DJP vs. CMDY
DJP (iPath Bloomberg Commodity Index Total Return ETN) and CMDY (iShares Bloomberg Roll Select Commodity Strategy ETF) are both Commodities funds - DJP tracks the Bloomberg Commodity Index while CMDY tracks the Bloomberg Roll Select Commodity Total Return Index. Both are passively managed. Over the past 5 years, DJP returned 12.46%/yr vs 10.71%/yr for CMDY. Their correlation of 0.92 suggests significant overlap in exposure. DJP charges 0.70%/yr vs 0.28%/yr for CMDY.
Performance
DJP vs. CMDY - Performance Comparison
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Returns By Period
In the year-to-date period, DJP achieves a 30.63% return, which is significantly higher than CMDY's 25.44% return.
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%
CMDY
- 1D
- 0.02%
- 1M
- -2.52%
- YTD
- 25.44%
- 6M
- 24.53%
- 1Y
- 37.10%
- 3Y*
- 15.48%
- 5Y*
- 10.71%
- 10Y*
- —
DJP vs. CMDY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
DJP iPath Bloomberg Commodity Index Total Return ETN | 30.63% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 7.63% | -12.39% |
CMDY iShares Bloomberg Roll Select Commodity Strategy ETF | 25.44% | 15.81% | 5.43% | -9.33% | 14.55% | 26.38% | 1.15% | 4.96% | -11.11% |
Correlation
The correlation between DJP and CMDY is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.98 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.98 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Apr 6, 2018 | 0.92 |
The correlation between DJP and CMDY has been stable across timeframes, ranging from 0.92 to 0.98 - a consistent structural relationship.
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Return for Risk
DJP vs. CMDY — Risk / Return Rank
DJP
CMDY
DJP vs. CMDY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) and iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY). 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.
| DJP | CMDY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.04 | ||
| Sortino ratioReturn per unit of downside risk | +0.02 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.42 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 5.20 | 4.82 | +0.38 |
| Martin ratioReturn relative to average drawdown | 13.30 | 14.50 | -1.20 |
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
| DJP | CMDY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.36 | 2.32 | +0.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.66 | 0.68 | -0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.00 | 0.56 | -0.56 |
Drawdowns
DJP vs. CMDY - Drawdown Comparison
The maximum DJP drawdown since its inception was -78.35%, which is greater than CMDY's maximum drawdown of -31.19%. Use the drawdown chart below to compare losses from any high point for DJP and CMDY.
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Drawdown Indicators
| DJP | CMDY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.35% | -31.19% | -47.16% |
Max Drawdown (1Y)Largest decline over 1 year | -8.61% | -7.73% | -0.88% |
Max Drawdown (3Y)Largest decline over 3 years | -13.41% | -10.08% | -3.33% |
Max Drawdown (5Y)Largest decline over 5 years | -28.98% | -26.56% | -2.42% |
Max Drawdown (10Y)Largest decline over 10 years | -38.36% | — | — |
Current DrawdownCurrent decline from peak | -32.82% | -3.97% | -28.85% |
Average DrawdownAverage peak-to-trough decline | -50.86% | -13.14% | -37.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.36% | 2.57% | +0.79% |
Volatility
DJP vs. CMDY - Volatility Comparison
iPath Bloomberg Commodity Index Total Return ETN (DJP) has a higher volatility of 5.85% compared to iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY) at 5.04%. This indicates that DJP's price experiences larger fluctuations and is considered to be riskier than CMDY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DJP | CMDY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.85% | 5.04% | +0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 16.64% | 14.20% | +2.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.92% | 16.06% | +2.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.96% | 15.80% | +3.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.06% | 14.63% | +2.43% |
DJP vs. CMDY - Expense Ratio Comparison
DJP has a 0.70% expense ratio, which is higher than CMDY's 0.28% expense ratio.
Dividends
DJP vs. CMDY - Dividend Comparison
DJP has not paid dividends to shareholders, while CMDY's dividend yield for the trailing twelve months is around 10.28%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
CMDY iShares Bloomberg Roll Select Commodity Strategy ETF | 10.28% | 12.89% | 4.23% | 5.10% | 3.98% | 16.09% | 0.15% | 2.21% | 1.73% |
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% |
Frequently Asked Questions
With a correlation of 0.98, DJP and CMDY 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 CMDY (5.04%). In terms of maximum drawdown, DJP dropped -78.35% vs CMDY's -31.19%.
On 5-year performance, DJP leads with 12.46% vs 10.71% for CMDY. On fees, CMDY is cheaper at 0.28% per year. On volatility, CMDY has been the lower-risk option at 5.04%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DJP has performed better with a 12.46% return vs 10.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CMDY is cheaper with a 0.28% expense ratio, compared with 0.70% for DJP.
CMDY has the higher dividend yield at 10.28%, compared with 0.00% for DJP.
DJP tracks Bloomberg Commodity Index, while CMDY tracks Bloomberg Roll Select Commodity Total Return Index. They also come from different issuers: Barclays Capital and iShares. Their fees differ too: 0.70% for DJP and 0.28% for CMDY.
DJP currently has the higher Sharpe Ratio (2.36 vs 2.32), 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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