CNQ vs. DBC
Compare and contrast key facts about Canadian Natural Resources Limited (CNQ) and Invesco DB Commodity Index Tracking Fund (DBC).
DBC is a passively managed fund by Invesco that tracks the performance of the DBIQ Optimum Yield Diversified Commodity Index Excess Return. It was launched on Feb 3, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CNQ or DBC.
Performance
CNQ vs. DBC - Performance Comparison
Returns By Period
In the year-to-date period, CNQ achieves a 6.32% return, which is significantly higher than DBC's 1.59% return. Over the past 10 years, CNQ has outperformed DBC with an annualized return of 10.88%, while DBC has yielded a comparatively lower 1.13% annualized return.
CNQ
6.32%
-5.31%
-10.65%
5.47%
26.00%
10.88%
DBC
1.59%
0.27%
-6.00%
-3.13%
9.01%
1.13%
Key characteristics
| CNQ | DBC | |
|---|---|---|
| Sharpe Ratio | 0.22 | -0.13 |
| Sortino Ratio | 0.48 | -0.09 |
| Omega Ratio | 1.06 | 0.99 |
| Calmar Ratio | 0.28 | -0.04 |
| Martin Ratio | 0.56 | -0.37 |
| Ulcer Index | 10.53% | 5.15% |
| Daily Std Dev | 26.97% | 14.45% |
| Max Drawdown | -81.11% | -76.36% |
| Current Drawdown | -16.27% | -46.80% |
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Correlation
The correlation between CNQ and DBC is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
CNQ vs. DBC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Canadian Natural Resources Limited (CNQ) 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.
Dividends
CNQ vs. DBC - Dividend Comparison
CNQ's dividend yield for the trailing twelve months is around 4.54%, less than DBC's 4.86% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CNQ Canadian Natural Resources Limited | 4.54% | 4.17% | 6.31% | 3.70% | 5.15% | 3.42% | 5.92% | 2.34% | 2.19% | 3.22% | 2.60% | 1.62% |
DBC Invesco DB Commodity Index Tracking Fund | 4.86% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
CNQ vs. DBC - Drawdown Comparison
The maximum CNQ drawdown since its inception was -81.11%, which is greater than DBC's maximum drawdown of -76.36%. Use the drawdown chart below to compare losses from any high point for CNQ and DBC. For additional features, visit the drawdowns tool.
Volatility
CNQ vs. DBC - Volatility Comparison
Canadian Natural Resources Limited (CNQ) and Invesco DB Commodity Index Tracking Fund (DBC) have volatilities of 5.80% and 5.67%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.