CRSOX vs. DJP
CRSOX (Credit Suisse Commodity Return Strategy Fund) and DJP (iPath Bloomberg Commodity Index Total Return ETN) are both Commodities funds. Over the past 10 years, CRSOX returned 7.38%/yr vs 7.36%/yr for DJP. Their correlation of 0.95 suggests significant overlap in exposure. CRSOX charges 0.81%/yr vs 0.70%/yr for DJP.
Performance
CRSOX vs. DJP - Performance Comparison
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Returns By Period
In the year-to-date period, CRSOX achieves a 27.02% return, which is significantly lower than DJP's 30.63% return. Both investments have delivered pretty close results over the past 10 years, with CRSOX having a 7.38% annualized return and DJP not far behind at 7.36%.
CRSOX
- 1D
- 0.39%
- 1M
- -2.64%
- YTD
- 27.02%
- 6M
- 26.55%
- 1Y
- 39.05%
- 3Y*
- 16.16%
- 5Y*
- 12.10%
- 10Y*
- 7.38%
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%
CRSOX vs. DJP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CRSOX Credit Suisse Commodity Return Strategy Fund | 27.02% | 15.66% | 5.21% | -8.88% | 16.40% | 28.99% | -1.12% | 6.99% | -11.65% | 1.75% |
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 CRSOX and DJP is 0.94, 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 | 0.94 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Oct 31, 2006 | 0.95 |
The correlation between CRSOX and DJP has been stable across timeframes, ranging from 0.94 to 0.95 - a consistent structural relationship.
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Return for Risk
CRSOX vs. DJP — Risk / Return Rank
CRSOX
DJP
CRSOX vs. DJP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Credit Suisse Commodity Return Strategy Fund (CRSOX) 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.
| CRSOX | DJP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.08 | ||
| Sortino ratioReturn per unit of downside risk | +0.10 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.42 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 5.29 | 5.20 | +0.09 |
| Martin ratioReturn relative to average drawdown | 14.39 | 13.30 | +1.09 |
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
| CRSOX | DJP | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.44 | 2.36 | +0.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.66 | +0.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.52 | 0.43 | +0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.08 | 0.00 | +0.08 |
Drawdowns
CRSOX vs. DJP - Drawdown Comparison
The maximum CRSOX drawdown since its inception was -74.26%, smaller than the maximum DJP drawdown of -78.35%. Use the drawdown chart below to compare losses from any high point for CRSOX and DJP.
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Drawdown Indicators
| CRSOX | DJP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -74.26% | -78.35% | +4.09% |
Max Drawdown (1Y)Largest decline over 1 year | -7.49% | -8.61% | +1.12% |
Max Drawdown (3Y)Largest decline over 3 years | -11.43% | -13.41% | +1.98% |
Max Drawdown (5Y)Largest decline over 5 years | -25.50% | -28.98% | +3.48% |
Max Drawdown (10Y)Largest decline over 10 years | -31.89% | -38.36% | +6.47% |
Current DrawdownCurrent decline from peak | -28.44% | -32.82% | +4.38% |
Average DrawdownAverage peak-to-trough decline | -45.15% | -50.86% | +5.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.74% | 3.36% | -0.62% |
Volatility
CRSOX vs. DJP - Volatility Comparison
The current volatility for Credit Suisse Commodity Return Strategy Fund (CRSOX) is 5.30%, while iPath Bloomberg Commodity Index Total Return ETN (DJP) has a volatility of 5.85%. This indicates that CRSOX experiences smaller price fluctuations and is considered to be less risky 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
| CRSOX | DJP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.30% | 5.85% | -0.55% |
Volatility (6M)Calculated over the trailing 6-month period | 14.12% | 16.64% | -2.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.32% | 18.92% | -2.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.07% | 18.96% | -2.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.33% | 17.06% | -2.73% |
CRSOX vs. DJP - Expense Ratio Comparison
CRSOX has a 0.81% expense ratio, which is higher than DJP's 0.70% expense ratio.
Dividends
CRSOX vs. DJP - Dividend Comparison
CRSOX's dividend yield for the trailing twelve months is around 6.30%, while DJP has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
CRSOX Credit Suisse Commodity Return Strategy Fund | 6.30% | 4.78% | 3.39% | 3.38% | 16.50% | 39.76% | 0.14% | 1.20% | 1.12% | 2.75% |
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% |
Frequently Asked Questions
With a correlation of 0.94, CRSOX and DJP move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
DJP has higher volatility (5.85%) compared to CRSOX (5.30%). In terms of maximum drawdown, CRSOX dropped -74.26% vs DJP's -78.35%.
CRSOX currently has the higher Sharpe Ratio (2.44 vs 2.36), 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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