DJP vs. COMT
Compare and contrast key facts about iPath Bloomberg Commodity Index Total Return ETN (DJP) and iShares Commodities Select Strategy ETF (COMT).
DJP and COMT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DJP is a passively managed fund by Barclays Capital that tracks the performance of the Bloomberg Commodity Index. It was launched on Jun 6, 2006. COMT is an actively managed fund by iShares. It was launched on Oct 15, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DJP or COMT.
Performance
DJP vs. COMT - Performance Comparison
Returns By Period
In the year-to-date period, DJP achieves a 4.80% return, which is significantly higher than COMT's 4.23% return. Over the past 10 years, DJP has underperformed COMT with an annualized return of -0.71%, while COMT has yielded a comparatively higher 0.50% annualized return.
DJP
4.80%
0.19%
-5.60%
0.28%
7.60%
-0.71%
COMT
4.23%
0.08%
-4.07%
-0.93%
6.34%
0.50%
Key characteristics
| DJP | COMT | |
|---|---|---|
| Sharpe Ratio | 0.05 | -0.03 |
| Sortino Ratio | 0.16 | 0.06 |
| Omega Ratio | 1.02 | 1.01 |
| Calmar Ratio | 0.01 | -0.02 |
| Martin Ratio | 0.10 | -0.09 |
| Ulcer Index | 6.29% | 4.66% |
| Daily Std Dev | 13.90% | 14.81% |
| Max Drawdown | -78.35% | -51.89% |
| Current Drawdown | -56.45% | -22.09% |
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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.
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.
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.
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 4.98%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 4.98% | 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.
Volatility
DJP vs. COMT - Volatility Comparison
The current volatility for iPath Bloomberg Commodity Index Total Return ETN (DJP) is 4.68%, while iShares Commodities Select Strategy ETF (COMT) has a volatility of 5.29%. This indicates that DJP experiences smaller price fluctuations and is considered to be less risky than COMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.