DJP vs. GRN
DJP (iPath Bloomberg Commodity Index Total Return ETN) and GRN (iPath Series B Carbon ETN) are both Commodities funds from Barclays Capital - DJP tracks the Bloomberg Commodity Index while GRN tracks the Barclays Global Carbon II Index. Both are passively managed. Over the past 5 years, DJP returned 12.46%/yr vs 9.52%/yr for GRN. At a 0.13 correlation, their price movements are largely independent. DJP charges 0.70%/yr vs 0.75%/yr for GRN.
Performance
DJP vs. GRN - 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 GRN's -8.60% 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%
GRN
- 1D
- -0.42%
- 1M
- 8.55%
- YTD
- -8.60%
- 6M
- -4.48%
- 1Y
- 9.03%
- 3Y*
- 0.39%
- 5Y*
- 9.52%
- 10Y*
- —
DJP vs. GRN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
DJP iPath Bloomberg Commodity Index Total Return ETN | 30.63% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 3.44% |
GRN iPath Series B Carbon ETN | -8.60% | 20.33% | -7.34% | -2.99% | -0.07% | 147.21% | 30.47% | -8.41% |
Correlation
The correlation between DJP and GRN is 0.00, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since Sep 11, 2019 | 0.13 |
The correlation between DJP and GRN shifts across timeframes, from 0.00 (1 year) to 0.13 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
DJP vs. GRN — Risk / Return Rank
DJP
GRN
DJP vs. GRN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) and iPath Series B Carbon ETN (GRN). 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 | GRN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.04 | ||
| Sortino ratioReturn per unit of downside risk | +2.34 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.08 | +0.34 |
| Calmar ratioReturn relative to maximum drawdown | 5.20 | 0.30 | +4.90 |
| Martin ratioReturn relative to average drawdown | 13.30 | 0.77 | +12.53 |
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 | GRN | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.36 | 0.33 | +2.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.66 | 0.24 | +0.42 |
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 | 0.42 | -0.41 |
Drawdowns
DJP vs. GRN - Drawdown Comparison
The maximum DJP drawdown since its inception was -78.35%, which is greater than GRN's maximum drawdown of -47.96%. Use the drawdown chart below to compare losses from any high point for DJP and GRN.
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Drawdown Indicators
| DJP | GRN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.35% | -47.96% | -30.39% |
Max Drawdown (1Y)Largest decline over 1 year | -8.61% | -30.39% | +21.78% |
Max Drawdown (3Y)Largest decline over 3 years | -13.41% | -45.30% | +31.89% |
Max Drawdown (5Y)Largest decline over 5 years | -28.98% | -47.96% | +18.98% |
Max Drawdown (10Y)Largest decline over 10 years | -38.36% | — | — |
Current DrawdownCurrent decline from peak | -32.82% | -19.73% | -13.09% |
Average DrawdownAverage peak-to-trough decline | -50.86% | -17.54% | -33.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.36% | 11.83% | -8.47% |
Volatility
DJP vs. GRN - Volatility Comparison
The current volatility for iPath Bloomberg Commodity Index Total Return ETN (DJP) is 5.85%, while iPath Series B Carbon ETN (GRN) has a volatility of 6.65%. This indicates that DJP experiences smaller price fluctuations and is considered to be less risky than GRN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DJP | GRN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.85% | 6.65% | -0.80% |
Volatility (6M)Calculated over the trailing 6-month period | 16.64% | 24.47% | -7.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.92% | 27.74% | -8.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.96% | 39.82% | -20.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.06% | 41.95% | -24.89% |
DJP vs. GRN - Expense Ratio Comparison
DJP has a 0.70% expense ratio, which is lower than GRN's 0.75% expense ratio.
Dividends
DJP vs. GRN - Dividend Comparison
Neither DJP nor GRN has paid dividends to shareholders.
Frequently Asked Questions
DJP and GRN have a correlation of 0.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GRN has higher volatility (6.65%) compared to DJP (5.85%). In terms of maximum drawdown, DJP dropped -78.35% vs GRN's -47.96%.
On 5-year performance, DJP leads with 12.46% vs 9.52% for GRN. On fees, DJP is cheaper at 0.70% per year. On volatility, DJP has been the lower-risk option at 5.85%. 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 9.52%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DJP is cheaper with a 0.70% expense ratio, compared with 0.75% for GRN.
DJP and GRN have nearly identical dividend yields, around 0.00%.
DJP tracks Bloomberg Commodity Index, while GRN tracks Barclays Global Carbon II Index. Their fees differ too: 0.70% for DJP and 0.75% for GRN.
DJP currently has the higher Sharpe Ratio (2.36 vs 0.33), 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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