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

Correlation

The correlation between DJP and COMT is 0.83, 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

DJP vs. COMT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Bloomberg Commodity Index Total Return ETN (DJP) and iShares Commodities Select Strategy ETF (COMT). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-7.40%
3.75%
DJP
COMT

Key characteristics

Sharpe Ratio

DJP:

0.27

COMT:

0.18

Sortino Ratio

DJP:

0.48

COMT:

0.35

Omega Ratio

DJP:

1.05

COMT:

1.04

Calmar Ratio

DJP:

0.06

COMT:

0.10

Martin Ratio

DJP:

0.59

COMT:

0.56

Ulcer Index

DJP:

6.19%

COMT:

4.67%

Daily Std Dev

DJP:

13.51%

COMT:

14.28%

Max Drawdown

DJP:

-78.35%

COMT:

-51.89%

Current Drawdown

DJP:

-56.86%

COMT:

-22.34%

Returns By Period

The year-to-date returns for both investments are quite close, with DJP having a 3.82% return and COMT slightly higher at 3.90%. Over the past 10 years, DJP has underperformed COMT with an annualized return of 0.22%, while COMT has yielded a comparatively higher 1.98% annualized return.


DJP

YTD

3.82%

1M

-0.94%

6M

-2.35%

1Y

3.21%

5Y*

6.83%

10Y*

0.22%

COMT

YTD

3.90%

1M

-0.31%

6M

-4.37%

1Y

2.27%

5Y*

5.50%

10Y*

1.98%

Compare stocks, funds, or ETFs

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


DJP vs. COMT - Expense Ratio Comparison

DJP has a 0.70% expense ratio, which is higher than COMT's 0.48% expense ratio.


DJP
iPath Bloomberg Commodity Index Total Return ETN
Expense ratio chart for DJP: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
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

DJP vs. COMT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) and iShares Commodities Select Strategy ETF (COMT). 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 DJP, currently valued at 0.27, compared to the broader market0.002.004.000.270.18
The chart of Sortino ratio for DJP, currently valued at 0.48, compared to the broader market-2.000.002.004.006.008.0010.000.480.35
The chart of Omega ratio for DJP, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.04
The chart of Calmar ratio for DJP, currently valued at 0.13, compared to the broader market0.005.0010.0015.000.130.10
The chart of Martin ratio for DJP, currently valued at 0.59, compared to the broader market0.0020.0040.0060.0080.00100.000.590.56
DJP
COMT

The current DJP Sharpe Ratio is 0.27, which is higher than the COMT Sharpe Ratio of 0.18. The chart below compares the historical Sharpe Ratios of DJP and COMT, 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
0.27
0.18
DJP
COMT

Dividends

DJP vs. COMT - Dividend Comparison

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


TTM2023202220212020201920182017201620152014
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%0.00%
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%

Drawdowns

DJP vs. COMT - Drawdown Comparison

The maximum DJP drawdown since its inception was -78.35%, which is greater than COMT's maximum drawdown of -51.89%. Use the drawdown chart below to compare losses from any high point for DJP and COMT. For additional features, visit the drawdowns tool.


-28.00%-26.00%-24.00%-22.00%-20.00%-18.00%JulyAugustSeptemberOctoberNovemberDecember
-23.42%
-22.34%
DJP
COMT

Volatility

DJP vs. COMT - Volatility Comparison

iPath Bloomberg Commodity Index Total Return ETN (DJP) and iShares Commodities Select Strategy ETF (COMT) have volatilities of 3.30% and 3.26%, 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
3.30%
3.26%
DJP
COMT
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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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