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

Correlation

The correlation between DJP and VOO is 0.32, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

DJP vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Bloomberg Commodity Index Total Return ETN (DJP) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
-22.33%
602.93%
DJP
VOO

Key characteristics

Sharpe Ratio

DJP:

0.27

VOO:

2.25

Sortino Ratio

DJP:

0.48

VOO:

2.98

Omega Ratio

DJP:

1.05

VOO:

1.42

Calmar Ratio

DJP:

0.06

VOO:

3.31

Martin Ratio

DJP:

0.59

VOO:

14.77

Ulcer Index

DJP:

6.19%

VOO:

1.90%

Daily Std Dev

DJP:

13.51%

VOO:

12.46%

Max Drawdown

DJP:

-78.35%

VOO:

-33.99%

Current Drawdown

DJP:

-56.86%

VOO:

-2.47%

Returns By Period

In the year-to-date period, DJP achieves a 3.82% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, DJP has underperformed VOO with an annualized return of 0.22%, while VOO has yielded a comparatively higher 13.08% annualized return.


DJP

YTD

3.82%

1M

-0.94%

6M

-2.35%

1Y

3.21%

5Y*

6.83%

10Y*

0.22%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DJP vs. VOO - Expense Ratio Comparison

DJP has a 0.70% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

DJP vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) and Vanguard S&P 500 ETF (VOO). 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 market0.002.004.000.272.25
The chart of Sortino ratio for DJP, currently valued at 0.48, compared to the broader market-2.000.002.004.006.008.0010.000.482.98
The chart of Omega ratio for DJP, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.42
The chart of Calmar ratio for DJP, currently valued at 0.08, compared to the broader market0.005.0010.0015.000.083.31
The chart of Martin ratio for DJP, currently valued at 0.59, compared to the broader market0.0020.0040.0060.0080.00100.000.5914.77
DJP
VOO

The current DJP Sharpe Ratio is 0.27, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of DJP and VOO, 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.27
2.25
DJP
VOO

Dividends

DJP vs. VOO - Dividend Comparison

DJP has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 0.91%.


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%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

DJP vs. VOO - Drawdown Comparison

The maximum DJP drawdown since its inception was -78.35%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DJP and VOO. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-40.59%
-2.47%
DJP
VOO

Volatility

DJP vs. VOO - Volatility Comparison

The current volatility for iPath Bloomberg Commodity Index Total Return ETN (DJP) is 3.30%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.75%. This indicates that DJP experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.30%
3.75%
DJP
VOO
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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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