PEZ vs. DJP
PEZ (Invesco DWA Consumer Cyclicals Momentum ETF) and DJP (iPath Bloomberg Commodity Index Total Return ETN) are both exchange-traded funds - PEZ is a Momentum fund tracking the DWA Consumer Cyclicals Technical Leaders Index, while DJP is a Commodities fund tracking the Bloomberg Commodity Index. Both are passively managed. Over the past 10 years, PEZ returned 9.33%/yr vs 6.43%/yr for DJP. At a 0.21 correlation, their price movements are largely independent. PEZ charges 0.60%/yr vs 0.70%/yr for DJP.
Performance
PEZ vs. DJP - Performance Comparison
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Returns By Period
In the year-to-date period, PEZ achieves a -2.72% return, which is significantly lower than DJP's 19.91% return. Over the past 10 years, PEZ has outperformed DJP with an annualized return of 9.33%, while DJP has yielded a comparatively lower 6.43% annualized return.
PEZ
- 1D
- 0.11%
- 1M
- -2.46%
- 6M
- -7.97%
- YTD
- -2.72%
- 1Y
- 2.37%
- 3Y*
- 12.73%
- 5Y*
- 2.44%
- 10Y*
- 9.33%
DJP
- 1D
- -0.35%
- 1M
- -1.94%
- 6M
- 16.75%
- YTD
- 19.91%
- 1Y
- 29.52%
- 3Y*
- 13.06%
- 5Y*
- 10.88%
- 10Y*
- 6.43%
PEZ vs. DJP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PEZ Invesco DWA Consumer Cyclicals Momentum ETF | -2.72% | 5.40% | 20.06% | 29.55% | -29.59% | 20.35% | 38.97% | 18.05% | -6.85% | 19.87% |
DJP iPath Bloomberg Commodity Index Total Return ETN | 19.91% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 7.63% | -13.07% | 0.74% |
Correlation
The correlation between PEZ and DJP is -0.19, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Oct 30, 2006 | 0.21 |
The correlation between PEZ and DJP shifts across timeframes, from -0.19 (1 year) to 0.21 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
PEZ vs. DJP — Risk / Return Rank
PEZ
DJP
PEZ vs. DJP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Consumer Cyclicals Momentum ETF (PEZ) and iPath Bloomberg Commodity Index Total Return ETN (DJP). 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.
| PEZ | DJP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.51 | ||
| Sortino ratioReturn per unit of downside risk | -1.86 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 1.29 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | 0.10 | 1.88 | -1.77 |
| Martin ratioReturn relative to average drawdown | 0.26 | 6.29 | -6.04 |
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Drawdowns
PEZ vs. DJP - Drawdown Comparison
The maximum PEZ drawdown since its inception was -58.39%, smaller than the maximum DJP drawdown of -78.35%. Use the drawdown chart below to compare losses from any high point for PEZ and DJP.
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Drawdown Indicators
| PEZ | DJP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.39% | -78.35% | +19.96% |
Max Drawdown (1Y)Largest decline over 1 year | -15.83% | -16.42% | +0.59% |
Max Drawdown (3Y)Largest decline over 3 years | -31.48% | -16.42% | -15.06% |
Max Drawdown (5Y)Largest decline over 5 years | -41.72% | -28.98% | -12.74% |
Max Drawdown (10Y)Largest decline over 10 years | -52.05% | -38.36% | -13.69% |
Current DrawdownCurrent decline from peak | -9.84% | -38.33% | +28.49% |
Average DrawdownAverage peak-to-trough decline | -13.83% | -50.79% | +36.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.36% | 4.89% | +1.47% |
Volatility
PEZ vs. DJP - Volatility Comparison
The current volatility for Invesco DWA Consumer Cyclicals Momentum ETF (PEZ) is 4.35%, while iPath Bloomberg Commodity Index Total Return ETN (DJP) has a volatility of 4.94%. This indicates that PEZ experiences smaller price fluctuations and is considered to be less risky than DJP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PEZ | DJP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.35% | 4.94% | -0.59% |
Volatility (6M)Calculated over the trailing 6-month period | 14.84% | 16.79% | -1.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.98% | 19.32% | +0.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 24.31% | 18.98% | +5.33% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.04% | 17.04% | +8.00% |
PEZ vs. DJP - Expense Ratio Comparison
PEZ has a 0.60% expense ratio, which is lower than DJP's 0.70% expense ratio.
Dividends
PEZ vs. DJP - Dividend Comparison
PEZ's dividend yield for the trailing twelve months is around 0.25%, while DJP has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
PEZ Invesco DWA Consumer Cyclicals Momentum ETF | 0.25% | 0.11% | 0.12% | 0.60% | 0.43% | 0.23% | 0.39% | 0.01% | 0.40% | 0.42% | 0.83% | 0.64% |
Frequently Asked Questions
PEZ and DJP have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DJP has higher volatility (4.94%) compared to PEZ (4.35%). In terms of maximum drawdown, PEZ dropped -58.39% vs DJP's -78.35%.
On 10-year performance, PEZ leads with 9.33% vs 6.43% for DJP. On fees, PEZ is cheaper at 0.60% per year. On volatility, PEZ has been the lower-risk option at 4.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, PEZ has performed better with a 9.33% return vs 6.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PEZ is cheaper with a 0.60% expense ratio, compared with 0.70% for DJP.
PEZ has the higher dividend yield at 0.25%, compared with 0.00% for DJP.
PEZ is categorized as Momentum, while DJP is Commodities. PEZ tracks DWA Consumer Cyclicals Technical Leaders Index, while DJP tracks Bloomberg Commodity Index. They also come from different issuers: Invesco and Barclays Capital. Their fees differ too: 0.60% for PEZ and 0.70% for DJP.
DJP currently has the higher Sharpe Ratio (1.59 vs 0.08), 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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