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CNQ vs. DBC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CNQ and DBC is 0.33, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

CNQ vs. DBC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Canadian Natural Resources Limited (CNQ) and Invesco DB Commodity Index Tracking Fund (DBC). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

CNQ:

-0.43

DBC:

-0.22

Sortino Ratio

CNQ:

-0.50

DBC:

-0.36

Omega Ratio

CNQ:

0.94

DBC:

0.96

Calmar Ratio

CNQ:

-0.43

DBC:

-0.11

Martin Ratio

CNQ:

-1.04

DBC:

-0.86

Ulcer Index

CNQ:

14.82%

DBC:

6.16%

Daily Std Dev

CNQ:

31.84%

DBC:

16.10%

Max Drawdown

CNQ:

-81.12%

DBC:

-76.36%

Current Drawdown

CNQ:

-20.77%

DBC:

-46.41%

Returns By Period

In the year-to-date period, CNQ achieves a 1.95% return, which is significantly higher than DBC's 0.14% return. Over the past 10 years, CNQ has outperformed DBC with an annualized return of 12.54%, while DBC has yielded a comparatively lower 3.34% annualized return.


CNQ

YTD

1.95%

1M

7.25%

6M

-8.54%

1Y

-13.46%

3Y*

4.20%

5Y*

34.69%

10Y*

12.54%

DBC

YTD

0.14%

1M

1.33%

6M

-0.03%

1Y

-3.45%

3Y*

-5.44%

5Y*

15.56%

10Y*

3.34%

*Annualized

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Risk-Adjusted Performance

CNQ vs. DBC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CNQ
The Risk-Adjusted Performance Rank of CNQ is 2525
Overall Rank
The Sharpe Ratio Rank of CNQ is 2828
Sharpe Ratio Rank
The Sortino Ratio Rank of CNQ is 2323
Sortino Ratio Rank
The Omega Ratio Rank of CNQ is 2424
Omega Ratio Rank
The Calmar Ratio Rank of CNQ is 2424
Calmar Ratio Rank
The Martin Ratio Rank of CNQ is 2626
Martin Ratio Rank

DBC
The Risk-Adjusted Performance Rank of DBC is 99
Overall Rank
The Sharpe Ratio Rank of DBC is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of DBC is 77
Sortino Ratio Rank
The Omega Ratio Rank of DBC is 88
Omega Ratio Rank
The Calmar Ratio Rank of DBC is 1313
Calmar Ratio Rank
The Martin Ratio Rank of DBC is 77
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current CNQ Sharpe Ratio is -0.43, which is lower than the DBC Sharpe Ratio of -0.22. The chart below compares the historical Sharpe Ratios of CNQ and DBC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

CNQ vs. DBC - Dividend Comparison

CNQ's dividend yield for the trailing twelve months is around 5.05%, less than DBC's 5.21% yield.


TTM20242023202220212020201920182017201620152014
CNQ
Canadian Natural Resources Limited
5.05%5.02%4.17%6.31%3.70%5.15%3.42%5.92%2.34%2.19%3.18%2.57%
DBC
Invesco DB Commodity Index Tracking Fund
5.21%5.22%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%

Drawdowns

CNQ vs. DBC - Drawdown Comparison

The maximum CNQ drawdown since its inception was -81.12%, 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.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

CNQ vs. DBC - Volatility Comparison

Canadian Natural Resources Limited (CNQ) has a higher volatility of 8.51% compared to Invesco DB Commodity Index Tracking Fund (DBC) at 4.43%. This indicates that CNQ'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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