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

Performance

DBA vs. UUP - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.33%
4.80%
DBA
UUP

Returns By Period

In the year-to-date period, DBA achieves a 27.10% return, which is significantly higher than UUP's 11.00% return. Over the past 10 years, DBA has underperformed UUP with an annualized return of 1.02%, while UUP has yielded a comparatively higher 3.57% annualized return.


DBA

YTD

27.10%

1M

3.94%

6M

9.33%

1Y

24.28%

5Y (annualized)

11.95%

10Y (annualized)

1.02%

UUP

YTD

11.00%

1M

3.12%

6M

4.81%

1Y

9.40%

5Y (annualized)

4.13%

10Y (annualized)

3.57%

Key characteristics


DBAUUP
Sharpe Ratio1.351.60
Sortino Ratio1.862.41
Omega Ratio1.241.29
Calmar Ratio0.521.67
Martin Ratio4.236.07
Ulcer Index5.79%1.57%
Daily Std Dev18.21%5.96%
Max Drawdown-67.97%-22.19%
Current Drawdown-32.57%-0.13%

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DBA vs. UUP - Expense Ratio Comparison

DBA has a 0.94% expense ratio, which is higher than UUP's 0.75% 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 UUP: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Correlation

-0.50.00.51.0-0.2

The correlation between DBA and UUP is -0.24. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

DBA vs. UUP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB Agriculture Fund (DBA) and Invesco DB US Dollar Index Bullish Fund (UUP). 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 1.35, compared to the broader market0.002.004.001.351.60
The chart of Sortino ratio for DBA, currently valued at 1.86, compared to the broader market-2.000.002.004.006.008.0010.0012.001.862.41
The chart of Omega ratio for DBA, currently valued at 1.24, compared to the broader market0.501.001.502.002.503.001.241.29
The chart of Calmar ratio for DBA, currently valued at 0.52, compared to the broader market0.005.0010.0015.000.521.67
The chart of Martin ratio for DBA, currently valued at 4.23, compared to the broader market0.0020.0040.0060.0080.00100.004.236.07
DBA
UUP

The current DBA Sharpe Ratio is 1.35, which is comparable to the UUP Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of DBA and UUP, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.35
1.60
DBA
UUP

Dividends

DBA vs. UUP - Dividend Comparison

DBA's dividend yield for the trailing twelve months is around 3.64%, less than UUP's 5.81% yield.


TTM2023202220212020201920182017
DBA
Invesco DB Agriculture Fund
3.64%4.63%0.48%0.00%0.00%1.55%1.06%0.00%
UUP
Invesco DB US Dollar Index Bullish Fund
5.81%6.45%0.89%0.00%0.00%2.03%1.08%0.10%

Drawdowns

DBA vs. UUP - Drawdown Comparison

The maximum DBA drawdown since its inception was -67.97%, which is greater than UUP's maximum drawdown of -22.19%. Use the drawdown chart below to compare losses from any high point for DBA and UUP. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-32.57%
-0.13%
DBA
UUP

Volatility

DBA vs. UUP - Volatility Comparison

Invesco DB Agriculture Fund (DBA) has a higher volatility of 3.77% compared to Invesco DB US Dollar Index Bullish Fund (UUP) at 2.45%. This indicates that DBA's price experiences larger fluctuations and is considered to be riskier than UUP 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
3.77%
2.45%
DBA
UUP