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

Key characteristics


DBPIAUM
YTD Return24.88%24.66%
1Y Return30.02%31.02%
3Y Return (Ann)8.89%11.26%
Sharpe Ratio1.862.20
Sortino Ratio2.542.92
Omega Ratio1.321.38
Calmar Ratio1.244.20
Martin Ratio10.3013.93
Ulcer Index3.07%2.31%
Daily Std Dev17.02%14.65%
Max Drawdown-53.89%-20.87%
Current Drawdown-8.06%-7.66%

Correlation

-0.50.00.51.01.0

The correlation between DBP and IAUM 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.

Performance

DBP vs. IAUM - Performance Comparison

The year-to-date returns for both stocks are quite close, with DBP having a 24.88% return and IAUM slightly lower at 24.66%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
6.12%
7.80%
DBP
IAUM

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DBP vs. IAUM - Expense Ratio Comparison

DBP has a 0.78% expense ratio, which is higher than IAUM's 0.15% 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 IAUM: 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

DBP vs. IAUM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB Precious Metals Fund (DBP) and iShares Gold Trust Micro ETF of Benef Interest (IAUM). 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.


DBP
Sharpe ratio
The chart of Sharpe ratio for DBP, currently valued at 1.86, compared to the broader market-2.000.002.004.006.001.86
Sortino ratio
The chart of Sortino ratio for DBP, currently valued at 2.54, compared to the broader market-2.000.002.004.006.008.0010.0012.002.54
Omega ratio
The chart of Omega ratio for DBP, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for DBP, currently valued at 3.57, compared to the broader market0.005.0010.0015.003.57
Martin ratio
The chart of Martin ratio for DBP, currently valued at 10.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.30
IAUM
Sharpe ratio
The chart of Sharpe ratio for IAUM, currently valued at 2.19, compared to the broader market-2.000.002.004.006.002.20
Sortino ratio
The chart of Sortino ratio for IAUM, currently valued at 2.92, compared to the broader market-2.000.002.004.006.008.0010.0012.002.92
Omega ratio
The chart of Omega ratio for IAUM, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for IAUM, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for IAUM, currently valued at 13.93, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.93

DBP vs. IAUM - Sharpe Ratio Comparison

The current DBP Sharpe Ratio is 1.86, which is comparable to the IAUM Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of DBP and IAUM, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.86
2.20
DBP
IAUM

Dividends

DBP vs. IAUM - Dividend Comparison

DBP's dividend yield for the trailing twelve months is around 3.58%, while IAUM has not paid dividends to shareholders.


TTM2023202220212020201920182017
DBP
Invesco DB Precious Metals Fund
3.58%4.47%0.45%0.00%0.00%1.26%1.24%0.12%
IAUM
iShares Gold Trust Micro ETF of Benef Interest
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DBP vs. IAUM - Drawdown Comparison

The maximum DBP drawdown since its inception was -53.89%, which is greater than IAUM's maximum drawdown of -20.87%. Use the drawdown chart below to compare losses from any high point for DBP and IAUM. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.06%
-7.66%
DBP
IAUM

Volatility

DBP vs. IAUM - Volatility Comparison

Invesco DB Precious Metals Fund (DBP) has a higher volatility of 6.17% compared to iShares Gold Trust Micro ETF of Benef Interest (IAUM) at 5.36%. This indicates that DBP's price experiences larger fluctuations and is considered to be riskier than IAUM 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%JuneJulyAugustSeptemberOctoberNovember
6.17%
5.36%
DBP
IAUM