MSMR vs. DBE
MSMR (McElhenny Sheffield Managed Risk ETF) and DBE (Invesco DB Energy Fund) are both exchange-traded funds - MSMR is a Diversified Portfolio fund actively managed by McElhenny Sheffield, while DBE is a Oil & Gas fund tracking the DBIQ Optimum Yield Energy Index. MSMR is actively managed, while DBE is passively managed. Over the past 3 years, MSMR returned 12.53%/yr vs 17.16%/yr for DBE. Their 0.03 correlation means their historical movements had little consistent relationship. MSMR charges 0.97%/yr vs 0.78%/yr for DBE.
Performance
MSMR vs. DBE - Performance Comparison
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Returns By Period
In the year-to-date period, MSMR achieves a 0.14% return, which is significantly lower than DBE's 78.87% return.
MSMR
- 1D
- -1.57%
- 1M
- -2.13%
- 6M
- -1.62%
- YTD
- 0.14%
- 1Y
- 11.18%
- 3Y*
- 12.53%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.59%
DBE
- 1D
- 1.13%
- 1M
- 21.13%
- 6M
- 53.89%
- YTD
- 78.87%
- 1Y
- 68.62%
- 3Y*
- 17.16%
- 5Y*
- 17.73%
- 10Y*
- 13.17%
- ALL TIME*
- 2.52%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.24M | $1.18M | $1.76M | |
| $432.07K | $432.95K | $679.96K |
MSMR vs. DBE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
MSMR McElhenny Sheffield Managed Risk ETF | 0.14% | 17.06% | 21.58% | 18.77% | -11.88% | -1.25% |
DBE Invesco DB Energy Fund | 78.87% | -2.17% | 2.96% | -12.14% | 33.77% | -5.32% |
Correlation
The correlation between MSMR and DBE is -0.13, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.13 |
Correlation (3Y) Balances recent behavior with more history. | -0.02 |
Correlation (All Time) Calculated using the full available price history since Nov 17, 2021 | 0.03 |
The correlation between MSMR and DBE shifts across timeframes, from -0.13 (1 year) to 0.03 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
MSMR vs. DBE — Risk / Return Rank
MSMR
DBE
MSMR vs. DBE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for McElhenny Sheffield Managed Risk ETF (MSMR) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MSMR | DBE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.97 | ||
| Sortino ratioReturn per unit of downside risk | -1.20 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.29 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 1.13 | 2.59 | -1.46 |
| Martin ratioReturn relative to average drawdown | 3.14 | 8.14 | -5.00 |
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Drawdowns
MSMR vs. DBE - Drawdown Comparison
The maximum MSMR drawdown since its inception was -14.86%, smaller than the maximum DBE drawdown of -86.69%. Use the drawdown chart below to compare losses from any high point for MSMR and DBE.
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Drawdown Indicators
| MSMR | DBE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.86% | -86.69% | +71.83% |
Max Drawdown (1Y)Largest decline over 1 year | -8.43% | -24.72% | +16.29% |
Max Drawdown (3Y)Largest decline over 3 years | -8.84% | -24.72% | +15.88% |
Max Drawdown (5Y)Largest decline over 5 years | — | -38.74% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -60.84% | — |
Current DrawdownCurrent decline from peak | -7.76% | -32.09% | +24.33% |
Average DrawdownAverage peak-to-trough decline | -5.15% | -57.13% | +51.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.04% | 8.15% | -5.11% |
Volatility
MSMR vs. DBE - Volatility Comparison
The current volatility for McElhenny Sheffield Managed Risk ETF (MSMR) is 3.91%, while Invesco DB Energy Fund (DBE) has a volatility of 14.12%. This indicates that MSMR 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
| MSMR | DBE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.91% | 14.12% | -10.21% |
Volatility (6M)Calculated over the trailing 6-month period | 9.50% | 33.95% | -24.45% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.86% | 37.47% | -24.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.36% | 30.09% | -19.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 28.58% | -18.22% |
MSMR vs. DBE - Expense Ratio Comparison
MSMR has a 0.97% expense ratio, which is higher than DBE's 0.78% expense ratio.
Dividends
MSMR vs. DBE - Dividend Comparison
MSMR's dividend yield for the trailing twelve months is around 1.86%, 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% |
MSMR McElhenny Sheffield Managed Risk ETF | 1.86% | 1.51% | 2.26% | 0.81% | 0.65% | 0.07% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MSMR and DBE have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBE has higher volatility (14.12%) compared to MSMR (3.91%). In terms of maximum drawdown, MSMR dropped -14.86% vs DBE's -86.69%.
On 3-year performance, DBE leads with 17.16% vs 12.53% for MSMR. On fees, DBE is cheaper at 0.78% per year. On volatility, MSMR has been the lower-risk option at 3.91%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, DBE has performed better with a 17.16% return vs 12.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DBE is cheaper with a 0.78% expense ratio, compared with 0.97% for MSMR.
DBE has the higher dividend yield at 2.16%, compared with 1.86% for MSMR.
MSMR is categorized as Diversified Portfolio, while DBE is Oil & Gas. They also come from different issuers: McElhenny Sheffield and Invesco. Their fees differ too: 0.97% for MSMR and 0.78% for DBE.
DBE currently has the higher Sharpe Ratio (1.71 vs 0.74), 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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