VMBS vs. DBE
VMBS (Vanguard Mortgage-Backed Securities ETF) and DBE (Invesco DB Energy Fund) are both exchange-traded funds - VMBS is a Mortgage Backed Securities fund tracking the Bloomberg U.S. MBS Float Adjusted Index, while DBE is a Oil & Gas fund tracking the DBIQ Optimum Yield Energy Index. Both are passively managed. Over the past 10 years, VMBS returned 1.21%/yr vs 13.17%/yr for DBE. Their -0.13 correlation means they have often moved in opposite directions in the past. VMBS charges 0.04%/yr vs 0.78%/yr for DBE.
Performance
VMBS vs. DBE - Performance Comparison
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Returns By Period
In the year-to-date period, VMBS achieves a -0.12% return, which is significantly lower than DBE's 78.87% return. Over the past 10 years, VMBS has underperformed DBE with an annualized return of 1.21%, while DBE has yielded a comparatively higher 13.17% annualized return.
VMBS
- 1D
- -0.41%
- 1M
- -1.18%
- 6M
- -0.45%
- YTD
- -0.12%
- 1Y
- 3.32%
- 3Y*
- 4.53%
- 5Y*
- 0.25%
- 10Y*
- 1.21%
- ALL TIME*
- 2.03%
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 | |
| $62.70M | $62.14M | $62.59M |
VMBS vs. DBE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMBS Vanguard Mortgage-Backed Securities ETF | -0.12% | 8.36% | 1.70% | 5.34% | -11.90% | -1.28% | 3.76% | 6.19% | 0.91% | 2.47% |
DBE Invesco DB Energy Fund | 78.87% | -2.17% | 2.96% | -12.14% | 33.77% | 57.56% | -25.91% | 19.72% | -12.95% | 5.21% |
Correlation
The correlation between VMBS and DBE is -0.44, 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. | -0.44 |
Correlation (3Y) Balances recent behavior with more history. | -0.25 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.15 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.12 |
Correlation (All Time) Calculated using the full available price history since Nov 23, 2009 | -0.13 |
Over the past year, the inverse relationship between VMBS and DBE has strengthened: their correlation has moved from -0.13 to -0.44, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
VMBS vs. DBE — Risk / Return Rank
VMBS
DBE
VMBS vs. DBE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Mortgage-Backed Securities ETF (VMBS) 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.
| VMBS | DBE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.70 | ||
| Sortino ratioReturn per unit of downside risk | -0.82 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.29 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.61 | 2.59 | -0.98 |
| Martin ratioReturn relative to average drawdown | 4.60 | 8.14 | -3.54 |
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Drawdowns
VMBS vs. DBE - Drawdown Comparison
The maximum VMBS drawdown since its inception was -17.47%, smaller than the maximum DBE drawdown of -86.69%. Use the drawdown chart below to compare losses from any high point for VMBS and DBE.
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Drawdown Indicators
| VMBS | DBE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.47% | -86.69% | +69.22% |
Max Drawdown (1Y)Largest decline over 1 year | -2.68% | -24.72% | +22.04% |
Max Drawdown (3Y)Largest decline over 3 years | -6.41% | -24.72% | +18.31% |
Max Drawdown (5Y)Largest decline over 5 years | -17.09% | -38.74% | +21.65% |
Max Drawdown (10Y)Largest decline over 10 years | -17.47% | -60.84% | +43.37% |
Current DrawdownCurrent decline from peak | -2.09% | -32.09% | +30.00% |
Average DrawdownAverage peak-to-trough decline | -2.48% | -57.13% | +54.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 8.15% | -7.21% |
Volatility
VMBS vs. DBE - Volatility Comparison
The current volatility for Vanguard Mortgage-Backed Securities ETF (VMBS) is 1.17%, while Invesco DB Energy Fund (DBE) has a volatility of 14.12%. This indicates that VMBS 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
| VMBS | DBE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.17% | 14.12% | -12.95% |
Volatility (6M)Calculated over the trailing 6-month period | 3.42% | 33.95% | -30.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.29% | 37.47% | -33.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.80% | 30.09% | -23.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.42% | 28.58% | -23.16% |
VMBS vs. DBE - Expense Ratio Comparison
VMBS has a 0.04% expense ratio, which is lower than DBE's 0.78% expense ratio.
Dividends
VMBS vs. DBE - Dividend Comparison
VMBS's dividend yield for the trailing twelve months is around 4.24%, more than DBE's 2.16% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBE Invesco DB Energy Fund | 2.16% | 3.86% | 6.32% | 3.87% | 0.75% | 0.00% | 0.00% | 1.79% | 1.67% | 0.00% | 0.00% | 0.00% |
VMBS Vanguard Mortgage-Backed Securities ETF | 3.88% | 4.20% | 3.94% | 3.31% | 2.35% | 1.02% | 2.01% | 2.77% | 2.72% | 2.16% | 2.10% | 2.12% |
Frequently Asked Questions
VMBS and DBE have a correlation of -0.44, 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 VMBS (1.17%). In terms of maximum drawdown, VMBS dropped -17.47% vs DBE's -86.69%.
On 10-year performance, DBE leads with 13.17% vs 1.21% for VMBS. On fees, VMBS is cheaper at 0.04% per year. On volatility, VMBS has been the lower-risk option at 1.17%. 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 13.17% return vs 1.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VMBS is cheaper with a 0.04% expense ratio, compared with 0.78% for DBE.
VMBS has the higher dividend yield at 3.88%, compared with 2.16% for DBE.
VMBS is categorized as Mortgage Backed Securities, while DBE is Oil & Gas. VMBS tracks Bloomberg U.S. MBS Float Adjusted Index, while DBE tracks DBIQ Optimum Yield Energy Index. They also come from different issuers: Vanguard and Invesco. Their fees differ too: 0.04% for VMBS and 0.78% for DBE.
DBE currently has the higher Sharpe Ratio (1.71 vs 1.01), 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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