DJP vs. DBC
Compare and contrast key facts about iPath Bloomberg Commodity Index Total Return ETN (DJP) and Invesco DB Commodity Index Tracking Fund (DBC).
DJP and DBC are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DJP is a passively managed fund by Barclays Capital that tracks the performance of the Bloomberg Commodity Index. It was launched on Jun 6, 2006. DBC is a passively managed fund by Invesco that tracks the performance of the DBIQ Optimum Yield Diversified Commodity Index Excess Return. It was launched on Feb 3, 2006. Both DJP and DBC 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: DJP or DBC.
Performance
DJP vs. DBC - Performance Comparison
Returns By Period
In the year-to-date period, DJP achieves a 3.98% return, which is significantly higher than DBC's 1.59% return. Over the past 10 years, DJP has underperformed DBC with an annualized return of -0.79%, while DBC has yielded a comparatively higher 1.13% annualized return.
DJP
3.98%
-0.22%
-7.41%
-0.16%
7.45%
-0.79%
DBC
1.59%
0.27%
-6.00%
-3.13%
9.01%
1.13%
Key characteristics
| DJP | DBC | |
|---|---|---|
| Sharpe Ratio | 0.05 | -0.13 |
| Sortino Ratio | 0.17 | -0.09 |
| Omega Ratio | 1.02 | 0.99 |
| Calmar Ratio | 0.01 | -0.04 |
| Martin Ratio | 0.11 | -0.37 |
| Ulcer Index | 6.28% | 5.15% |
| Daily Std Dev | 13.91% | 14.45% |
| Max Drawdown | -78.35% | -76.36% |
| Current Drawdown | -56.79% | -46.80% |
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DJP vs. DBC - Expense Ratio Comparison
DJP has a 0.70% expense ratio, which is lower than DBC's 0.85% expense ratio.
Correlation
The correlation between DJP and DBC is 0.89, 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.
Risk-Adjusted Performance
DJP vs. DBC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) and Invesco DB Commodity Index Tracking Fund (DBC). 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
DJP vs. DBC - Dividend Comparison
DJP has not paid dividends to shareholders, while DBC's dividend yield for the trailing twelve months is around 4.86%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
DJP iPath Bloomberg Commodity Index Total Return ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DBC Invesco DB Commodity Index Tracking Fund | 4.86% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% |
Drawdowns
DJP vs. DBC - Drawdown Comparison
The maximum DJP drawdown since its inception was -78.35%, roughly equal to the maximum DBC drawdown of -76.36%. Use the drawdown chart below to compare losses from any high point for DJP and DBC. For additional features, visit the drawdowns tool.
Volatility
DJP vs. DBC - Volatility Comparison
The current volatility for iPath Bloomberg Commodity Index Total Return ETN (DJP) is 4.86%, while Invesco DB Commodity Index Tracking Fund (DBC) has a volatility of 5.67%. This indicates that DJP experiences smaller price fluctuations and is considered to be less risky than DBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.