SAP vs. DBC
SAP (SAP SE) is a stock, while DBC (Invesco DB Commodity Index Tracking Fund) is Commodities fund tracking the DBIQ Optimum Yield Diversified Commodity Index Excess Return. Over the past 10 years, SAP returned 8.93%/yr vs 8.52%/yr for DBC. At a 0.24 correlation, their price movements are largely independent.
Performance
SAP vs. DBC - Performance Comparison
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Returns By Period
In the year-to-date period, SAP achieves a -32.30% return, which is significantly lower than DBC's 27.28% return. Both investments have delivered pretty close results over the past 10 years, with SAP having a 8.93% annualized return and DBC not far behind at 8.52%.
SAP
- 1D
- 3.68%
- 1M
- -2.28%
- 6M
- -30.27%
- YTD
- -32.30%
- 1Y
- -46.26%
- 3Y*
- 5.03%
- 5Y*
- 3.43%
- 10Y*
- 8.93%
DBC
- 1D
- -1.15%
- 1M
- 2.01%
- 6M
- 22.67%
- YTD
- 27.28%
- 1Y
- 31.86%
- 3Y*
- 11.51%
- 5Y*
- 11.45%
- 10Y*
- 8.52%
SAP vs. DBC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SAP SAP SE | -32.30% | -0.48% | 61.27% | 52.30% | -24.64% | 9.22% | -1.28% | 36.43% | -10.04% | 31.25% |
DBC Invesco DB Commodity Index Tracking Fund | 27.28% | 8.10% | 2.18% | -6.19% | 19.34% | 41.36% | -7.84% | 11.84% | -11.63% | 4.86% |
Correlation
The correlation between SAP and DBC is -0.11, 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 | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Feb 6, 2006 | 0.24 |
The correlation between SAP and DBC shifts across timeframes, from -0.11 (1 year) to 0.24 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SAP vs. DBC — Risk / Return Rank
SAP
DBC
SAP vs. DBC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SAP SE (SAP) 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.
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.
| SAP | DBC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.00 | ||
| Sortino ratioReturn per unit of downside risk | -4.27 | ||
| Omega ratioGain probability vs. loss probability | 0.75 | 1.29 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | -0.91 | 1.94 | -2.84 |
| Martin ratioReturn relative to average drawdown | -1.49 | 6.62 | -8.11 |
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Drawdowns
SAP vs. DBC - Drawdown Comparison
The maximum SAP drawdown since its inception was -87.91%, which is greater than DBC's maximum drawdown of -76.36%. Use the drawdown chart below to compare losses from any high point for SAP and DBC.
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Drawdown Indicators
| SAP | DBC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.91% | -76.36% | -11.55% |
Max Drawdown (1Y)Largest decline over 1 year | -51.19% | -16.54% | -34.65% |
Max Drawdown (3Y)Largest decline over 3 years | -51.71% | -16.54% | -35.17% |
Max Drawdown (5Y)Largest decline over 5 years | -51.71% | -27.34% | -24.37% |
Max Drawdown (10Y)Largest decline over 10 years | -51.71% | -41.71% | -10.00% |
Current DrawdownCurrent decline from peak | -47.28% | -26.37% | -20.91% |
Average DrawdownAverage peak-to-trough decline | -28.30% | -46.12% | +17.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 31.12% | 4.82% | +26.30% |
Volatility
SAP vs. DBC - Volatility Comparison
SAP SE (SAP) has a higher volatility of 11.72% compared to Invesco DB Commodity Index Tracking Fund (DBC) at 6.03%. This indicates that SAP's price experiences larger fluctuations and is considered to be riskier than DBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SAP | DBC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.72% | 6.03% | +5.69% |
Volatility (6M)Calculated over the trailing 6-month period | 32.25% | 16.71% | +15.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 35.58% | 18.85% | +16.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.09% | 19.29% | +9.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.38% | 17.80% | +10.58% |
Dividends
SAP vs. DBC - Dividend Comparison
SAP's dividend yield for the trailing twelve months is around 1.81%, less than DBC's 2.61% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | 2.61% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
SAP SAP SE | 1.81% | 1.05% | 0.97% | 1.41% | 2.05% | 1.56% | 1.31% | 1.27% | 1.73% | 0.87% | 1.08% | 1.11% |
Frequently Asked Questions
SAP and DBC have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SAP has higher volatility (11.72%) compared to DBC (6.03%). In terms of maximum drawdown, SAP dropped -87.91% vs DBC's -76.36%.
DBC currently has the higher Sharpe Ratio (1.70 vs -1.31), 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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