PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DBA vs. UUP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DBAUUP
YTD Return23.77%10.71%
1Y Return20.65%8.78%
3Y Return (Ann)10.98%8.09%
5Y Return (Ann)11.22%4.15%
10Y Return (Ann)0.68%3.64%
Sharpe Ratio1.101.15
Sortino Ratio1.571.68
Omega Ratio1.201.21
Calmar Ratio0.421.24
Martin Ratio3.464.48
Ulcer Index5.79%1.57%
Daily Std Dev18.21%6.16%
Max Drawdown-67.97%-22.19%
Current Drawdown-34.34%0.00%

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.

Performance

DBA vs. UUP - Performance Comparison

In the year-to-date period, DBA achieves a 23.77% return, which is significantly higher than UUP's 10.71% return. Over the past 10 years, DBA has underperformed UUP with an annualized return of 0.68%, while UUP has yielded a comparatively higher 3.64% 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%JuneJulyAugustSeptemberOctoberNovember
7.59%
5.27%
DBA
UUP

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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%

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.


DBA
Sharpe ratio
The chart of Sharpe ratio for DBA, currently valued at 1.10, compared to the broader market-2.000.002.004.006.001.10
Sortino ratio
The chart of Sortino ratio for DBA, currently valued at 1.57, compared to the broader market-2.000.002.004.006.008.0010.0012.001.57
Omega ratio
The chart of Omega ratio for DBA, currently valued at 1.20, compared to the broader market1.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for DBA, currently valued at 0.42, compared to the broader market0.005.0010.0015.000.42
Martin ratio
The chart of Martin ratio for DBA, currently valued at 3.46, compared to the broader market0.0020.0040.0060.0080.00100.003.46
UUP
Sharpe ratio
The chart of Sharpe ratio for UUP, currently valued at 1.15, compared to the broader market-2.000.002.004.006.001.15
Sortino ratio
The chart of Sortino ratio for UUP, currently valued at 1.68, compared to the broader market-2.000.002.004.006.008.0010.0012.001.68
Omega ratio
The chart of Omega ratio for UUP, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for UUP, currently valued at 1.24, compared to the broader market0.005.0010.0015.001.24
Martin ratio
The chart of Martin ratio for UUP, currently valued at 4.48, compared to the broader market0.0020.0040.0060.0080.00100.004.48

DBA vs. UUP - Sharpe Ratio Comparison

The current DBA Sharpe Ratio is 1.10, which is comparable to the UUP Sharpe Ratio of 1.15. 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
1.10
1.15
DBA
UUP

Dividends

DBA vs. UUP - Dividend Comparison

DBA's dividend yield for the trailing twelve months is around 3.74%, less than UUP's 5.82% yield.


TTM2023202220212020201920182017
DBA
Invesco DB Agriculture Fund
3.74%4.63%0.48%0.00%0.00%1.55%1.06%0.00%
UUP
Invesco DB US Dollar Index Bullish Fund
5.82%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
-34.34%
0
DBA
UUP

Volatility

DBA vs. UUP - Volatility Comparison

Invesco DB Agriculture Fund (DBA) has a higher volatility of 3.98% compared to Invesco DB US Dollar Index Bullish Fund (UUP) at 2.36%. 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
3.98%
2.36%
DBA
UUP