CMG vs. DBC
CMG (Chipotle Mexican Grill, Inc.) is a stock, while DBC (Invesco DB Commodity Index Tracking Fund) is Commodities fund tracking the DBIQ Optimum Yield Diversified Commodity Index Excess Return. Over the past 10 years, CMG returned 16.29%/yr vs 8.42%/yr for DBC. At a 0.12 correlation, their price movements are largely independent.
Performance
CMG vs. DBC - Performance Comparison
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Returns By Period
In the year-to-date period, CMG achieves a -1.00% return, which is significantly lower than DBC's 26.70% return. Over the past 10 years, CMG has outperformed DBC with an annualized return of 16.29%, while DBC has yielded a comparatively lower 8.42% annualized return.
CMG
- 1D
- 3.91%
- 1M
- 13.65%
- 6M
- -9.20%
- YTD
- -1.00%
- 1Y
- -34.59%
- 3Y*
- -3.78%
- 5Y*
- 2.48%
- 10Y*
- 16.29%
DBC
- 1D
- 2.94%
- 1M
- -0.77%
- 6M
- 22.16%
- YTD
- 26.70%
- 1Y
- 30.09%
- 3Y*
- 11.04%
- 5Y*
- 11.23%
- 10Y*
- 8.42%
CMG vs. DBC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CMG Chipotle Mexican Grill, Inc. | -1.00% | -38.64% | 31.83% | 64.83% | -20.64% | 26.07% | 65.65% | 93.87% | 49.39% | -23.40% |
DBC Invesco DB Commodity Index Tracking Fund | 26.70% | 8.10% | 2.18% | -6.19% | 19.34% | 41.36% | -7.84% | 11.84% | -11.63% | 4.86% |
Correlation
The correlation between CMG and DBC is -0.17, 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 | -0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.09 |
Correlation (All Time) Calculated using the full available price history since Feb 6, 2006 | 0.12 |
The correlation between CMG and DBC shifts across timeframes, from -0.17 (1 year) to 0.12 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CMG vs. DBC — Risk / Return Rank
CMG
DBC
CMG vs. DBC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Chipotle Mexican Grill, Inc. (CMG) and Invesco DB Commodity Index Tracking Fund (DBC). 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.
| CMG | DBC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.49 | ||
| Sortino ratioReturn per unit of downside risk | -3.29 | ||
| Omega ratioGain probability vs. loss probability | 0.85 | 1.28 | -0.42 |
| Calmar ratioReturn relative to maximum drawdown | -0.71 | 1.83 | -2.54 |
| Martin ratioReturn relative to average drawdown | -1.03 | 6.41 | -7.44 |
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Drawdowns
CMG vs. DBC - Drawdown Comparison
The maximum CMG drawdown since its inception was -74.61%, roughly equal to the maximum DBC drawdown of -76.36%. Use the drawdown chart below to compare losses from any high point for CMG and DBC.
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Drawdown Indicators
| CMG | DBC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -74.61% | -76.36% | +1.75% |
Max Drawdown (1Y)Largest decline over 1 year | -48.60% | -16.54% | -32.06% |
Max Drawdown (3Y)Largest decline over 3 years | -58.89% | -16.54% | -42.35% |
Max Drawdown (5Y)Largest decline over 5 years | -58.89% | -27.34% | -31.55% |
Max Drawdown (10Y)Largest decline over 10 years | -58.89% | -41.71% | -17.18% |
Current DrawdownCurrent decline from peak | -46.57% | -26.71% | -19.86% |
Average DrawdownAverage peak-to-trough decline | -21.48% | -46.13% | +24.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.91% | 4.71% | +30.20% |
Volatility
CMG vs. DBC - Volatility Comparison
Chipotle Mexican Grill, Inc. (CMG) has a higher volatility of 12.43% compared to Invesco DB Commodity Index Tracking Fund (DBC) at 6.07%. This indicates that CMG's price experiences larger fluctuations and is considered to be riskier than DBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMG | DBC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.43% | 6.07% | +6.36% |
Volatility (6M)Calculated over the trailing 6-month period | 25.84% | 16.67% | +9.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 39.56% | 18.84% | +20.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 33.95% | 19.28% | +14.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 35.73% | 17.80% | +17.93% |
Dividends
CMG vs. DBC - Dividend Comparison
CMG has not paid dividends to shareholders, while DBC's dividend yield for the trailing twelve months is around 2.63%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
CMG Chipotle Mexican Grill, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DBC Invesco DB Commodity Index Tracking Fund | 2.63% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% |
Frequently Asked Questions
CMG and DBC have a correlation of -0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CMG has higher volatility (12.43%) compared to DBC (6.07%). In terms of maximum drawdown, CMG dropped -74.61% vs DBC's -76.36%.
DBC currently has the higher Sharpe Ratio (1.61 vs -0.88), 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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