XFRM.L vs. ROLL.L
XFRM.L (WisdomTree Broad Commodities Ex-Agriculture and Livestock) and ROLL.L (iShares Bloomberg Enhanced Roll Yield Commodity Swap UCITS ETF) are both Commodities funds - XFRM.L tracks the Bloomberg Commodity ex-Agriculture and Livestock while ROLL.L tracks the iShares Bloomberg Enhanced Roll Yield Commodity Swap UCITS ETF. Both are passively managed. Over the past 5 years, XFRM.L returned 12.50%/yr vs 12.62%/yr for ROLL.L. Their correlation of 0.88 suggests significant overlap in exposure. XFRM.L charges 0.49%/yr vs 0.28%/yr for ROLL.L.
Performance
XFRM.L vs. ROLL.L - Performance Comparison
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Returns By Period
In the year-to-date period, XFRM.L achieves a 25.65% return, which is significantly higher than ROLL.L's 23.85% return.
XFRM.L
- 1D
- -0.15%
- 1M
- -0.85%
- 6M
- 17.33%
- YTD
- 25.65%
- 1Y
- 39.62%
- 3Y*
- 18.07%
- 5Y*
- 12.50%
- 10Y*
- 7.75%
ROLL.L
- 1D
- 0.55%
- 1M
- 1.79%
- 6M
- 17.06%
- YTD
- 23.85%
- 1Y
- 34.95%
- 3Y*
- 14.61%
- 5Y*
- 12.62%
- 10Y*
- —
XFRM.L vs. ROLL.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
XFRM.L WisdomTree Broad Commodities Ex-Agriculture and Livestock | 25.65% | 23.07% | 6.74% | -9.42% | 15.17% | 26.88% | -9.12% | 10.10% | -16.37% |
ROLL.L iShares Bloomberg Enhanced Roll Yield Commodity Swap UCITS ETF | 23.85% | 16.94% | 4.68% | -2.22% | 16.67% | 27.69% | 0.83% | 5.26% | -11.11% |
Correlation
The correlation between XFRM.L and ROLL.L is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.92 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.89 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (All Time) Calculated using the full available price history since Oct 3, 2018 | 0.88 |
The correlation between XFRM.L and ROLL.L has been stable across timeframes, ranging from 0.88 to 0.92 - a consistent structural relationship.
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Return for Risk
XFRM.L vs. ROLL.L — Risk / Return Rank
XFRM.L
ROLL.L
XFRM.L vs. ROLL.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Broad Commodities Ex-Agriculture and Livestock (XFRM.L) and iShares Bloomberg Enhanced Roll Yield Commodity Swap UCITS ETF (ROLL.L). 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.
| XFRM.L | ROLL.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.41 | ||
| Sortino ratioReturn per unit of downside risk | -0.60 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.37 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 2.15 | 2.50 | -0.35 |
| Martin ratioReturn relative to average drawdown | 6.84 | 8.63 | -1.79 |
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Drawdowns
XFRM.L vs. ROLL.L - Drawdown Comparison
The maximum XFRM.L drawdown since its inception was -61.51%, which is greater than ROLL.L's maximum drawdown of -26.90%. Use the drawdown chart below to compare losses from any high point for XFRM.L and ROLL.L.
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Drawdown Indicators
| XFRM.L | ROLL.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.51% | -26.90% | -34.61% |
Max Drawdown (1Y)Largest decline over 1 year | -18.37% | -13.94% | -4.43% |
Max Drawdown (3Y)Largest decline over 3 years | -18.37% | -13.94% | -4.43% |
Max Drawdown (5Y)Largest decline over 5 years | -33.87% | -20.45% | -13.42% |
Max Drawdown (10Y)Largest decline over 10 years | -36.85% | — | — |
Current DrawdownCurrent decline from peak | -12.37% | -7.46% | -4.91% |
Average DrawdownAverage peak-to-trough decline | -32.50% | -9.17% | -23.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.78% | 4.04% | +1.74% |
Volatility
XFRM.L vs. ROLL.L - Volatility Comparison
WisdomTree Broad Commodities Ex-Agriculture and Livestock (XFRM.L) has a higher volatility of 6.94% compared to iShares Bloomberg Enhanced Roll Yield Commodity Swap UCITS ETF (ROLL.L) at 4.60%. This indicates that XFRM.L's price experiences larger fluctuations and is considered to be riskier than ROLL.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XFRM.L | ROLL.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.94% | 4.60% | +2.34% |
Volatility (6M)Calculated over the trailing 6-month period | 21.00% | 14.48% | +6.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.32% | 16.55% | +6.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.13% | 16.16% | +4.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.60% | 14.96% | +3.64% |
XFRM.L vs. ROLL.L - Expense Ratio Comparison
XFRM.L has a 0.49% expense ratio, which is higher than ROLL.L's 0.28% expense ratio.
Dividends
XFRM.L vs. ROLL.L - Dividend Comparison
Neither XFRM.L nor ROLL.L has paid dividends to shareholders.
Frequently Asked Questions
With a correlation of 0.92, XFRM.L and ROLL.L move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
On fees, ROLL.L is cheaper at 0.28% per year. The better choice depends on whether you care most about return, fees, risk, or income.
ROLL.L is cheaper with a 0.28% expense ratio, compared with 0.49% for XFRM.L.
XFRM.L tracks Bloomberg Commodity ex-Agriculture and Livestock, while ROLL.L tracks iShares Bloomberg Enhanced Roll Yield Commodity Swap UCITS ETF. They also come from different issuers: WisdomTree and iShares. Their fees differ too: 0.49% for XFRM.L and 0.28% for ROLL.L.
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