DJP vs. IEF
Compare and contrast key facts about iPath Bloomberg Commodity Index Total Return ETN (DJP) and iShares 7-10 Year Treasury Bond ETF (IEF).
DJP and IEF 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. IEF is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. 7-10 Year Treasury Bond Index. It was launched on Jul 26, 2002. Both DJP and IEF are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DJP or IEF.
Performance
DJP vs. IEF - Performance Comparison
Returns By Period
In the year-to-date period, DJP achieves a 4.80% return, which is significantly higher than IEF's -0.04% return. Over the past 10 years, DJP has underperformed IEF with an annualized return of -0.71%, while IEF has yielded a comparatively higher 0.81% annualized return.
DJP
4.80%
0.19%
-5.60%
0.28%
7.60%
-0.71%
IEF
-0.04%
-1.39%
2.36%
4.43%
-1.55%
0.81%
Key characteristics
| DJP | IEF | |
|---|---|---|
| Sharpe Ratio | 0.05 | 0.65 |
| Sortino Ratio | 0.16 | 0.97 |
| Omega Ratio | 1.02 | 1.11 |
| Calmar Ratio | 0.01 | 0.22 |
| Martin Ratio | 0.10 | 1.77 |
| Ulcer Index | 6.29% | 2.58% |
| Daily Std Dev | 13.90% | 6.99% |
| Max Drawdown | -78.35% | -23.93% |
| Current Drawdown | -56.45% | -16.90% |
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DJP vs. IEF - Expense Ratio Comparison
DJP has a 0.70% expense ratio, which is higher than IEF's 0.15% expense ratio.
Correlation
The correlation between DJP and IEF is -0.14. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Risk-Adjusted Performance
DJP vs. IEF - 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 7-10 Year Treasury Bond ETF (IEF). 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. IEF - Dividend Comparison
DJP has not paid dividends to shareholders, while IEF's dividend yield for the trailing twelve months is around 3.50%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.50% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% | 1.77% |
Drawdowns
DJP vs. IEF - Drawdown Comparison
The maximum DJP drawdown since its inception was -78.35%, which is greater than IEF's maximum drawdown of -23.93%. Use the drawdown chart below to compare losses from any high point for DJP and IEF. For additional features, visit the drawdowns tool.
Volatility
DJP vs. IEF - Volatility Comparison
iPath Bloomberg Commodity Index Total Return ETN (DJP) has a higher volatility of 4.68% compared to iShares 7-10 Year Treasury Bond ETF (IEF) at 1.82%. This indicates that DJP's price experiences larger fluctuations and is considered to be riskier than IEF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.