Invesco DB Commodity Index Tracking Fund

10-Year Study

DBC.US · · US · ETF

Executive Summary: Invesco DB Commodity Index Tracking Fund has compounded at 9.0% annually over the last 10 years, with a maximum drawdown of 37.8% and an annualized volatility of 15.7%.

1Y CAGR
+48.9%
3Y CAGR
+15.1%
5Y CAGR
+12.7%
10Y CAGR
+9.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
37.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.42
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.59
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +41.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -11.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20269.32.715.30.6————————30.2%
20252.80.12.3-8.61.54.52.9-1.11.41.60.80.28.1%
20241.3-1.54.51.6-0.3-0.2-2.8-2.10.71.4-2.01.72.2%
20230.9-4.5-0.1-0.8-6.42.98.7-0.41.5-1.8-2.4-3.3-6.2%
20227.96.59.25.64.6-7.5-2.0-1.5-7.05.11.5-2.719.3%
20213.310.1-0.77.83.93.51.3-1.65.25.8-8.86.741.4%
2020-8.6-6.7-17.3-3.18.14.55.14.6-3.5-3.110.25.5-7.8%
20197.12.8-0.41.2-6.04.0-1.1-4.61.41.9-0.15.811.8%
20183.0-2.92.33.42.7-1.9-2.40.83.4-5.6-9.8-4.0-11.6%
2017-0.6-0.2-3.2-2.7-1.4-1.04.10.42.04.00.92.84.9%
2016———9.70.94.4-7.00.84.3-0.31.74.119.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 15.7%. The dominant macroeconomic risk driver is USO.US, accounting for 63.8% of variance. Idiosyncratic stock-specific factors contribute 8.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110970.638756129905
2016-05-0111068.450235406153
2016-06-0111550.031595154815
2016-07-0110744.844649738783
2016-08-0110827.61505531377
2016-09-0111294.155341361171
2016-10-0111256.508156889968
2016-11-0111444.655078809885
2016-12-0111918.671401489866
2017-01-0111850.94206961614
2017-02-0111828.4249592823
2017-03-0111444.655078809885
2017-04-0111136.179567279878
2017-05-0110978.114792762482
2017-06-0110872.827276853655
2017-07-0111316.761452131115
2017-08-0111361.8846732349
2017-09-0111587.589779189917
2017-10-0112046.65402860474
2017-11-0112159.506581582249
2017-12-0112498.064240514777
2018-01-0112866.793047285932
2018-02-0112490.588203882198
2018-03-0112776.457604642263
2018-04-0113212.915743287142
2018-05-0113566.51447592093
2018-06-0113303.162185494708
2018-07-0112979.64560026344
2018-08-0113077.457079539688
2018-09-0113521.391254817148
2018-10-0112761.416530941002
2018-11-0111504.81937361493
2018-12-0111044.509118094677
2019-01-0111829.581964951627
2019-02-0112164.93560818448
2019-03-0112119.278384464084
2019-04-0112264.08209400226
2019-05-0111532.32050837049
2019-06-0111989.693749499373
2019-07-0111852.455077029876
2019-08-0111303.6783880241
2019-09-0111463.701172135743
2019-10-0111684.77825541345
2019-11-0111669.559180839986
2019-12-0112352.103525307275
2020-01-0111291.129326533699
2020-02-0110539.965645831664
2020-03-018712.341690474283
2020-04-018441.246362107175
2020-05-019122.722701341236
2020-06-019533.19271264429
2020-07-0110021.093103356206
2020-08-0110485.764380245464
2020-09-0110114.009558646838
2020-10-019796.456002634412
2020-11-0110795.485897880899
2020-12-0111384.04578182433
2021-01-0111763.54364136384
2021-02-0112956.149485132475
2021-03-0112863.233029841846
2021-04-0113870.005963029218
2021-05-0114404.364581386446
2021-06-0114907.751047980133
2021-07-0115101.326996502283
2021-08-0114853.46078195783
2021-09-0115627.942576918625
2021-10-0116533.96701643838
2021-11-0115085.840920620509
2021-12-0116092.61385380788
2022-01-0117362.650076985377
2022-02-0118485.568579286035
2022-03-0120181.560889648357
2022-04-0121319.96546783079
2022-05-0122303.509287195506
2022-06-0120630.74609065584
2022-07-0120220.276079352785
2022-08-0119918.208599222133
2022-09-0118516.54073104958
2022-10-0119453.62632276898
2022-11-0119740.11872658176
2022-12-0119204.870103863504
2023-01-0119376.284943796225
2023-02-0118511.467706191757
2023-03-0118495.892629873884
2023-04-0118355.627942576917
2023-05-0117179.22017817887
2023-06-0117685.632659600033
2023-07-0119228.27721855837
2023-08-0119158.144874909885
2023-09-0119446.417287444707
2023-10-0119095.84456963839
2023-11-0118628.32527879386
2023-12-0118015.201274486244
2024-01-0118252.298436262336
2024-02-0117974.35007431536
2024-03-0118775.442999670697
2024-04-0119077.866481545756
2024-05-0119020.639201132086
2024-06-0118987.887040646496
2024-07-0118456.64343755284
2024-08-0118072.428554899918
2024-09-0118203.25919597006
2024-10-0118464.83147767424
2024-11-0118096.992675264108
2024-12-0118408.761202929894
2025-01-0118916.77569220089
2025-02-0118942.585818670508
2025-03-0119373.080928096544
2025-04-0117711.264785197447
2025-05-0117978.177093067752
2025-06-0118779.003017114785
2025-07-0119330.004717023112
2025-08-0119123.34570439395
2025-09-0119398.891054566164
2025-10-0119700.246531208002
2025-11-0119855.285290897922
2025-12-0119900.49751243781
2026-01-0121742.80653975204
2026-02-0122339.109461636363
2026-03-0125765.626251568632
2026-04-0125908.02694933205
Annual Return Matrix
YearAnnual Return
20170.048612200094088065
2018-0.11630242047469508
20190.11839316652564569
2020-0.07837189362116048
20210.4136111328277694
20220.1933965655504244
2023-0.06194620546472385
20240.021845991196391523
20250.08103404096906286
20260.3018783542039356
Total Factor Risk
0.1573167903742812
VTI.US Exposure
0.0012618086507684245
VEA.US Exposure
0.0075933005355907305
VWO.US Exposure
0.006529307537490989
QQQ.US Exposure
0.004711698566249106
VTV.US Exposure
0.024070394085308085
IJR.US Exposure
-0.005698782354569089
QUAL.US Exposure
-0.002008385402407742
SHV.US Exposure
0.13975600772748134
TLT.US Exposure
-0.0026199992353911697
LQD.US Exposure
0.010889687449788727
HYG.US Exposure
0.01761677943175719
GLD.US Exposure
0.00429724857300553
USO.US Exposure
0.6376522121978202
VNQ.US Exposure
0.0006403779210926466
BTC-USD.CC Exposure
-0.00009392249862989327
CPER.US Exposure
0.04012862384134923
VIX.INDX Exposure
-0.0009932595411536688
UUP.US Exposure
0.0006779085422569846
TIP.US Exposure
0.02710846463669431
Idiosyncratic Exposure
0.08848052933549784
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
35.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.7%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.97%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+8.0%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+25.0%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.87
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Invesco DB Commodity Index Tracking Fund a high-risk investment?

Invesco DB Commodity Index Tracking Fund (DBC.US) has an annualized volatility of 15.7% and experienced a maximum drawdown of 37.8% over the last 10 years. Its primary macro risk driver is USO.US.

What is the 10-year return of DBC.US?

Over the past 10 years, DBC.US has generated a Compound Annual Growth Rate (CAGR) of 9.0%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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