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DBP vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DBP and GLD is 0.96, 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.


-0.50.00.51.01.0

Performance

DBP vs. GLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DB Precious Metals Fund (DBP) and SPDR Gold Trust (GLD). The values are adjusted to include any dividend payments, if applicable.

200.00%250.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
192.20%
302.36%
DBP
GLD

Key characteristics

Sharpe Ratio

DBP:

1.60

GLD:

1.91

Sortino Ratio

DBP:

2.19

GLD:

2.53

Omega Ratio

DBP:

1.28

GLD:

1.33

Calmar Ratio

DBP:

1.09

GLD:

3.54

Martin Ratio

DBP:

8.19

GLD:

10.08

Ulcer Index

DBP:

3.38%

GLD:

2.85%

Daily Std Dev

DBP:

17.31%

GLD:

15.01%

Max Drawdown

DBP:

-53.89%

GLD:

-45.56%

Current Drawdown

DBP:

-6.85%

GLD:

-5.98%

Returns By Period

The year-to-date returns for both investments are quite close, with DBP having a 26.53% return and GLD slightly higher at 26.64%. Over the past 10 years, DBP has underperformed GLD with an annualized return of 6.51%, while GLD has yielded a comparatively higher 7.96% annualized return.


DBP

YTD

26.53%

1M

-1.23%

6M

10.16%

1Y

26.75%

5Y*

10.45%

10Y*

6.51%

GLD

YTD

26.64%

1M

-1.03%

6M

12.72%

1Y

27.80%

5Y*

11.67%

10Y*

7.96%

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DBP vs. GLD - Expense Ratio Comparison

DBP has a 0.78% expense ratio, which is higher than GLD's 0.40% expense ratio.


DBP
Invesco DB Precious Metals Fund
Expense ratio chart for DBP: 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 GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

DBP vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB Precious Metals Fund (DBP) and SPDR Gold Trust (GLD). 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 DBP, currently valued at 1.60, compared to the broader market0.002.004.001.601.91
The chart of Sortino ratio for DBP, currently valued at 2.19, compared to the broader market-2.000.002.004.006.008.0010.002.192.53
The chart of Omega ratio for DBP, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.33
The chart of Calmar ratio for DBP, currently valued at 1.09, compared to the broader market0.005.0010.0015.001.093.54
The chart of Martin ratio for DBP, currently valued at 8.19, compared to the broader market0.0020.0040.0060.0080.00100.008.1910.08
DBP
GLD

The current DBP Sharpe Ratio is 1.60, which is comparable to the GLD Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of DBP and GLD, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.60
1.91
DBP
GLD

Dividends

DBP vs. GLD - Dividend Comparison

Neither DBP nor GLD has paid dividends to shareholders.


TTM2023202220212020201920182017
DBP
Invesco DB Precious Metals Fund
0.00%4.47%0.45%0.00%0.00%1.26%1.24%0.12%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DBP vs. GLD - Drawdown Comparison

The maximum DBP drawdown since its inception was -53.89%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for DBP and GLD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.85%
-5.98%
DBP
GLD

Volatility

DBP vs. GLD - Volatility Comparison

Invesco DB Precious Metals Fund (DBP) has a higher volatility of 5.69% compared to SPDR Gold Trust (GLD) at 5.21%. This indicates that DBP's price experiences larger fluctuations and is considered to be riskier than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.69%
5.21%
DBP
GLD
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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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