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

Correlation

The correlation between DJP and COMT is 0.30, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.0
Correlation: 0.3

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%NovemberDecember2025FebruaryMarchApril
-0.13%
5.13%
DJP
COMT

Key characteristics

Sharpe Ratio

DJP:

0.30

COMT:

-0.27

Sortino Ratio

DJP:

0.54

COMT:

-0.27

Omega Ratio

DJP:

1.07

COMT:

0.97

Calmar Ratio

DJP:

0.08

COMT:

-0.17

Martin Ratio

DJP:

0.73

COMT:

-0.85

Ulcer Index

DJP:

6.50%

COMT:

5.27%

Daily Std Dev

DJP:

15.84%

COMT:

16.34%

Max Drawdown

DJP:

-78.35%

COMT:

-51.89%

Current Drawdown

DJP:

-53.47%

COMT:

-21.30%

Returns By Period

In the year-to-date period, DJP achieves a 6.03% return, which is significantly higher than COMT's -0.63% return. Over the past 10 years, DJP has underperformed COMT with an annualized return of 1.61%, while COMT has yielded a comparatively higher 2.62% annualized return.


DJP

YTD

6.03%

1M

-2.20%

6M

5.27%

1Y

4.53%

5Y*

16.26%

10Y*

1.61%

COMT

YTD

-0.63%

1M

-4.01%

6M

-0.43%

1Y

-5.09%

5Y*

14.65%

10Y*

2.62%

*Annualized

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DJP vs. COMT - Expense Ratio Comparison

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


Expense ratio chart for DJP: current value is 0.70%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DJP: 0.70%
Expense ratio chart for COMT: current value is 0.48%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
COMT: 0.48%

Risk-Adjusted Performance

DJP vs. COMT — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DJP
The Risk-Adjusted Performance Rank of DJP is 3636
Overall Rank
The Sharpe Ratio Rank of DJP is 4141
Sharpe Ratio Rank
The Sortino Ratio Rank of DJP is 4040
Sortino Ratio Rank
The Omega Ratio Rank of DJP is 3737
Omega Ratio Rank
The Calmar Ratio Rank of DJP is 2626
Calmar Ratio Rank
The Martin Ratio Rank of DJP is 3535
Martin Ratio Rank

COMT
The Risk-Adjusted Performance Rank of COMT is 99
Overall Rank
The Sharpe Ratio Rank of COMT is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of COMT is 88
Sortino Ratio Rank
The Omega Ratio Rank of COMT is 88
Omega Ratio Rank
The Calmar Ratio Rank of COMT is 1010
Calmar Ratio Rank
The Martin Ratio Rank of COMT is 77
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for DJP, currently valued at 0.30, compared to the broader market-1.000.001.002.003.004.00
DJP: 0.30
COMT: -0.27
The chart of Sortino ratio for DJP, currently valued at 0.54, compared to the broader market-2.000.002.004.006.008.00
DJP: 0.54
COMT: -0.27
The chart of Omega ratio for DJP, currently valued at 1.07, compared to the broader market0.501.001.502.00
DJP: 1.07
COMT: 0.97
The chart of Calmar ratio for DJP, currently valued at 0.17, compared to the broader market0.002.004.006.008.0010.0012.00
DJP: 0.17
COMT: -0.17
The chart of Martin ratio for DJP, currently valued at 0.73, compared to the broader market0.0020.0040.0060.00
DJP: 0.73
COMT: -0.85

The current DJP Sharpe Ratio is 0.30, which is higher than the COMT Sharpe Ratio of -0.27. 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-0.500.000.501.001.50NovemberDecember2025FebruaryMarchApril
0.30
-0.27
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 4.93%.


TTM20242023202220212020201920182017201620152014
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%0.00%
COMT
iShares Commodities Select Strategy ETF
4.93%4.90%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.


-26.00%-24.00%-22.00%-20.00%-18.00%-16.00%-14.00%NovemberDecember2025FebruaryMarchApril
-17.42%
-21.30%
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 8.26% and 8.61%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%NovemberDecember2025FebruaryMarchApril
8.26%
8.61%
DJP
COMT