than VCMDX's 14.30% return.
COMT
- 1D
- -0.76%
- 1M
- -11.08%
- YTD
- 25.05%
- 6M
- 25.05%
- 1Y
- 21.95%
- 3Y*
- 12.36%
- 5Y*
- 11.04%
- 10Y*
- 8.06%
VCMDX
- 1D
- -1.06%
- 1M
- -6.95%
- YTD
- 14.30%
- 6M
- 14.43%
- 1Y
- 20.85%
- 3Y*
- 11.35%
- 5Y*
- 11.14%
- 10Y*
- —
COMT vs. VCMDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 25.05% | 6.07% | 5.96% | -6.56% | 19.45% | 36.88% | -18.66% | 3.55% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 14.30% | 18.20% | 5.27% | -7.45% | 13.83% | 34.82% | 5.07% | 2.74% |
Correlation
The correlation between COMT and VCMDX is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.75 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.79 |
Correlation (All Time) Calculated using the full available price history since Jun 26, 2019 | 0.79 |
The correlation between COMT and VCMDX has been stable across timeframes, ranging from 0.74 to 0.79 - a consistent structural relationship.
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Return for Risk
COMT vs. VCMDX — Risk / Return Rank
COMT
VCMDX
COMT vs. VCMDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT) and Vanguard Commodity Strategy Fund Admiral Shares (VCMDX). 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.
| COMT | VCMDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.33 | ||
| Sortino ratioReturn per unit of downside risk | -0.34 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.24 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.49 | 2.01 | -0.52 |
| Martin ratioReturn relative to average drawdown | 6.26 | 7.26 | -1.00 |
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Drawdowns
COMT vs. VCMDX - Drawdown Comparison
The maximum COMT drawdown since its inception was -51.89%, which is greater than VCMDX's maximum drawdown of -26.67%. Use the drawdown chart below to compare losses from any high point for COMT and VCMDX.
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Drawdown Indicators
| COMT | VCMDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.89% | -26.67% | -25.22% |
Max Drawdown (1Y)Largest decline over 1 year | -14.78% | -10.15% | -4.63% |
Max Drawdown (3Y)Largest decline over 3 years | -14.78% | -10.15% | -4.63% |
Max Drawdown (5Y)Largest decline over 5 years | -29.00% | -25.45% | -3.55% |
Max Drawdown (10Y)Largest decline over 10 years | -39.22% | — | — |
Current DrawdownCurrent decline from peak | -14.78% | -10.15% | -4.63% |
Average DrawdownAverage peak-to-trough decline | -24.01% | -10.83% | -13.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.16% | 2.90% | +1.26% |
Volatility
COMT vs. VCMDX - Volatility Comparison
iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT) has a higher volatility of 5.01% compared to Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) at 3.69%. This indicates that COMT's price experiences larger fluctuations and is considered to be riskier than VCMDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| COMT | VCMDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.01% | 3.69% | +1.32% |
Volatility (6M)Calculated over the trailing 6-month period | 19.22% | 12.85% | +6.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.47% | 15.02% | +6.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.12% | 15.83% | +5.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.89% | 15.38% | +3.51% |
COMT vs. VCMDX - Expense Ratio Comparison
COMT has a 0.48% expense ratio, which is higher than VCMDX's 0.20% expense ratio.
Dividends
COMT vs. VCMDX - Dividend Comparison
COMT's dividend yield for the trailing twelve months is around 6.19%, less than VCMDX's 13.31% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 6.19% | 7.74% | 4.90% | 5.19% | 29.79% | 17.79% | 0.36% | 2.61% | 11.65% | 5.16% | 0.52% | 1.44% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 13.31% | 15.21% | 2.19% | 2.50% | 14.21% | 30.56% | 0.50% | 0.60% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
COMT and VCMDX have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COMT has higher volatility (5.01%) compared to VCMDX (3.69%). In terms of maximum drawdown, COMT dropped -51.89% vs VCMDX's -26.67%.
VCMDX currently has the higher Sharpe Ratio (1.36 vs 1.03), 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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