Direxion Auspice Broad Commodity Strategy ETF

10-Year Study

COM.US · · US · ETF

Executive Summary: Direxion Auspice Broad Commodity Strategy ETF has compounded at 7.0% annually over the last 10 years, with a maximum drawdown of 15.0% and an annualized volatility of 9.3%.

1Y CAGR
+23.1%
3Y CAGR
+6.7%
5Y CAGR
+8.5%
10Y CAGR
+7.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
15.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.33
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.61
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
8.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +28.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · -2.1%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
67%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20265.02.95.0-0.2————————13.3%
20251.1-0.13.5-3.4-0.1-1.40.30.73.71.52.2-0.47.7%
20240.2-0.12.62.72.0-1.3-0.1-0.71.41.3-1.2-1.05.8%
20233.3-2.94.02.3-2.0-2.61.5-0.81.2-1.7-2.0-2.2-2.1%
20223.65.55.61.50.1-4.8-2.70.0-1.10.10.31.29.2%
20212.28.5-1.46.91.11.71.50.92.13.4-4.83.528.0%
2020-4.2-2.6-3.90.80.30.14.03.3-0.00.32.76.36.6%
20191.7-0.3-1.10.0-4.72.5-0.41.0-0.91.1-0.81.7-0.2%
20181.0-1.80.32.72.9-3.10.5-0.10.6-2.1-1.20.3-0.0%
2017———-1.7-0.3-1.8-1.70.8-1.81.70.12.9-1.9%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 9.3%. The dominant macroeconomic risk driver is USO.US, accounting for 18.2% of variance. Idiosyncratic stock-specific factors contribute 16.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2017-03-0110000
2017-04-019832.29735012195
2017-05-019804.273499567806
2017-06-019624.072983136139
2017-07-019464.904118790293
2017-08-019543.249775644026
2017-09-019369.050437425329
2017-10-019524.80578755829
2017-11-019533.94519657988
2017-12-019814.67921224901
2018-01-019917.359922039741
2018-02-019741.453826714602
2018-03-019769.477677268747
2018-04-0110037.27337293744
2018-05-0110333.037862479425
2018-06-0110010.2955993195
2018-07-0110064.471373278791
2018-08-0110054.34094400185
2018-09-0110111.324608684641
2018-10-019897.649630294389
2018-11-019777.79123607754
2018-12-019811.32075471698
2019-01-019982.657145531324
2019-02-019955.95465531765
2019-03-019845.125556760684
2019-04-019849.645119165561
2019-05-019390.710980362486
2019-06-019625.162457869274
2019-07-019590.189166488844
2019-08-019685.228434738994
2019-09-019596.454199409083
2019-10-019705.798241115399
2019-11-019630.700805777644
2019-12-019794.334098558471
2020-01-019379.446312555681
2020-02-019133.739618347734
2020-03-018778.307162777668
2020-04-018844.591442100824
2020-05-018875.248728569724
2020-06-018879.804161490943
2020-07-019234.82969445682
2020-08-019542.631202879762
2020-09-019542.215354231352
2020-10-019573.700137505673
2020-11-019829.301089201801
2020-12-0110443.659710471004
2021-01-0110676.062398298374
2021-02-0111578.751150114707
2021-03-0111415.116807211032
2021-04-0112204.292529608452
2021-05-0112332.716253367706
2021-06-0112548.134254226934
2021-07-0112734.555212842353
2021-08-0112850.548632431835
2021-09-0113123.964918270076
2021-10-0113571.370808431118
2021-11-0112916.831336570716
2021-12-0113367.685830169583
2022-01-0113853.282588121981
2022-02-0114609.168366066751
2022-03-0115432.825922351025
2022-04-0115660.66687652008
2022-05-0115681.592674542475
2022-06-0114934.859767354123
2022-07-0114527.699835400956
2022-08-0114527.699835400956
2022-09-0114363.871219770119
2022-10-0114378.32616079377
2022-11-0114426.511047744012
2022-12-0114593.10358671479
2023-01-0115069.289143689786
2023-02-0114627.826948857033
2023-03-0115213.138121985648
2023-04-0115560.355991565339
2023-05-0115252.820164223327
2023-06-0114862.140860270532
2023-07-0115084.340554491962
2023-08-0114968.190666597902
2023-09-0115150.496193766052
2023-10-0114900.456692680984
2023-11-0114609.58946532941
2023-12-0114287.86017755328
2024-01-0114321.261435027976
2024-02-0114310.98493282257
2024-03-0114687.222947348759
2024-04-0115076.460432629161
2024-05-0115374.87699314594
2024-06-0115174.192215865482
2024-07-0115158.97488565308
2024-08-0115048.241531416848
2024-09-0115256.485092968152
2024-10-0115452.899020619609
2024-11-0115264.979536697922
2024-12-0115118.040046855924
2025-01-0115283.525756343304
2025-02-0115263.775045789524
2025-03-0115799.74619683342
2025-04-0115262.317475274389
2025-05-0115245.084959313757
2025-06-0115030.099609068533
2025-07-0115081.72049798241
2025-08-0115194.745220276296
2025-09-0115757.059753123262
2025-10-0115997.265903845422
2025-11-0116350.993484969289
2025-12-0116285.766154294177
2026-01-0117093.448191668693
2026-02-0117596.115200599015
2026-03-0118482.52776233132
2026-04-0118443.988085734265
Annual Return Matrix
YearAnnual Return
2018-0.0003421871932235421
2019-0.0017313322623098149
20200.0662960447722627
20210.27998098375102143
20220.09167014935222051
2023-0.020916963094772756
20240.058103862928815975
20250.07724057508903748
20260.13252197722801107
Total Factor Risk
0.0932319535089287
VTI.US Exposure
0.06670702770854468
VEA.US Exposure
0.0005111458694393695
VWO.US Exposure
-0.0014007940648365544
QQQ.US Exposure
-0.017161842488113088
VTV.US Exposure
0.13929853309726606
IJR.US Exposure
-0.008670174374707592
QUAL.US Exposure
0.0375022974932811
SHV.US Exposure
0.026929726135229832
TLT.US Exposure
0.01241404807273306
LQD.US Exposure
0.06992211565478564
HYG.US Exposure
0.0572119004315941
GLD.US Exposure
0.02313698830436105
USO.US Exposure
0.18249891046179484
VNQ.US Exposure
0.0030955679132826375
BTC-USD.CC Exposure
0.010240284153031862
CPER.US Exposure
0.09322591038354505
VIX.INDX Exposure
0.007753714970920607
UUP.US Exposure
0.001138660029563755
TIP.US Exposure
0.12972086358461052
Idiosyncratic Exposure
0.16592511666367313
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
33.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
9.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.77%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$110
Avg Yield on Cost
1.10%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$110.111.10%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.8%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+12.5%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.38
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Direxion Auspice Broad Commodity Strategy ETF a high-risk investment?

Direxion Auspice Broad Commodity Strategy ETF (COM.US) has an annualized volatility of 9.3% and experienced a maximum drawdown of 15.0% over the last 10 years. Its primary macro risk driver is USO.US.

What is the 10-year return of COM.US?

Over the past 10 years, COM.US has generated a Compound Annual Growth Rate (CAGR) of 7.0%. It has had a positive return in 67% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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