FAAR vs. COM
Compare and contrast key facts about First Trust Alternative Absolute Return Strategy ETF (FAAR) and Direxion Auspice Broad Commodity Strategy ETF (COM).
FAAR and COM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FAAR is an actively managed fund by First Trust. It was launched on May 18, 2016. COM is a passively managed fund by Direxion that tracks the performance of the Auspice Broad Commodity ER Index. It was launched on Mar 30, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FAAR or COM.
Performance
FAAR vs. COM - Performance Comparison
Returns By Period
In the year-to-date period, FAAR achieves a 3.70% return, which is significantly lower than COM's 6.15% return.
FAAR
3.70%
-0.68%
-1.33%
1.81%
5.61%
N/A
COM
6.15%
-1.41%
-3.04%
3.67%
9.55%
N/A
Key characteristics
| FAAR | COM | |
|---|---|---|
| Sharpe Ratio | 0.23 | 0.41 |
| Sortino Ratio | 0.39 | 0.63 |
| Omega Ratio | 1.04 | 1.08 |
| Calmar Ratio | 0.11 | 0.22 |
| Martin Ratio | 0.78 | 0.96 |
| Ulcer Index | 2.40% | 3.13% |
| Daily Std Dev | 8.34% | 7.37% |
| Max Drawdown | -16.65% | -15.95% |
| Current Drawdown | -12.97% | -7.55% |
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FAAR vs. COM - Expense Ratio Comparison
FAAR has a 0.95% expense ratio, which is higher than COM's 0.70% expense ratio.
Correlation
The correlation between FAAR and COM is 0.43, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
FAAR vs. COM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Alternative Absolute Return Strategy ETF (FAAR) and Direxion Auspice Broad Commodity Strategy ETF (COM). 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
FAAR vs. COM - Dividend Comparison
FAAR's dividend yield for the trailing twelve months is around 3.23%, less than COM's 3.97% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
FAAR First Trust Alternative Absolute Return Strategy ETF | 3.23% | 3.20% | 5.82% | 6.49% | 3.04% | 1.02% | 0.58% | 2.83% |
COM Direxion Auspice Broad Commodity Strategy ETF | 3.97% | 3.80% | 8.59% | 10.32% | 0.13% | 1.09% | 2.36% | 0.09% |
Drawdowns
FAAR vs. COM - Drawdown Comparison
The maximum FAAR drawdown since its inception was -16.65%, roughly equal to the maximum COM drawdown of -15.95%. Use the drawdown chart below to compare losses from any high point for FAAR and COM. For additional features, visit the drawdowns tool.
Volatility
FAAR vs. COM - Volatility Comparison
First Trust Alternative Absolute Return Strategy ETF (FAAR) has a higher volatility of 3.16% compared to Direxion Auspice Broad Commodity Strategy ETF (COM) at 1.58%. This indicates that FAAR's price experiences larger fluctuations and is considered to be riskier than COM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.