ABYIX vs. DBMF
Compare and contrast key facts about Abbey Capital Futures Strategy Fund Class I (ABYIX) and iM DBi Managed Futures Strategy ETF (DBMF).
ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ABYIX or DBMF.
Performance
ABYIX vs. DBMF - Performance Comparison
Returns By Period
In the year-to-date period, ABYIX achieves a 0.18% return, which is significantly lower than DBMF's 7.03% return.
ABYIX
0.18%
0.00%
-8.46%
-1.43%
4.75%
3.27%
DBMF
7.03%
-2.50%
-7.71%
2.95%
6.38%
N/A
Key characteristics
| ABYIX | DBMF | |
|---|---|---|
| Sharpe Ratio | -0.22 | 0.19 |
| Sortino Ratio | -0.23 | 0.32 |
| Omega Ratio | 0.97 | 1.04 |
| Calmar Ratio | -0.16 | 0.11 |
| Martin Ratio | -0.34 | 0.38 |
| Ulcer Index | 5.16% | 5.42% |
| Daily Std Dev | 8.22% | 11.10% |
| Max Drawdown | -17.13% | -20.39% |
| Current Drawdown | -9.61% | -12.11% |
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ABYIX vs. DBMF - Expense Ratio Comparison
ABYIX has a 1.79% expense ratio, which is higher than DBMF's 0.85% expense ratio.
Correlation
The correlation between ABYIX and DBMF is 0.64, 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.
Risk-Adjusted Performance
ABYIX vs. DBMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class I (ABYIX) and iM DBi Managed Futures Strategy ETF (DBMF). 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.
Dividends
ABYIX vs. DBMF - Dividend Comparison
ABYIX's dividend yield for the trailing twelve months is around 2.02%, less than DBMF's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ABYIX Abbey Capital Futures Strategy Fund Class I | 2.02% | 2.02% | 9.55% | 2.52% | 1.55% | 6.11% | 0.14% | 0.00% | 0.00% | 0.24% | 1.87% |
DBMF iM DBi Managed Futures Strategy ETF | 5.24% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ABYIX vs. DBMF - Drawdown Comparison
The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum DBMF drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for ABYIX and DBMF. For additional features, visit the drawdowns tool.
Volatility
ABYIX vs. DBMF - Volatility Comparison
Abbey Capital Futures Strategy Fund Class I (ABYIX) and iM DBi Managed Futures Strategy ETF (DBMF) have volatilities of 2.25% and 2.33%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.