MTUM vs. DBE
MTUM (iShares MSCI USA Momentum Factor ETF) and DBE (Invesco DB Energy Fund) are both exchange-traded funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while DBE is a Oil & Gas fund tracking the DBIQ Optimum Yield Energy Index. Both are passively managed. Over the past 10 years, MTUM returned 15.89%/yr vs 11.45%/yr for DBE. At a 0.16 correlation, their price movements are largely independent. MTUM charges 0.15%/yr vs 0.78%/yr for DBE.
Performance
MTUM vs. DBE - Performance Comparison
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Returns By Period
In the year-to-date period, MTUM achieves a 21.46% return, which is significantly lower than DBE's 68.39% return. Over the past 10 years, MTUM has outperformed DBE with an annualized return of 15.89%, while DBE has yielded a comparatively lower 11.45% annualized return.
MTUM
- 1D
- -2.96%
- 1M
- -6.94%
- 6M
- 18.20%
- YTD
- 21.46%
- 1Y
- 28.30%
- 3Y*
- 28.55%
- 5Y*
- 13.65%
- 10Y*
- 15.89%
DBE
- 1D
- -1.09%
- 1M
- 6.25%
- 6M
- 65.69%
- YTD
- 68.39%
- 1Y
- 57.64%
- 3Y*
- 17.96%
- 5Y*
- 17.10%
- 10Y*
- 11.45%
MTUM vs. DBE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 21.46% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
DBE Invesco DB Energy Fund | 68.39% | -2.17% | 2.96% | -12.14% | 33.77% | 57.56% | -25.91% | 19.72% | -12.95% | 5.21% |
Correlation
The correlation between MTUM and DBE is -0.17, 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 | -0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.16 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.16 |
The correlation between MTUM and DBE shifts across timeframes, from -0.17 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
MTUM vs. DBE — Risk / Return Rank
MTUM
DBE
MTUM vs. DBE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) 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.
| MTUM | DBE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.43 | ||
| Sortino ratioReturn per unit of downside risk | -0.57 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.28 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.35 | 2.34 | 0.00 |
| Martin ratioReturn relative to average drawdown | 8.08 | 7.00 | +1.08 |
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Drawdowns
MTUM vs. DBE - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, smaller than the maximum DBE drawdown of -86.69%. Use the drawdown chart below to compare losses from any high point for MTUM and DBE.
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Drawdown Indicators
| MTUM | DBE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.08% | -86.69% | +52.61% |
Max Drawdown (1Y)Largest decline over 1 year | -12.11% | -24.72% | +12.61% |
Max Drawdown (3Y)Largest decline over 3 years | -20.99% | -24.72% | +3.73% |
Max Drawdown (5Y)Largest decline over 5 years | -32.28% | -38.74% | +6.46% |
Max Drawdown (10Y)Largest decline over 10 years | -34.08% | -60.84% | +26.76% |
Current DrawdownCurrent decline from peak | -12.11% | -36.07% | +23.96% |
Average DrawdownAverage peak-to-trough decline | -6.20% | -57.19% | +50.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.51% | 8.26% | -4.75% |
Volatility
MTUM vs. DBE - Volatility Comparison
iShares MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 12.40% compared to Invesco DB Energy Fund (DBE) at 11.68%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier 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
| MTUM | DBE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.40% | 11.68% | +0.72% |
Volatility (6M)Calculated over the trailing 6-month period | 21.91% | 32.70% | -10.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.08% | 35.99% | -11.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.61% | 29.88% | -8.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.55% | 28.39% | -6.84% |
MTUM vs. DBE - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is lower than DBE's 0.78% expense ratio.
Dividends
MTUM vs. DBE - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.61%, less than DBE's 2.29% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBE Invesco DB Energy Fund | 2.29% | 3.86% | 6.32% | 3.87% | 0.75% | 0.00% | 0.00% | 1.79% | 1.67% | 0.00% | 0.00% | 0.00% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.61% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
Frequently Asked Questions
MTUM and DBE have a correlation of -0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (12.40%) compared to DBE (11.68%). In terms of maximum drawdown, MTUM dropped -34.08% vs DBE's -86.69%.
On 10-year performance, MTUM leads with 15.89% vs 11.45% for DBE. On fees, MTUM is cheaper at 0.15% per year. On volatility, DBE has been the lower-risk option at 11.68%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MTUM has performed better with a 15.89% return vs 11.45%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MTUM is cheaper with a 0.15% expense ratio, compared with 0.78% for DBE.
DBE has the higher dividend yield at 2.29%, compared with 0.61% for MTUM.
MTUM is categorized as Momentum, while DBE is Oil & Gas. MTUM tracks MSCI USA Momentum SR Variant Index, while DBE tracks DBIQ Optimum Yield Energy Index. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.15% for MTUM and 0.78% for DBE.
DBE currently has the higher Sharpe Ratio (1.61 vs 1.18), 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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