DJP vs. COMT
DJP (iPath Bloomberg Commodity Index Total Return ETN) and COMT (iShares GSCI Commodity Dynamic Roll Strategy ETF) are both Commodities funds - DJP tracks the Bloomberg Commodity Index while COMT tracks the S&P GSCI Dynamic Roll (USD) Total Return Index. Both are passively managed. Over the past 10 years, DJP returned 6.40%/yr vs 8.06%/yr for COMT. Their correlation of 0.83 suggests significant overlap in exposure. DJP charges 0.70%/yr vs 0.48%/yr for COMT.
Performance
DJP vs. COMT - Performance Comparison
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Returns By Period
In the year-to-date period, DJP achieves a 18.90% return, which is significantly lower than COMT's 25.05% return. Over the past 10 years, DJP has underperformed COMT with an annualized return of 6.40%, while COMT has yielded a comparatively higher 8.06% annualized return.
DJP
- 1D
- -0.64%
- 1M
- -9.66%
- YTD
- 18.90%
- 6M
- 18.62%
- 1Y
- 24.89%
- 3Y*
- 13.17%
- 5Y*
- 11.12%
- 10Y*
- 6.40%
COMT
- 1D
- -0.76%
- 1M
- -11.08%
- YTD
- 25.05%
- 6M
- 25.05%
- 1Y
- 21.95%
- 3Y*
- 12.36%
- 5Y*
- 11.04%
- 10Y*
- 8.06%
DJP vs. COMT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DJP iPath Bloomberg Commodity Index Total Return ETN | 18.90% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 7.63% | -13.07% | 0.74% |
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 25.05% | 6.07% | 5.96% | -6.56% | 19.45% | 36.88% | -18.66% | 10.81% | -6.67% | 11.70% |
Correlation
The correlation between DJP and COMT is 0.86, 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 | 0.86 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.83 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.83 |
Correlation (All Time) Calculated using the full available price history since Oct 16, 2014 | 0.83 |
The correlation between DJP and COMT has been stable across timeframes, ranging from 0.82 to 0.86 - a consistent structural relationship.
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Return for Risk
DJP vs. COMT — Risk / Return Rank
DJP
COMT
DJP vs. COMT - 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 GSCI Commodity Dynamic Roll 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DJP | COMT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.27 | ||
| Sortino ratioReturn per unit of downside risk | +0.28 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.19 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.87 | 1.49 | +0.37 |
| Martin ratioReturn relative to average drawdown | 6.85 | 6.26 | +0.60 |
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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.
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Drawdown Indicators
| DJP | COMT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.35% | -51.89% | -26.46% |
Max Drawdown (1Y)Largest decline over 1 year | -13.40% | -14.78% | +1.38% |
Max Drawdown (3Y)Largest decline over 3 years | -13.41% | -14.78% | +1.37% |
Max Drawdown (5Y)Largest decline over 5 years | -28.98% | -29.00% | +0.02% |
Max Drawdown (10Y)Largest decline over 10 years | -38.36% | -39.22% | +0.86% |
Current DrawdownCurrent decline from peak | -38.85% | -14.78% | -24.07% |
Average DrawdownAverage peak-to-trough decline | -50.82% | -24.01% | -26.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.00% | 4.16% | -0.16% |
Volatility
DJP vs. COMT - Volatility Comparison
The current volatility for iPath Bloomberg Commodity Index Total Return ETN (DJP) is 4.14%, while iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT) has a volatility of 5.01%. 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.
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Volatility by Period
| DJP | COMT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.14% | 5.01% | -0.87% |
Volatility (6M)Calculated over the trailing 6-month period | 16.84% | 19.22% | -2.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.22% | 21.47% | -2.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.94% | 21.12% | -2.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.06% | 18.89% | -1.83% |
DJP vs. COMT - Expense Ratio Comparison
DJP has a 0.70% expense ratio, which is higher than COMT's 0.48% expense ratio.
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 6.19%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 6.19% | 7.74% | 4.90% | 5.19% | 29.79% | 17.79% | 0.36% | 2.61% | 11.65% | 5.16% | 0.52% | 1.44% |
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% |
Frequently Asked Questions
DJP and COMT have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COMT has higher volatility (5.01%) compared to DJP (4.14%). In terms of maximum drawdown, DJP dropped -78.35% vs COMT's -51.89%.
On 10-year performance, COMT leads with 8.06% vs 6.40% for DJP. On fees, COMT is cheaper at 0.48% per year. On volatility, DJP has been the lower-risk option at 4.14%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, COMT has performed better with a 8.06% return vs 6.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
COMT is cheaper with a 0.48% expense ratio, compared with 0.70% for DJP.
COMT has the higher dividend yield at 6.19%, compared with 0.00% for DJP.
DJP tracks Bloomberg Commodity Index, while COMT tracks S&P GSCI Dynamic Roll (USD) Total Return Index. They also come from different issuers: Barclays Capital and iShares. Their fees differ too: 0.70% for DJP and 0.48% for COMT.
DJP currently has the higher Sharpe Ratio (1.30 vs 1.03), 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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