FCTR vs. DBE
FCTR (First Trust Lunt U.S. Factor Rotation ETF) and DBE (Invesco DB Energy Fund) are both exchange-traded funds - FCTR is a Large Cap Growth Equities fund tracking the Lunt Capital Large Cap Factor Rotation Index, while DBE is a Oil & Gas fund tracking the DBIQ Optimum Yield Energy Index. Both are passively managed. Over the past 5 years, FCTR returned 4.45%/yr vs 19.05%/yr for DBE. At a 0.20 correlation, their price movements are largely independent. FCTR charges 0.65%/yr vs 0.78%/yr for DBE.
Performance
FCTR vs. DBE - Performance Comparison
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Returns By Period
In the year-to-date period, FCTR achieves a 16.05% return, which is significantly lower than DBE's 79.04% return.
FCTR
- 1D
- 0.77%
- 1M
- 9.06%
- YTD
- 16.05%
- 6M
- 15.92%
- 1Y
- 24.13%
- 3Y*
- 18.40%
- 5Y*
- 4.45%
- 10Y*
- —
DBE
- 1D
- -2.52%
- 1M
- -6.01%
- YTD
- 79.04%
- 6M
- 69.31%
- 1Y
- 81.31%
- 3Y*
- 22.41%
- 5Y*
- 19.05%
- 10Y*
- 11.58%
FCTR vs. DBE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
FCTR First Trust Lunt U.S. Factor Rotation ETF | 16.05% | 8.63% | 19.54% | 0.71% | -20.42% | 21.13% | 30.17% | 30.91% | -12.94% |
DBE Invesco DB Energy Fund | 79.04% | -2.17% | 2.96% | -12.14% | 33.77% | 57.56% | -25.91% | 19.72% | -24.62% |
Correlation
The correlation between FCTR and DBE is -0.19, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.12 |
Correlation (All Time) Calculated using the full available price history since Jul 27, 2018 | 0.20 |
The correlation between FCTR and DBE shifts across timeframes, from -0.19 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FCTR vs. DBE — Risk / Return Rank
FCTR
DBE
FCTR vs. DBE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Lunt U.S. Factor Rotation ETF (FCTR) and Invesco DB Energy Fund (DBE). 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.
| FCTR | DBE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.95 | ||
| Sortino ratioReturn per unit of downside risk | -0.95 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.39 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.17 | 5.67 | -3.50 |
| Martin ratioReturn relative to average drawdown | 7.93 | 11.08 | -3.15 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FCTR | DBE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.38 | 2.33 | -0.95 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.23 | 0.65 | -0.42 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.41 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.09 | +0.38 |
Drawdowns
FCTR vs. DBE - Drawdown Comparison
The maximum FCTR drawdown since its inception was -37.10%, smaller than the maximum DBE drawdown of -86.69%. Use the drawdown chart below to compare losses from any high point for FCTR and DBE.
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Drawdown Indicators
| FCTR | DBE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.10% | -86.69% | +49.59% |
Max Drawdown (1Y)Largest decline over 1 year | -11.17% | -14.41% | +3.24% |
Max Drawdown (3Y)Largest decline over 3 years | -22.63% | -23.89% | +1.26% |
Max Drawdown (5Y)Largest decline over 5 years | -37.10% | -38.74% | +1.64% |
Max Drawdown (10Y)Largest decline over 10 years | — | -60.84% | — |
Current DrawdownCurrent decline from peak | 0.00% | -32.03% | +32.03% |
Average DrawdownAverage peak-to-trough decline | -10.39% | -57.30% | +46.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.05% | 7.37% | -4.32% |
Volatility
FCTR vs. DBE - Volatility Comparison
The current volatility for First Trust Lunt U.S. Factor Rotation ETF (FCTR) is 6.83%, while Invesco DB Energy Fund (DBE) has a volatility of 13.05%. This indicates that FCTR experiences smaller price fluctuations and is considered to be less risky than DBE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FCTR | DBE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.83% | 13.05% | -6.22% |
Volatility (6M)Calculated over the trailing 6-month period | 11.79% | 30.97% | -19.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.54% | 35.07% | -17.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.64% | 29.41% | -9.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.94% | 28.34% | -6.40% |
FCTR vs. DBE - Expense Ratio Comparison
FCTR has a 0.65% expense ratio, which is lower than DBE's 0.78% expense ratio.
Dividends
FCTR vs. DBE - Dividend Comparison
FCTR's dividend yield for the trailing twelve months is around 0.35%, less than DBE's 2.16% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
DBE Invesco DB Energy Fund | 2.16% | 3.86% | 6.32% | 3.87% | 0.75% | 0.00% | 0.00% | 1.79% | 1.67% |
FCTR First Trust Lunt U.S. Factor Rotation ETF | 0.35% | 0.30% | 0.82% | 1.04% | 1.38% | 0.46% | 0.44% | 0.98% | 0.66% |
Frequently Asked Questions
FCTR and DBE have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBE has higher volatility (13.05%) compared to FCTR (6.83%). In terms of maximum drawdown, FCTR dropped -37.10% vs DBE's -86.69%.
On 5-year performance, DBE leads with 19.05% vs 4.45% for FCTR. On fees, FCTR is cheaper at 0.65% per year. On volatility, FCTR has been the lower-risk option at 6.83%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DBE has performed better with a 19.05% return vs 4.45%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FCTR is cheaper with a 0.65% expense ratio, compared with 0.78% for DBE.
DBE has the higher dividend yield at 2.16%, compared with 0.35% for FCTR.
FCTR is categorized as Large Cap Growth Equities, while DBE is Oil & Gas. FCTR tracks Lunt Capital Large Cap Factor Rotation Index, while DBE tracks DBIQ Optimum Yield Energy Index. They also come from different issuers: First Trust and Invesco. Their fees differ too: 0.65% for FCTR and 0.78% for DBE.
DBE currently has the higher Sharpe Ratio (2.33 vs 1.38), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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