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VAW vs. DBC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VAWDBC
YTD Return10.41%4.40%
1Y Return23.40%-1.14%
3Y Return (Ann)7.30%4.95%
5Y Return (Ann)13.23%10.34%
10Y Return (Ann)9.51%1.02%
Sharpe Ratio1.560.06
Sortino Ratio2.160.19
Omega Ratio1.271.02
Calmar Ratio1.470.02
Martin Ratio7.700.14
Ulcer Index3.06%6.48%
Daily Std Dev15.12%14.38%
Max Drawdown-62.17%-76.36%
Current Drawdown-2.61%-45.33%

Correlation

-0.50.00.51.00.4

The correlation between VAW and DBC is 0.43, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

VAW vs. DBC - Performance Comparison

In the year-to-date period, VAW achieves a 10.41% return, which is significantly higher than DBC's 4.40% return. Over the past 10 years, VAW has outperformed DBC with an annualized return of 9.51%, while DBC has yielded a comparatively lower 1.02% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%MayJuneJulyAugustSeptemberOctober
2.14%
-2.54%
VAW
DBC

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VAW vs. DBC - Expense Ratio Comparison

VAW has a 0.10% expense ratio, which is lower than DBC's 0.85% expense ratio.


DBC
Invesco DB Commodity Index Tracking Fund
Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for VAW: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

VAW vs. DBC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Materials ETF (VAW) 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.


VAW
Sharpe ratio
The chart of Sharpe ratio for VAW, currently valued at 1.56, compared to the broader market0.002.004.001.56
Sortino ratio
The chart of Sortino ratio for VAW, currently valued at 2.16, compared to the broader market-2.000.002.004.006.008.0010.0012.002.16
Omega ratio
The chart of Omega ratio for VAW, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for VAW, currently valued at 1.47, compared to the broader market0.005.0010.0015.001.47
Martin ratio
The chart of Martin ratio for VAW, currently valued at 7.70, compared to the broader market0.0020.0040.0060.0080.00100.007.70
DBC
Sharpe ratio
The chart of Sharpe ratio for DBC, currently valued at 0.06, compared to the broader market0.002.004.000.06
Sortino ratio
The chart of Sortino ratio for DBC, currently valued at 0.19, compared to the broader market-2.000.002.004.006.008.0010.0012.000.19
Omega ratio
The chart of Omega ratio for DBC, currently valued at 1.02, compared to the broader market1.001.502.002.503.001.02
Calmar ratio
The chart of Calmar ratio for DBC, currently valued at 0.02, compared to the broader market0.005.0010.0015.000.02
Martin ratio
The chart of Martin ratio for DBC, currently valued at 0.14, compared to the broader market0.0020.0040.0060.0080.00100.000.14

VAW vs. DBC - Sharpe Ratio Comparison

The current VAW Sharpe Ratio is 1.56, which is higher than the DBC Sharpe Ratio of 0.06. The chart below compares the historical Sharpe Ratios of VAW and DBC, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50MayJuneJulyAugustSeptemberOctober
1.56
0.06
VAW
DBC

Dividends

VAW vs. DBC - Dividend Comparison

VAW's dividend yield for the trailing twelve months is around 1.56%, less than DBC's 4.73% yield.


TTM20232022202120202019201820172016201520142013
VAW
Vanguard Materials ETF
1.56%1.72%1.98%1.44%1.67%1.94%2.03%1.63%1.67%2.30%1.76%1.84%
DBC
Invesco DB Commodity Index Tracking Fund
4.73%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VAW vs. DBC - Drawdown Comparison

The maximum VAW drawdown since its inception was -62.17%, smaller than the maximum DBC drawdown of -76.36%. Use the drawdown chart below to compare losses from any high point for VAW and DBC. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.61%
-45.33%
VAW
DBC

Volatility

VAW vs. DBC - Volatility Comparison

The current volatility for Vanguard Materials ETF (VAW) is 3.94%, while Invesco DB Commodity Index Tracking Fund (DBC) has a volatility of 5.25%. This indicates that VAW experiences smaller price fluctuations and is considered to be less risky than DBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
3.94%
5.25%
VAW
DBC