DBO vs. USMV
Compare and contrast key facts about Invesco DB Oil Fund (DBO) and iShares Edge MSCI Min Vol USA ETF (USMV).
DBO and USMV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DBO is a passively managed fund by Invesco that tracks the performance of the DBIQ Optimum Yield Crude Oil Index Excess Return. It was launched on Jan 5, 2007. USMV is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Oct 18, 2011. Both DBO and USMV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DBO or USMV.
Key characteristics
| DBO | USMV | |
|---|---|---|
| YTD Return | 1.29% | 20.86% |
| 1Y Return | -8.16% | 26.81% |
| 3Y Return (Ann) | 0.17% | 7.86% |
| 5Y Return (Ann) | 8.15% | 9.66% |
| 10Y Return (Ann) | -3.87% | 10.97% |
| Sharpe Ratio | -0.34 | 3.37 |
| Sortino Ratio | -0.32 | 4.78 |
| Omega Ratio | 0.96 | 1.64 |
| Calmar Ratio | -0.12 | 5.64 |
| Martin Ratio | -1.17 | 21.98 |
| Ulcer Index | 7.22% | 1.29% |
| Daily Std Dev | 24.55% | 8.38% |
| Max Drawdown | -90.18% | -33.10% |
| Current Drawdown | -72.01% | -0.35% |
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.
Performance
DBO vs. USMV - Performance Comparison
In the year-to-date period, DBO achieves a 1.29% return, which is significantly lower than USMV's 20.86% return. Over the past 10 years, DBO has underperformed USMV with an annualized return of -3.87%, while USMV has yielded a comparatively higher 10.97% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DBO vs. USMV - Expense Ratio Comparison
DBO has a 0.78% expense ratio, which is higher than USMV's 0.15% expense ratio.
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.
Dividends
DBO vs. USMV - Dividend Comparison
DBO's dividend yield for the trailing twelve months is around 4.54%, more than USMV's 1.61% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBO Invesco DB Oil Fund | 4.54% | 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 | 1.61% | 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.
Volatility
DBO vs. USMV - Volatility Comparison
Invesco DB Oil Fund (DBO) has a higher volatility of 9.23% compared to iShares Edge MSCI Min Vol USA ETF (USMV) at 2.74%. 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.