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DBO vs. USMV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DBO and USMV is 0.19, 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.


-0.50.00.51.00.2

Performance

DBO vs. USMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DB Oil Fund (DBO) and iShares Edge MSCI Min Vol USA ETF (USMV). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
-37.11%
350.13%
DBO
USMV

Key characteristics

Sharpe Ratio

DBO:

0.03

USMV:

1.89

Sortino Ratio

DBO:

0.21

USMV:

2.62

Omega Ratio

DBO:

1.02

USMV:

1.34

Calmar Ratio

DBO:

0.01

USMV:

2.76

Martin Ratio

DBO:

0.10

USMV:

11.38

Ulcer Index

DBO:

7.29%

USMV:

1.44%

Daily Std Dev

DBO:

23.49%

USMV:

8.66%

Max Drawdown

DBO:

-90.18%

USMV:

-33.10%

Current Drawdown

DBO:

-71.23%

USMV:

-5.93%

Returns By Period

In the year-to-date period, DBO achieves a 4.10% return, which is significantly lower than USMV's 15.43% return. Over the past 10 years, DBO has underperformed USMV with an annualized return of -0.79%, while USMV has yielded a comparatively higher 10.17% annualized return.


DBO

YTD

4.10%

1M

0.84%

6M

-7.95%

1Y

-0.82%

5Y*

7.66%

10Y*

-0.79%

USMV

YTD

15.43%

1M

-2.77%

6M

6.78%

1Y

16.14%

5Y*

8.09%

10Y*

10.17%

Compare stocks, funds, or ETFs

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


DBO vs. USMV - Expense Ratio Comparison

DBO has a 0.78% expense ratio, which is higher than USMV's 0.15% expense ratio.


DBO
Invesco DB Oil Fund
Expense ratio chart for DBO: current value at 0.78% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.78%
Expense ratio chart for USMV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

DBO vs. USMV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB Oil Fund (DBO) and iShares Edge MSCI Min Vol USA ETF (USMV). 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 DBO, currently valued at 0.03, compared to the broader market0.002.004.000.031.89
The chart of Sortino ratio for DBO, currently valued at 0.21, compared to the broader market-2.000.002.004.006.008.0010.000.212.62
The chart of Omega ratio for DBO, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.001.021.34
The chart of Calmar ratio for DBO, currently valued at 0.01, compared to the broader market0.005.0010.0015.000.012.76
The chart of Martin ratio for DBO, currently valued at 0.10, compared to the broader market0.0020.0040.0060.0080.00100.000.1011.38
DBO
USMV

The current DBO Sharpe Ratio is 0.03, which is lower than the USMV Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of DBO and USMV, 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.03
1.89
DBO
USMV

Dividends

DBO vs. USMV - Dividend Comparison

DBO has not paid dividends to shareholders, while USMV's dividend yield for the trailing twelve months is around 2.16%.


TTM20232022202120202019201820172016201520142013
DBO
Invesco DB Oil Fund
0.00%4.59%0.66%0.00%0.00%1.63%1.58%0.00%0.00%0.00%0.00%0.00%
USMV
iShares Edge MSCI Min Vol USA ETF
1.68%1.82%1.62%1.26%1.81%1.88%2.12%1.77%2.22%2.02%1.88%2.18%

Drawdowns

DBO vs. USMV - Drawdown Comparison

The maximum DBO drawdown since its inception was -90.18%, which is greater than USMV's maximum drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for DBO and USMV. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-50.64%
-5.93%
DBO
USMV

Volatility

DBO vs. USMV - Volatility Comparison

Invesco DB Oil Fund (DBO) has a higher volatility of 6.53% compared to iShares Edge MSCI Min Vol USA ETF (USMV) at 3.06%. This indicates that DBO's price experiences larger fluctuations and is considered to be riskier than USMV 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%12.00%JulyAugustSeptemberOctoberNovemberDecember
6.53%
3.06%
DBO
USMV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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