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

Key characteristics


DBAFALN
YTD Return21.26%7.73%
1Y Return18.68%14.46%
3Y Return (Ann)11.14%1.55%
5Y Return (Ann)10.77%5.54%
Sharpe Ratio0.942.95
Sortino Ratio1.374.53
Omega Ratio1.171.58
Calmar Ratio0.361.63
Martin Ratio2.9620.87
Ulcer Index5.77%0.69%
Daily Std Dev18.16%4.91%
Max Drawdown-67.97%-29.22%
Current Drawdown-35.67%-0.51%

Correlation

-0.50.00.51.00.1

The correlation between DBA and FALN is 0.13, 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

DBA vs. FALN - Performance Comparison

In the year-to-date period, DBA achieves a 21.26% return, which is significantly higher than FALN's 7.73% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.08%
5.16%
DBA
FALN

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DBA vs. FALN - Expense Ratio Comparison

DBA has a 0.94% expense ratio, which is higher than FALN's 0.25% 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 FALN: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

DBA vs. FALN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB Agriculture Fund (DBA) and iShares Fallen Angels USD Bond ETF (FALN). 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.


DBA
Sharpe ratio
The chart of Sharpe ratio for DBA, currently valued at 0.94, compared to the broader market-2.000.002.004.006.000.94
Sortino ratio
The chart of Sortino ratio for DBA, currently valued at 1.37, compared to the broader market0.005.0010.001.37
Omega ratio
The chart of Omega ratio for DBA, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for DBA, currently valued at 1.38, compared to the broader market0.005.0010.0015.001.38
Martin ratio
The chart of Martin ratio for DBA, currently valued at 2.96, compared to the broader market0.0020.0040.0060.0080.00100.002.96
FALN
Sharpe ratio
The chart of Sharpe ratio for FALN, currently valued at 2.95, compared to the broader market-2.000.002.004.006.002.95
Sortino ratio
The chart of Sortino ratio for FALN, currently valued at 4.53, compared to the broader market0.005.0010.004.53
Omega ratio
The chart of Omega ratio for FALN, currently valued at 1.58, compared to the broader market0.501.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for FALN, currently valued at 1.63, compared to the broader market0.005.0010.0015.001.63
Martin ratio
The chart of Martin ratio for FALN, currently valued at 20.87, compared to the broader market0.0020.0040.0060.0080.00100.0020.87

DBA vs. FALN - Sharpe Ratio Comparison

The current DBA Sharpe Ratio is 0.94, which is lower than the FALN Sharpe Ratio of 2.95. The chart below compares the historical Sharpe Ratios of DBA and FALN, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
0.94
2.95
DBA
FALN

Dividends

DBA vs. FALN - Dividend Comparison

DBA's dividend yield for the trailing twelve months is around 3.82%, less than FALN's 6.09% yield.


TTM20232022202120202019201820172016
DBA
Invesco DB Agriculture Fund
3.82%4.63%0.48%0.00%0.00%1.55%1.06%0.00%0.00%
FALN
iShares Fallen Angels USD Bond ETF
6.09%5.38%5.08%3.39%5.14%5.35%5.97%6.99%3.54%

Drawdowns

DBA vs. FALN - Drawdown Comparison

The maximum DBA drawdown since its inception was -67.97%, which is greater than FALN's maximum drawdown of -29.22%. Use the drawdown chart below to compare losses from any high point for DBA and FALN. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.27%
-0.51%
DBA
FALN

Volatility

DBA vs. FALN - Volatility Comparison

Invesco DB Agriculture Fund (DBA) has a higher volatility of 3.44% compared to iShares Fallen Angels USD Bond ETF (FALN) at 1.27%. This indicates that DBA's price experiences larger fluctuations and is considered to be riskier than FALN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.44%
1.27%
DBA
FALN