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DBE vs. VDE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DBE and VDE is 0.31, 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

DBE vs. VDE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DB Energy Fund (DBE) and Vanguard Energy ETF (VDE). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

DBE:

-0.29

VDE:

-0.40

Sortino Ratio

DBE:

-0.30

VDE:

-0.41

Omega Ratio

DBE:

0.96

VDE:

0.94

Calmar Ratio

DBE:

-0.12

VDE:

-0.51

Martin Ratio

DBE:

-0.84

VDE:

-1.35

Ulcer Index

DBE:

8.93%

VDE:

8.05%

Daily Std Dev

DBE:

23.43%

VDE:

25.56%

Max Drawdown

DBE:

-86.69%

VDE:

-74.16%

Current Drawdown

DBE:

-62.64%

VDE:

-14.90%

Returns By Period

In the year-to-date period, DBE achieves a -3.72% return, which is significantly higher than VDE's -4.81% return. Over the past 10 years, DBE has underperformed VDE with an annualized return of 1.50%, while VDE has yielded a comparatively higher 3.75% annualized return.


DBE

YTD

-3.72%

1M

1.36%

6M

-1.42%

1Y

-6.84%

3Y*

-8.62%

5Y*

18.49%

10Y*

1.50%

VDE

YTD

-4.81%

1M

3.89%

6M

-13.61%

1Y

-10.07%

3Y*

4.10%

5Y*

22.24%

10Y*

3.75%

*Annualized

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Invesco DB Energy Fund

Vanguard Energy ETF

DBE vs. VDE - Expense Ratio Comparison

DBE has a 0.78% expense ratio, which is higher than VDE's 0.10% expense ratio.


Risk-Adjusted Performance

DBE vs. VDE — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DBE
The Risk-Adjusted Performance Rank of DBE is 88
Overall Rank
The Sharpe Ratio Rank of DBE is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of DBE is 88
Sortino Ratio Rank
The Omega Ratio Rank of DBE is 88
Omega Ratio Rank
The Calmar Ratio Rank of DBE is 1111
Calmar Ratio Rank
The Martin Ratio Rank of DBE is 66
Martin Ratio Rank

VDE
The Risk-Adjusted Performance Rank of VDE is 44
Overall Rank
The Sharpe Ratio Rank of VDE is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of VDE is 66
Sortino Ratio Rank
The Omega Ratio Rank of VDE is 55
Omega Ratio Rank
The Calmar Ratio Rank of VDE is 22
Calmar Ratio Rank
The Martin Ratio Rank of VDE is 22
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DBE vs. VDE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB Energy Fund (DBE) and Vanguard Energy ETF (VDE). 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.


The current DBE Sharpe Ratio is -0.29, which is comparable to the VDE Sharpe Ratio of -0.40. The chart below compares the historical Sharpe Ratios of DBE and VDE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

DBE vs. VDE - Dividend Comparison

DBE's dividend yield for the trailing twelve months is around 6.56%, more than VDE's 3.42% yield.


TTM20242023202220212020201920182017201620152014
DBE
Invesco DB Energy Fund
6.56%6.32%3.87%0.75%0.00%0.00%1.79%1.67%0.00%0.00%0.00%0.00%
VDE
Vanguard Energy ETF
3.42%3.23%3.34%3.65%4.13%4.76%3.59%3.35%2.90%2.31%3.17%1.98%

Drawdowns

DBE vs. VDE - Drawdown Comparison

The maximum DBE drawdown since its inception was -86.69%, which is greater than VDE's maximum drawdown of -74.16%. Use the drawdown chart below to compare losses from any high point for DBE and VDE. For additional features, visit the drawdowns tool.


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Volatility

DBE vs. VDE - Volatility Comparison

Invesco DB Energy Fund (DBE) has a higher volatility of 6.36% compared to Vanguard Energy ETF (VDE) at 6.01%. This indicates that DBE's price experiences larger fluctuations and is considered to be riskier than VDE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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