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

Performance

DBA vs. DBC - Performance Comparison

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

-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
6.82%
-3.50%
DBA
DBC

Returns By Period

In the year-to-date period, DBA achieves a 26.86% return, which is significantly higher than DBC's 2.27% return. Over the past 10 years, DBA has underperformed DBC with an annualized return of 1.05%, while DBC has yielded a comparatively higher 1.29% annualized return.


DBA

YTD

26.86%

1M

4.16%

6M

6.82%

1Y

24.66%

5Y (annualized)

11.90%

10Y (annualized)

1.05%

DBC

YTD

2.27%

1M

-1.10%

6M

-3.51%

1Y

-2.20%

5Y (annualized)

9.16%

10Y (annualized)

1.29%

Key characteristics


DBADBC
Sharpe Ratio1.32-0.21
Sortino Ratio1.83-0.20
Omega Ratio1.240.98
Calmar Ratio0.51-0.06
Martin Ratio4.15-0.60
Ulcer Index5.79%5.10%
Daily Std Dev18.21%14.40%
Max Drawdown-67.97%-76.36%
Current Drawdown-32.70%-46.45%

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DBA vs. DBC - Expense Ratio Comparison

DBA has a 0.94% expense ratio, which is higher than DBC's 0.85% expense ratio.


DBA
Invesco DB Agriculture Fund
Expense ratio chart for DBA: current value at 0.94% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.94%
Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%

Correlation

-0.50.00.51.00.5

The correlation between DBA and DBC is 0.52, 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

DBA vs. DBC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB Agriculture Fund (DBA) 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.


Sharpe ratio
The chart of Sharpe ratio for DBA, currently valued at 1.32, compared to the broader market0.002.004.001.32-0.21
The chart of Sortino ratio for DBA, currently valued at 1.83, compared to the broader market-2.000.002.004.006.008.0010.0012.001.83-0.20
The chart of Omega ratio for DBA, currently valued at 1.24, compared to the broader market0.501.001.502.002.503.001.240.98
The chart of Calmar ratio for DBA, currently valued at 0.51, compared to the broader market0.005.0010.0015.000.51-0.06
The chart of Martin ratio for DBA, currently valued at 4.15, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.15-0.60
DBA
DBC

The current DBA Sharpe Ratio is 1.32, which is higher than the DBC Sharpe Ratio of -0.21. The chart below compares the historical Sharpe Ratios of DBA 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.

Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
1.32
-0.21
DBA
DBC

Dividends

DBA vs. DBC - Dividend Comparison

DBA's dividend yield for the trailing twelve months is around 3.65%, less than DBC's 4.83% yield.


TTM202320222021202020192018
DBA
Invesco DB Agriculture Fund
3.65%4.63%0.48%0.00%0.00%1.55%1.06%
DBC
Invesco DB Commodity Index Tracking Fund
4.83%4.94%0.59%0.00%0.00%1.59%1.30%

Drawdowns

DBA vs. DBC - Drawdown Comparison

The maximum DBA drawdown since its inception was -67.97%, smaller than the maximum DBC drawdown of -76.36%. Use the drawdown chart below to compare losses from any high point for DBA and DBC. For additional features, visit the drawdowns tool.


-50.00%-45.00%-40.00%-35.00%JuneJulyAugustSeptemberOctoberNovember
-32.70%
-46.45%
DBA
DBC

Volatility

DBA vs. DBC - Volatility Comparison

The current volatility for Invesco DB Agriculture Fund (DBA) is 3.76%, while Invesco DB Commodity Index Tracking Fund (DBC) has a volatility of 5.41%. This indicates that DBA experiences smaller price fluctuations and is considered to be less risky than DBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.76%
5.41%
DBA
DBC