DBE vs. COMT
Compare and contrast key facts about Invesco DB Energy Fund (DBE) and iShares Commodities Select Strategy ETF (COMT).
DBE and COMT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DBE is a passively managed fund by Invesco that tracks the performance of the DBIQ Optimum Yield Energy Index. It was launched on Jan 5, 2007. COMT is an actively managed fund by iShares. It was launched on Oct 15, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DBE or COMT.
Performance
DBE vs. COMT - Performance Comparison
Returns By Period
In the year-to-date period, DBE achieves a 1.93% return, which is significantly lower than COMT's 5.50% return. Over the past 10 years, DBE has underperformed COMT with an annualized return of -0.68%, while COMT has yielded a comparatively higher 0.72% annualized return.
DBE
1.93%
1.35%
-3.02%
-5.84%
7.73%
-0.68%
COMT
5.50%
0.34%
-2.97%
1.31%
6.59%
0.72%
Key characteristics
| DBE | COMT | |
|---|---|---|
| Sharpe Ratio | -0.27 | 0.09 |
| Sortino Ratio | -0.24 | 0.22 |
| Omega Ratio | 0.97 | 1.03 |
| Calmar Ratio | -0.09 | 0.05 |
| Martin Ratio | -0.77 | 0.29 |
| Ulcer Index | 7.59% | 4.58% |
| Daily Std Dev | 21.55% | 14.79% |
| Max Drawdown | -86.69% | -51.89% |
| Current Drawdown | -61.58% | -21.14% |
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DBE vs. COMT - Expense Ratio Comparison
DBE has a 0.78% expense ratio, which is higher than COMT's 0.48% expense ratio.
Correlation
The correlation between DBE and COMT is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
DBE vs. COMT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB Energy Fund (DBE) and iShares Commodities Select Strategy ETF (COMT). 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.
Dividends
DBE vs. COMT - Dividend Comparison
DBE's dividend yield for the trailing twelve months is around 3.79%, less than COMT's 4.92% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
DBE Invesco DB Energy Fund | 3.79% | 3.87% | 0.75% | 0.00% | 0.00% | 1.79% | 1.67% | 0.00% | 0.00% | 0.00% | 0.00% |
COMT iShares Commodities Select Strategy ETF | 4.92% | 5.19% | 29.79% | 17.79% | 0.36% | 2.61% | 11.65% | 5.16% | 0.52% | 1.44% | 0.56% |
Drawdowns
DBE vs. COMT - Drawdown Comparison
The maximum DBE drawdown since its inception was -86.69%, which is greater than COMT's maximum drawdown of -51.89%. Use the drawdown chart below to compare losses from any high point for DBE and COMT. For additional features, visit the drawdowns tool.
Volatility
DBE vs. COMT - Volatility Comparison
Invesco DB Energy Fund (DBE) has a higher volatility of 8.15% compared to iShares Commodities Select Strategy ETF (COMT) at 5.35%. This indicates that DBE's price experiences larger fluctuations and is considered to be riskier than COMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.