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

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.


-0.50.00.51.0-0.1

Performance

DJP vs. IEF - 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 7-10 Year Treasury Bond ETF (IEF). The values are adjusted to include any dividend payments, if applicable.

-50.00%0.00%50.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
-37.15%
82.75%
DJP
IEF

Key characteristics

Sharpe Ratio

DJP:

0.27

IEF:

-0.07

Sortino Ratio

DJP:

0.48

IEF:

-0.06

Omega Ratio

DJP:

1.05

IEF:

0.99

Calmar Ratio

DJP:

0.06

IEF:

-0.02

Martin Ratio

DJP:

0.59

IEF:

-0.18

Ulcer Index

DJP:

6.19%

IEF:

2.86%

Daily Std Dev

DJP:

13.51%

IEF:

6.73%

Max Drawdown

DJP:

-78.35%

IEF:

-23.93%

Current Drawdown

DJP:

-56.86%

IEF:

-17.25%

Returns By Period

In the year-to-date period, DJP achieves a 3.82% return, which is significantly higher than IEF's -0.46% return. Over the past 10 years, DJP has underperformed IEF with an annualized return of 0.22%, while IEF has yielded a comparatively higher 0.74% annualized return.


DJP

YTD

3.82%

1M

-0.94%

6M

-2.35%

1Y

3.21%

5Y*

6.83%

10Y*

0.22%

IEF

YTD

-0.46%

1M

-0.42%

6M

0.28%

1Y

-0.35%

5Y*

-1.44%

10Y*

0.74%

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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.


DJP
iPath Bloomberg Commodity Index Total Return ETN
Expense ratio chart for DJP: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
Expense ratio chart for IEF: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

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.


Sharpe ratio
The chart of Sharpe ratio for DJP, currently valued at 0.27, compared to the broader market0.002.004.000.27-0.07
The chart of Sortino ratio for DJP, currently valued at 0.48, compared to the broader market-2.000.002.004.006.008.0010.000.48-0.06
The chart of Omega ratio for DJP, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.050.99
The chart of Calmar ratio for DJP, currently valued at 0.06, compared to the broader market0.005.0010.0015.000.06-0.02
The chart of Martin ratio for DJP, currently valued at 0.59, compared to the broader market0.0020.0040.0060.0080.00100.000.59-0.18
DJP
IEF

The current DJP Sharpe Ratio is 0.27, which is higher than the IEF Sharpe Ratio of -0.07. The chart below compares the historical Sharpe Ratios of DJP and IEF, 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-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.27
-0.07
DJP
IEF

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 3.61%.


TTM20232022202120202019201820172016201520142013
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
3.61%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.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-56.86%
-17.25%
DJP
IEF

Volatility

DJP vs. IEF - Volatility Comparison

iPath Bloomberg Commodity Index Total Return ETN (DJP) has a higher volatility of 3.30% compared to iShares 7-10 Year Treasury Bond ETF (IEF) at 1.89%. 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.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.30%
1.89%
DJP
IEF
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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