NDAA vs. COMT
NDAA (Ned Davis Research 360 Dynamic Allocation ETF) and COMT (iShares GSCI Commodity Dynamic Roll Strategy ETF) are both exchange-traded funds - NDAA is a Diversified Portfolio fund actively managed by Ned Davis Research, while COMT is a Commodities fund tracking the S&P GSCI Dynamic Roll (USD) Total Return Index. NDAA is actively managed, while COMT is passively managed. Over the past year, NDAA returned 24.70% vs 25.27% for COMT. At a 0.02 correlation, their price movements are largely independent. NDAA charges 0.65%/yr vs 0.48%/yr for COMT.
Performance
NDAA vs. COMT - Performance Comparison
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Returns By Period
In the year-to-date period, NDAA achieves a 9.85% return, which is significantly lower than COMT's 23.88% return.
NDAA
- 1D
- -0.34%
- 1M
- -0.04%
- YTD
- 9.85%
- 6M
- 9.96%
- 1Y
- 24.70%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
COMT
- 1D
- -0.93%
- 1M
- -11.91%
- YTD
- 23.88%
- 6M
- 22.75%
- 1Y
- 25.27%
- 3Y*
- 12.01%
- 5Y*
- 10.76%
- 10Y*
- 7.96%
NDAA vs. COMT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
NDAA Ned Davis Research 360 Dynamic Allocation ETF | 9.85% | 14.00% | -1.48% |
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 23.88% | 6.07% | 1.62% |
Correlation
The correlation between NDAA and COMT is -0.10, 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 | -0.10 |
Correlation (All Time) Calculated using the full available price history since Oct 17, 2024 | 0.02 |
The correlation between NDAA and COMT shifts across timeframes, from -0.10 (1 year) to 0.02 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
NDAA vs. COMT — Risk / Return Rank
NDAA
COMT
NDAA vs. COMT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ned Davis Research 360 Dynamic Allocation ETF (NDAA) and iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| NDAA | COMT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.01 | ||
| Sortino ratioReturn per unit of downside risk | +1.29 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.22 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 3.26 | 1.63 | +1.63 |
| Martin ratioReturn relative to average drawdown | 13.44 | 6.99 | +6.46 |
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Drawdowns
NDAA vs. COMT - Drawdown Comparison
The maximum NDAA drawdown since its inception was -13.50%, smaller than the maximum COMT drawdown of -51.89%. Use the drawdown chart below to compare losses from any high point for NDAA and COMT.
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Drawdown Indicators
| NDAA | COMT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.50% | -51.89% | +38.39% |
Max Drawdown (1Y)Largest decline over 1 year | -7.62% | -15.58% | +7.96% |
Max Drawdown (3Y)Largest decline over 3 years | — | -15.58% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -29.00% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -39.22% | — |
Current DrawdownCurrent decline from peak | -1.60% | -15.58% | +13.98% |
Average DrawdownAverage peak-to-trough decline | -1.95% | -24.00% | +22.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.84% | 3.65% | -1.81% |
Volatility
NDAA vs. COMT - Volatility Comparison
The current volatility for Ned Davis Research 360 Dynamic Allocation ETF (NDAA) is 4.22%, while iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT) has a volatility of 5.02%. This indicates that NDAA experiences smaller price fluctuations and is considered to be less risky than COMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NDAA | COMT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.22% | 5.02% | -0.80% |
Volatility (6M)Calculated over the trailing 6-month period | 9.07% | 19.24% | -10.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.26% | 21.45% | -10.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.15% | 21.13% | -8.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.15% | 18.86% | -6.71% |
NDAA vs. COMT - Expense Ratio Comparison
NDAA has a 0.65% expense ratio, which is higher than COMT's 0.48% expense ratio.
Dividends
NDAA vs. COMT - Dividend Comparison
NDAA's dividend yield for the trailing twelve months is around 2.46%, less than COMT's 6.25% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 6.25% | 7.74% | 4.90% | 5.19% | 29.79% | 17.79% | 0.36% | 2.61% | 11.65% | 5.16% | 0.52% | 1.44% |
NDAA Ned Davis Research 360 Dynamic Allocation ETF | 2.46% | 2.71% | 0.83% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
NDAA and COMT have a correlation of -0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COMT has higher volatility (5.02%) compared to NDAA (4.22%). In terms of maximum drawdown, NDAA dropped -13.50% vs COMT's -51.89%.
On 1-year performance, COMT leads with 25.27% vs 24.70% for NDAA. On fees, COMT is cheaper at 0.48% per year. On volatility, NDAA has been the lower-risk option at 4.22%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, COMT has performed better with a 25.27% return vs 24.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
COMT is cheaper with a 0.48% expense ratio, compared with 0.65% for NDAA.
COMT has the higher dividend yield at 6.25%, compared with 2.46% for NDAA.
NDAA is categorized as Diversified Portfolio, while COMT is Commodities. They also come from different issuers: Ned Davis Research and iShares. Their fees differ too: 0.65% for NDAA and 0.48% for COMT.
NDAA currently has the higher Sharpe Ratio (2.21 vs 1.20), 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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