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QEFA vs. DBE
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QEFA vs. DBE

Last updated Jun 4, 2026

QEFA (SPDR MSCI EAFE StrategicFactors ETF) and DBE (Invesco DB Energy Fund) are both exchange-traded funds - QEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Factor Mix A-Series (USD), while DBE is a Oil & Gas fund tracking the DBIQ Optimum Yield Energy Index. Both are passively managed. Over the past 10 years, QEFA returned 8.67%/yr vs 12.03%/yr for DBE. At a 0.18 correlation, their price movements are largely independent. QEFA charges 0.30%/yr vs 0.78%/yr for DBE.

Performance

QEFA vs. DBE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE StrategicFactors ETF (QEFA) and Invesco DB Energy Fund (DBE). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, QEFA achieves a 6.80% return, which is significantly lower than DBE's 83.68% return. Over the past 10 years, QEFA has underperformed DBE with an annualized return of 8.67%, while DBE has yielded a comparatively higher 12.03% annualized return.

QEFA

1D
-0.49%
1M
1.69%
YTD
6.80%
6M
8.78%
1Y
17.29%
3Y*
14.76%
5Y*
7.62%
10Y*
8.67%

DBE

1D
2.33%
1M
-5.45%
YTD
83.68%
6M
74.95%
1Y
84.41%
3Y*
23.42%
5Y*
19.66%
10Y*
12.03%
*Multi-year figures are annualized to reflect compound growth (CAGR)

QEFA vs. DBE - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
QEFA
SPDR MSCI EAFE StrategicFactors ETF		6.80%29.25%2.27%17.40%-14.03%12.50%6.76%21.91%-10.39%24.03%
DBE
Invesco DB Energy Fund		83.68%-2.17%2.96%-12.14%33.77%57.56%-25.91%19.72%-12.95%5.21%

Correlation

The correlation between QEFA and DBE is -0.35, 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

-0.35

Correlation (3Y)
Calculated over the trailing 3-year period

-0.09

Correlation (5Y)
Calculated over the trailing 5-year period

0.07

Correlation (10Y)
Calculated over the trailing 10-year period

0.18

Correlation (All Time)
Calculated using the full available price history since Jun 6, 2014

0.18

The correlation between QEFA and DBE shifts across timeframes, from -0.35 (1 year) to 0.18 (10 years), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

SPDR MSCI EAFE StrategicFactors ETF

Invesco DB Energy Fund

Often compared with QEFA:
QEFA vs. EFAQEFA vs. IQLTQEFA vs. IEFAQEFA vs. GSIEQEFA vs. FICSQEFA vs. ACWIQEFA vs. ACWX
Often compared with DBE:
DBE vs. DBBDBE vs. XLEDBE vs. VDEDBE vs. COMTDBE vs. XLKDBE vs. GLDDBE vs. TIP

Return for Risk

QEFA vs. DBE — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QEFA
QEFA Risk / Return Rank: 3838
Overall Rank
QEFA Sharpe Ratio Rank: 3838
Sharpe Ratio Rank
QEFA Sortino Ratio Rank: 3737
Sortino Ratio Rank
QEFA Omega Ratio Rank: 3737
Omega Ratio Rank
QEFA Calmar Ratio Rank: 3636
Calmar Ratio Rank
QEFA Martin Ratio Rank: 4040
Martin Ratio Rank
DBE
DBE Risk / Return Rank: 7171
Overall Rank
DBE Sharpe Ratio Rank: 7474
Sharpe Ratio Rank
DBE Sortino Ratio Rank: 6363
Sortino Ratio Rank
DBE Omega Ratio Rank: 6565
Omega Ratio Rank
DBE Calmar Ratio Rank: 9191
Calmar Ratio Rank
DBE Martin Ratio Rank: 6363
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QEFA vs. DBE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE StrategicFactors ETF (QEFA) 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.

QEFADBEDifference
Sharpe ratioReturn per unit of total volatility
1.37
2.43

-1.06

Sortino ratioReturn per unit of downside risk
1.94
2.96

-1.02

Omega ratioGain probability vs. loss probability

1.24

1.40

-0.16

Calmar ratioReturn relative to maximum drawdown

1.81

5.89

-4.08

Martin ratioReturn relative to average drawdown

6.52

11.53

-5.01

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QEFA vs. DBE - Sharpe Ratio Comparison

The current QEFA Sharpe Ratio is 1.37, which is lower than the DBE Sharpe Ratio of 2.43. The chart below compares the historical Sharpe Ratios of QEFA and DBE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

QEFADBEDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.37

2.43

-1.06

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.52

0.67

-0.15

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.54

0.43

+0.12

Sharpe Ratio (All Time)

Calculated using the full available price history

0.43

0.09

+0.33

Drawdowns

QEFA vs. DBE - Drawdown Comparison

The maximum QEFA drawdown since its inception was -31.71%, smaller than the maximum DBE drawdown of -86.69%. Use the drawdown chart below to compare losses from any high point for QEFA and DBE.

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Drawdown Indicators

QEFADBEDifference

Max Drawdown

Largest peak-to-trough decline

-31.71%

-86.69%

+54.98%

Max Drawdown (1Y)

Largest decline over 1 year

-9.58%

-14.41%

+4.83%

Max Drawdown (3Y)

Largest decline over 3 years

-12.23%

-23.89%

+11.66%

Max Drawdown (5Y)

Largest decline over 5 years

-28.09%

-38.74%

+10.65%

Max Drawdown (10Y)

Largest decline over 10 years

-31.71%

-60.84%

+29.13%

Current Drawdown

Current decline from peak

-2.93%

-30.27%

+27.34%

Average Drawdown

Average peak-to-trough decline

-6.08%

-57.31%

+51.23%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.66%

7.35%

-4.69%

Volatility

QEFA vs. DBE - Volatility Comparison

The current volatility for SPDR MSCI EAFE StrategicFactors ETF (QEFA) is 3.94%, while Invesco DB Energy Fund (DBE) has a volatility of 12.95%. This indicates that QEFA 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

QEFADBEDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.94%

12.95%

-9.01%

Volatility (6M)

Calculated over the trailing 6-month period

10.25%

30.86%

-20.61%

Volatility (1Y)

Calculated over the trailing 1-year period

12.76%

34.97%

-22.21%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.77%

29.39%

-14.62%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.03%

28.33%

-12.30%

QEFA vs. DBE - Expense Ratio Comparison

QEFA has a 0.30% expense ratio, which is lower than DBE's 0.78% expense ratio.

Dividends

QEFA vs. DBE - Dividend Comparison

QEFA's dividend yield for the trailing twelve months is around 2.87%, more than DBE's 2.10% yield.

PositionTTM20252024202320222021202020192018201720162015
DBE
Invesco DB Energy Fund		2.10%3.86%6.32%3.87%0.75%0.00%0.00%1.79%1.67%0.00%0.00%0.00%
QEFA
SPDR MSCI EAFE StrategicFactors ETF		2.87%3.13%3.17%2.79%3.02%2.37%1.82%2.95%3.22%2.33%2.01%2.94%

Frequently Asked Questions

QEFA and DBE have a correlation of -0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

DBE has higher volatility (12.95%) compared to QEFA (3.94%). In terms of maximum drawdown, QEFA dropped -31.71% vs DBE's -86.69%.

On 10-year performance, DBE leads with 12.03% vs 8.67% for QEFA. On fees, QEFA is cheaper at 0.30% per year. On volatility, QEFA has been the lower-risk option at 3.94%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, DBE has performed better with a 12.03% return vs 8.67%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QEFA is cheaper with a 0.30% expense ratio, compared with 0.78% for DBE.

QEFA has the higher dividend yield at 2.87%, compared with 2.10% for DBE.

QEFA is categorized as Foreign Large Cap Equities, while DBE is Oil & Gas. QEFA tracks MSCI EAFE Factor Mix A-Series (USD), while DBE tracks DBIQ Optimum Yield Energy Index. They also come from different issuers: State Street and Invesco. Their fees differ too: 0.30% for QEFA and 0.78% for DBE.

DBE currently has the higher Sharpe Ratio (2.43 vs 1.37), 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.

Portfolio Optimizer

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