SXRS.DE vs. DJP
Compare and contrast key facts about iShares Diversified Commodity Swap UCITS ETF (SXRS.DE) and iPath Bloomberg Commodity Index Total Return ETN (DJP).
SXRS.DE and DJP are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SXRS.DE is a passively managed fund by iShares that tracks the performance of the Bloomberg Commodity. It was launched on Jul 18, 2017. DJP is a passively managed fund by Barclays Capital that tracks the performance of the Bloomberg Commodity Index. It was launched on Jun 6, 2006. Both SXRS.DE and DJP are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SXRS.DE or DJP.
Key characteristics
| SXRS.DE | DJP | |
|---|---|---|
| YTD Return | 5.48% | 4.90% |
| 1Y Return | -3.85% | -1.30% |
| 3Y Return (Ann) | 3.91% | 1.79% |
| 5Y Return (Ann) | 7.10% | 7.12% |
| Sharpe Ratio | -0.23 | -0.07 |
| Sortino Ratio | -0.25 | -0.00 |
| Omega Ratio | 0.97 | 1.00 |
| Calmar Ratio | -0.10 | -0.02 |
| Martin Ratio | -0.41 | -0.15 |
| Ulcer Index | 6.52% | 6.66% |
| Daily Std Dev | 11.47% | 13.84% |
| Max Drawdown | -27.64% | -78.35% |
| Current Drawdown | -21.79% | -56.41% |
Correlation
The correlation between SXRS.DE and DJP is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
SXRS.DE vs. DJP - Performance Comparison
In the year-to-date period, SXRS.DE achieves a 5.48% return, which is significantly higher than DJP's 4.90% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SXRS.DE vs. DJP - Expense Ratio Comparison
SXRS.DE has a 0.19% expense ratio, which is lower than DJP's 0.70% expense ratio.
Risk-Adjusted Performance
SXRS.DE vs. DJP - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Diversified Commodity Swap UCITS ETF (SXRS.DE) 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.
Dividends
SXRS.DE vs. DJP - Dividend Comparison
Neither SXRS.DE nor DJP has paid dividends to shareholders.
Drawdowns
SXRS.DE vs. DJP - Drawdown Comparison
The maximum SXRS.DE drawdown since its inception was -27.64%, smaller than the maximum DJP drawdown of -78.35%. Use the drawdown chart below to compare losses from any high point for SXRS.DE and DJP. For additional features, visit the drawdowns tool.
Volatility
SXRS.DE vs. DJP - Volatility Comparison
The current volatility for iShares Diversified Commodity Swap UCITS ETF (SXRS.DE) is 3.74%, while iPath Bloomberg Commodity Index Total Return ETN (DJP) has a volatility of 4.43%. This indicates that SXRS.DE 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.