iShares GSCI Commodity Dynamic Roll Strategy ETF

10-Year Study

COMT.US · · US · ETF

Executive Summary: iShares GSCI Commodity Dynamic Roll Strategy ETF has compounded at 8.9% annually over the last 10 years, with a maximum drawdown of 36.1% and an annualized volatility of 16.0%.

1Y CAGR
+49.5%
3Y CAGR
+16.9%
5Y CAGR
+13.2%
10Y CAGR
+8.9%

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 →
36.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.40
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.59
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +36.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · -18.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
202610.22.420.4-1.8————————33.4%
20253.4-1.72.9-8.52.34.43.3-0.30.90.40.1-0.56.1%
20242.9-0.65.31.2-1.11.0-2.6-2.3-0.41.4-1.02.06.0%
20230.1-3.6-0.6-1.5-6.03.89.40.02.5-3.4-3.6-3.0-6.6%
20228.48.710.13.74.9-6.1-2.3-3.3-7.65.80.1-2.519.5%
20213.310.0-1.37.43.33.91.0-1.24.14.5-8.97.036.9%
2020-8.5-7.2-19.6-1.86.21.45.14.0-3.8-3.17.03.4-18.7%
20195.62.00.70.3-6.35.3-0.8-5.02.30.80.55.810.8%
20184.2-3.91.74.02.3-0.2-1.0-1.32.5-4.8-5.3-4.5-6.7%
20171.4-0.9-2.4-1.0-1.3-0.44.8-0.42.83.21.54.111.7%
2016———11.9-1.23.0-4.7-0.04.5-0.52.63.219.3%

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 16.0%. The dominant macroeconomic risk driver is USO.US, accounting for 79.9% of variance. Idiosyncratic stock-specific factors contribute 6.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0111188.863632849345
2016-05-0111057.1971981259
2016-06-0111384.932968409334
2016-07-0110854.246880363688
2016-08-0110850.76773205919
2016-09-0111334.910547231371
2016-10-0111275.84234046172
2016-11-0111564.147763294213
2016-12-0111928.685191198527
2017-01-0112092.205161509795
2017-02-0111984.351564070448
2017-03-0111699.757232762753
2017-04-0111588.115229391844
2017-05-0111438.125280264723
2017-06-0111395.98892857695
2017-07-0111937.962920010514
2017-08-0111892.502048831779
2017-09-0112221.861421657311
2017-10-0112614.773236844952
2017-11-0112804.193533423017
2017-12-0113323.900975707811
2018-01-0113888.528088323977
2018-02-0113349.56935875431
2018-03-0113577.028343461521
2018-04-0114124.955544216109
2018-05-0114444.88255941612
2018-06-0114413.106338235064
2018-07-0114269.146912835737
2018-08-0114088.385829815528
2018-09-0114442.331183992825
2018-10-0113744.877920551715
2018-11-0113021.52433084381
2018-12-0112435.481127553307
2019-01-0113128.836727435792
2019-02-0113393.947828238315
2019-03-0113487.730203646146
2019-04-0113524.454546860261
2019-05-0112667.965548700346
2019-06-0113336.812481637828
2019-07-0113236.535696061605
2019-08-0112578.203522444372
2019-09-0112863.725626633266
2019-10-0112961.605665599729
2019-11-0113025.77662321597
2019-12-0113780.365233257564
2020-01-0112604.33579193147
2020-02-0111695.659569204125
2020-03-019400.967976372716
2020-04-019233.42765690959
2020-05-019807.10055511744
2020-06-019944.952142382212
2020-07-0110447.805043991897
2020-08-0110862.364893074175
2020-09-0110454.067510939989
2020-10-0110125.403967775355
2020-11-0110837.237710875042
2020-12-0111209.506579456014
2021-01-0111575.126409055063
2021-02-0112735.151768180483
2021-03-0112575.420203800775
2021-04-0113504.352801100957
2021-05-0113949.838412889856
2021-06-0114500.471617881274
2021-07-0114647.523619551266
2021-08-0114471.014828903217
2021-09-0115063.629756768874
2021-10-0115744.537737161942
2021-11-0114336.487761129409
2021-12-0115343.58522367058
2022-01-0116625.535402266854
2022-02-0118076.417559648067
2022-03-0119899.955157644075
2022-04-0120645.266038873684
2022-05-0121663.883348023068
2022-06-0120342.193564348778
2022-07-0119865.163674599124
2022-08-0119209.305561998422
2022-09-0117748.44984614433
2022-10-0118781.98883579966
2022-11-0118806.806760371725
2022-12-0118328.075953673208
2023-01-0118347.55918417838
2023-02-0117684.43351734162
2023-03-0117573.873915665445
2023-04-0117313.788251302747
2023-05-0116267.028498090333
2023-06-0116891.18770391675
2023-07-0118484.096426528118
2023-08-0118490.59083669651
2023-09-0118952.23515949962
2023-10-0118315.087133336427
2023-11-0117651.884152092898
2023-12-0117125.14109879235
2024-01-0117617.015354641182
2024-02-0117507.69278347327
2024-03-0118443.506362975677
2024-04-0118668.955173106955
2024-05-0118470.875662971037
2024-06-0118655.270523109277
2024-07-0118177.08091725812
2024-08-0117767.237246988603
2024-09-0117698.968625813734
2024-10-0117951.709421533607
2024-11-0117780.921896986285
2024-12-0118144.99543845
2025-01-0118754.387592584
2025-02-0118438.944812976446
2025-03-0118976.589197631085
2025-04-0117363.57872926041
2025-05-0117757.88220376985
2025-06-0118532.10867313015
2025-07-0119141.50082726415
2025-08-0119077.020612020846
2025-09-0119249.04516707643
2025-10-0119324.34939926706
2025-11-0119338.88450773917
2025-12-0119247.112306907267
2026-01-0121202.780226067323
2026-02-0121702.153979372513
2026-03-0126140.000927772882
2026-04-0125676.114487173538
Annual Return Matrix
YearAnnual Return
20170.11696308202841421
2018-0.06667865888333124
20190.10814894027094746
2020-0.18655954398052033
20210.3688011256259225
20220.19451064966214338
2023-0.06563344990065767
20240.05955304740406331
20250.060739440370529696
20260.33402424622207216
Total Factor Risk
0.16003893279856685
VTI.US Exposure
0.006656409505477494
VEA.US Exposure
0.025889646352599542
VWO.US Exposure
-0.0036892520273204303
QQQ.US Exposure
-0.004835455844888082
VTV.US Exposure
0.017102888095561396
IJR.US Exposure
-0.0006136570841261027
QUAL.US Exposure
-0.004418002361205969
SHV.US Exposure
0.0034239411845040984
TLT.US Exposure
-0.004380080924534843
LQD.US Exposure
0.028347222723866007
HYG.US Exposure
0.023137765607849695
GLD.US Exposure
-0.0012039099255800093
USO.US Exposure
0.7987002480435478
VNQ.US Exposure
0.0009678308298295027
BTC-USD.CC Exposure
-0.00003246828676439561
CPER.US Exposure
0.016922545422037236
VIX.INDX Exposure
-0.0022008347238801533
UUP.US Exposure
-0.00236011867656777
TIP.US Exposure
0.03426787990736599
Idiosyncratic Exposure
0.06831740218222913
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
82.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.0%

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 →6.88%
Market Cap$4.3B
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
$0
Avg Yield on Cost
0.00%

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 →
+7.9%
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 →
+25.9%
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 →
4.5% 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 →
0.90
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares GSCI Commodity Dynamic Roll Strategy ETF a high-risk investment?

iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT.US) has an annualized volatility of 16.0% and experienced a maximum drawdown of 36.1% over the last 10 years. Its primary macro risk driver is USO.US.

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

Over the past 10 years, COMT.US has generated a Compound Annual Growth Rate (CAGR) of 8.9%. It has had a positive return in 70% 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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