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

Key characteristics


DBASPY
YTD Return23.38%26.77%
1Y Return19.68%37.43%
3Y Return (Ann)10.88%10.15%
5Y Return (Ann)11.06%15.86%
10Y Return (Ann)0.65%13.33%
Sharpe Ratio1.173.06
Sortino Ratio1.664.08
Omega Ratio1.211.58
Calmar Ratio0.454.44
Martin Ratio3.7020.11
Ulcer Index5.79%1.85%
Daily Std Dev18.26%12.18%
Max Drawdown-67.97%-55.19%
Current Drawdown-34.54%-0.31%

Correlation

-0.50.00.51.00.2

The correlation between DBA and SPY is 0.21, 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. SPY - Performance Comparison

In the year-to-date period, DBA achieves a 23.38% return, which is significantly lower than SPY's 26.77% return. Over the past 10 years, DBA has underperformed SPY with an annualized return of 0.65%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
7.97%
14.78%
DBA
SPY

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DBA vs. SPY - Expense Ratio Comparison

DBA has a 0.94% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

DBA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB Agriculture Fund (DBA) and SPDR S&P 500 ETF (SPY). 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 1.17, compared to the broader market-2.000.002.004.006.001.17
Sortino ratio
The chart of Sortino ratio for DBA, currently valued at 1.66, compared to the broader market-2.000.002.004.006.008.0010.0012.001.66
Omega ratio
The chart of Omega ratio for DBA, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for DBA, currently valued at 0.45, compared to the broader market0.005.0010.0015.000.45
Martin ratio
The chart of Martin ratio for DBA, currently valued at 3.70, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.70
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market-2.000.002.004.006.008.0010.0012.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.005.0010.0015.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.11

DBA vs. SPY - Sharpe Ratio Comparison

The current DBA Sharpe Ratio is 1.17, which is lower than the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of DBA and SPY, 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
1.17
3.06
DBA
SPY

Dividends

DBA vs. SPY - Dividend Comparison

DBA's dividend yield for the trailing twelve months is around 3.75%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
DBA
Invesco DB Agriculture Fund
3.75%4.63%0.48%0.00%0.00%1.55%1.06%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

DBA vs. SPY - Drawdown Comparison

The maximum DBA drawdown since its inception was -67.97%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DBA and SPY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-34.54%
-0.31%
DBA
SPY

Volatility

DBA vs. SPY - Volatility Comparison

Invesco DB Agriculture Fund (DBA) and SPDR S&P 500 ETF (SPY) have volatilities of 4.04% and 3.88%, 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.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.04%
3.88%
DBA
SPY