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iMGP DBi Managed Futures Strategy ETF (DBMF) Sharpe Ratio: 2.24

ETF · Currency in USD · Last updated Jun 23, 2026

The iMGP DBi Managed Futures Strategy ETF (DBMF) is an actively managed ETF that seeks long-term capital appreciation by replicating the pre-fee performance of a representative basket of the largest managed futures hedge funds. The fund, sub-advised by DBi (Dynamic Beta investments), takes long and short positions in highly liquid futures contracts across equities, fixed income, currencies, and commodities.

DBMF's Sharpe Ratio of 2.24 indicates that for each unit of volatility, it generates 2.24 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 23, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

DBMF Sharpe Ratio Rank

DBMF Sharpe Ratio Rank: 72.272
Above Average

DBMF ranks above 72.2% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating above-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Above-average risk-adjusted returns with room for improvement
  • Compare against category peers to gauge relative positioning
  • Monitor for movement toward top tier or decline toward median
  • Consider pairing with top-tier holdings to improve portfolio efficiency

DBMF Sharpe Ratio Market Positioning

The chart shows DBMF's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.86 or lower
  • Yellow zone (middle 50%): 0.86 to 2.31
  • Green zone (top 25%): 2.31 or higher
  • Top 1%: 7.32+
  • Median: 1.68 — half of all investments score higher

How it compares to other similar ETFs

The table compares iMGP DBi Managed Futures Strategy ETF's Sharpe Ratio with other ETFs in the Systematic Trend category across multiple time periods, showing how DBMF's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 23, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
ISMFiShares Managed Futures Active ETF2.85
DBMFiMGP DBi Managed Futures Strategy ETF2.24
RSSTReturn Stacked U.S. Stocks & Managed Futures ETF2.23
AHLTAmerican Beacon AHL Trend ETF2.16
MFUTCambria Chesapeake Pure Trend ETF2.14
IMFInvesco Managed Futures Strategy ETF2.01
FFUTFidelity Managed Futures ETF1.69
ASMFVirtus AlphaSimplex Managed Futures ETF1.60
KMLMKFA Mount Lucas Index Strategy ETF1.41
GXDWGlobal X Dorsey Wright Thematic ETF0.60

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows DBMF's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when DBMF consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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How does DBMF fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

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